THE RELATIONSHIP BETWEEN BIST BANK INDEX AND INFLATION, EXCHANGE RATE, INTEREST RATE, GOLD AND OIL PRICES: EVIDENCE FROM THE ARDL BOUND TEST

Levent Sezal

Makale detayları

THE RELATIONSHIP BETWEEN BIST BANK INDEX AND INFLATION, EXCHANGE RATE, INTEREST RATE, GOLD AND OIL PRICES: EVIDENCE FROM THE ARDL BOUND TEST

Yazarlar:

Levent Sezal

Yayıncı:

Dicle University

Ana Başlıklar:

Ekonometrik ve İstatistiksel Yöntemler

Dergi:

Dicle Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi Vol.14 Issue 27, pp.402-421

Belge Tipi:

Makale

Yayın Tarihi:

5/2024

Belge Dili:

İngilizce

Document ID (Org No.):

2001314506

pISSN:

1309-4602

Anahtar kelimeler:

Özet:

 The aim of this study is to investigate the effects of inflation, exchange rate, interest rates, gold and oil prices on the BIST bank index between January 2005 - October 2023. For this purpose, firstly, the stationarity levels of the data were tested by the Augmented Dickey-Fuller ADF and Phillips- Perron PP tests. Then, since the series became stationary at different levels, ARDL bounds test, one of the cointegration tests, was applied. In the study, it is concluded that the BIST bank index and its independent variables are cointegrated in the long-run in the relevant period. According to the short-term asymmetric relationship results, a 1 increase in gold prices by 0.036, a 1 increase in interest rates by 0.33, and a 1 increase in the dollar exchange rate by 1.03 decreased the BIST Bank index. On the other hand, a 1 increase in CPI has a positive effect on the BIST Bank Index. No statistical relationship was found between oil prices and BIST Bank Index.

 The aim of this study is to investigate the effects of inflation, exchange rate, interest rates, gold and oil prices on the BIST bank index between January 2005 - October 2023. For this purpose, firstly, the stationarity levels of the data were tested by the Augmented Dickey-Fuller ADF and Phillips- Perron PP tests. Then, since the series became stationary at different levels, ARDL bounds test, one of the cointegration tests, was applied. In the study, it is concluded that the BIST bank index and its independent variables are cointegrated in the long-run in the relevant period. According to the short-term asymmetric relationship results, a 1 increase in gold prices by 0.036, a 1 increase in interest rates by 0.33, and a 1 increase in the dollar exchange rate by 1.03 decreased the BIST Bank index. On the other hand, a 1 increase in CPI has a positive effect on the BIST Bank Index. No statistical relationship was found between oil prices and BIST Bank Index.

 The aim of this study is to investigate the effects of inflation, exchange rate, interest rates, gold and oil prices on the BIST bank index between January 2005 - October 2023. For this purpose, firstly, the stationarity levels of the data were tested by the Augmented Dickey-Fuller ADF and Phillips- Perron PP tests. Then, since the series became stationary at different levels, ARDL bounds test, one of the cointegration tests, was applied. In the study, it is concluded that the BIST bank index and its independent variables are cointegrated in the long-run in the relevant period. According to the short-term asymmetric relationship results, a 1 increase in gold prices by 0.036, a 1 increase in interest rates by 0.33, and a 1 increase in the dollar exchange rate by 1.03 decreased the BIST Bank index. On the other hand, a 1 increase in CPI has a positive effect on the BIST Bank Index. No statistical relationship was found between oil prices and BIST Bank Index.

 Bu çalışmanın amacı Ocak 2005  Ekim 2023 dönemlerindeki enflasyon, döviz kuru, faiz oranları, altın ve petrol fiyatlarının Bist banka endeksi üzerindeki etkilerini araştırmaktır. Bu amaçla çalışmada öncelikle verilerin durağanlık seviyeleri Genişletilmiş Dickey-Fuller ADF ve Phillips- Perron PP testleri sınanmıştır. Sonrasında seriler farklı düzeylerde durağan hale geldikleri için eşbütünleşme testlerinden ARDL Autoregressive Distributed Lag Bound Test testi uygulanmıştır. Çalışmada, Bist banka endeksi ile bağımsız değişkenlerinin ilgili dönemde uzun dönemli eşbütünleşik olduğu sonucuna varılmıştır. Kısa dönem asimetrik ilişki sonuçlarına göre, altın fiyatlarındaki 1lik artış 0,036, faiz oranlarındaki 1 artış 0,33, dolar kurundaki 1lik artış 1,03 Bist Banka endeksini azalttığı tespit edilmiştir. Diğer taraftan TÜFEde 1lik artış Bist banka endeksini pozitif yönde etkilediği görülmüştür. Petrol fiyatları ile Bist banka endeksi arasında istatistiki anlamda herhangi bir ilişki bulunamamıştır.

Makale detayları

THE RELATIONSHIP BETWEEN BIST BANK INDEX AND INFLATION, EXCHANGE RATE, INTEREST RATE, GOLD AND OIL PRICES: EVIDENCE FROM THE ARDL BOUND TEST

Yazarlar:

Levent Sezal

Yayıncı:

Dicle University

Ana Başlıklar:

Ekonometrik ve İstatistiksel Yöntemler

Dergi:

Dicle Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi Vol.14 Issue 27, pp.402-421

Belge Tipi:

Makale

Yayın Tarihi:

5/2024

Belge Dili:

İngilizce

Document ID (Org No.):

2001314506

pISSN:

1309-4602

BIST Bank Index

XBANK

Macroeconomic Factors

ARDL Border TestBist Banka Endeksi

XBANK

Makroekonomik Faktörler

ARDL Sınır Testi

Sayı

Makale detayları

Yazarlar: Levent Sezal

Yayıncı: Dicle University

Ana Başlıklar: Ekonometrik ve İstatistiksel Yöntemler

Dergi: Dicle Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi Vol.14 Issue 27, pp.402-421

Belge Tipi: Makale

Yayın Tarihi: 5/2024

Belge Dili: İngilizce

Document ID (Org No.): 2001314506

pISSN: 1309-4602

Sayı

Yazarlar:

Levent Sezal

Yayıncı:

Dicle University

Ana Başlıklar:

Ekonometrik ve İstatistiksel Yöntemler

Dergi:

Dicle Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi Vol.14 Issue 27, pp.402-421

Belge Tipi:

Makale

Yayın Tarihi:

5/2024

Belge Dili:

İngilizce

Document ID (Org No.):

2001314506

pISSN:

1309-4602