Linear and Non-Linear Causality Tests of Stock Price and Real Exchange Rate Interactions in Turkey

Gözde YILDIRIM; Zafer ADALI

doi:https://doi.org/10.25295/fsecon.370719

Makale detayları

Linear and Non-Linear Causality Tests of Stock Price and Real Exchange Rate Interactions in Turkey

Yazarlar:

Gözde YILDIRIM | Zafer ADALI

Yayıncı:

Ahmet Arif EREN

Ana Başlıklar:

Yönetim

Dergi:

Fiscaoeconomia 2018 Vol.2 Issue 1, pp.99-118

Belge Tipi:

Makale

Yayın Tarihi:

1/2018

Belge Dili:

İngilizce

Document ID (Org No.):

2000710854

Sıklık:

Üç Yıllık

eISSN:

2564-7504

DOI:

https://doi.org/10.25295/fsecon.370719

Özet:

 

The purpose of this study is to determine whether there is a causality relationship between stock price and real exchange rates in Turkey. Within this context, the study employs monthly data for real exchange rates based on consumer price index and BIST 100 index as representing stock prices that cover the periods from January 2005 to August 2017. On the other side, Granger causality test, Toda-Yamamoto causality analysis and Diks and Panchenko nonlinear causality test used for this purpose. As a result, Linear Granger causality, Toda-Yamamoto and Nonlinear Granger causality tests reveal that there is a casual relationship between real exchange rate and stock price in Turkish economy for the period of 2005:01 - 2017:08 and the direction of the causality is from stock price to exchange rate. This evidence can be interpreted as the changes in stock prices may strongly have influences on the success of foreign exchange rate policies.

Makale detayları

Linear and Non-Linear Causality Tests of Stock Price and Real Exchange Rate Interactions in Turkey

Yazarlar: Gözde YILDIRIM | Zafer ADALI

Yayıncı: Ahmet Arif EREN

Ana Başlıklar: Yönetim

Dergi: Fiscaoeconomia 2018 Vol.2 Issue 1, pp.99-118

Belge Tipi: Makale

Yayın Tarihi: 1/2018

Belge Dili: İngilizce

Document ID (Org No.): 2000710854

Sıklık: Üç Yıllık

eISSN: 2564-7504

DOI: https://doi.org/10.25295/fsecon.370719

Sayı

Yazarlar:

Gözde YILDIRIM | Zafer ADALI

Yayıncı:

Ahmet Arif EREN

Ana Başlıklar:

Yönetim

Dergi:

Fiscaoeconomia 2018 Vol.2 Issue 1, pp.99-118

Belge Tipi:

Makale

Yayın Tarihi:

1/2018

Belge Dili:

İngilizce

Document ID (Org No.):

2000710854

Sıklık:

Üç Yıllık

eISSN:

2564-7504

DOI:

https://doi.org/10.25295/fsecon.370719