Macroeconomic Determinants of the BIST Banking Sector: Fourier ARDL Approach

Mustafa Ünlü

Makale detayları

Macroeconomic Determinants of the BIST Banking Sector: Fourier ARDL Approach

Yazarlar:

Mustafa Ünlü

Yayıncı:

Selcuk University

Ana Başlıklar:

Ekonometri (Diğer)

Dergi:

Selçuk Üniversitesi Sosyal Bilimler Enstitüsü Dergisi Issue 52, pp.285-295

Belge Tipi:

Makale

Yayın Tarihi:

12/2023

Belge Dili:

Türkçe

Document ID (Org No.):

2001307163

pISSN:

2667-4750

Anahtar kelimeler:

Özet:

 Financial markets and national economies are directly related. Financial markets are also developed in developed countries. In the financial market, banks are the most important intermediaries. Accordingly, in this study, I analyze the XBANK banking index, composed of banks whose shares are traded on Borsa Istanbul, as well as macroeconomic factors 1-month deposit rates, production index and TLDollar exchange rate believed to have an impact on this index. An autoregressive distributed lag ARDL model based on Fourier functions is used to analyze the relationship between monthly data between November 2002 and May 2023. In light of the fact that there was no change in the Turkish government during the period specified, the study is based on data from the relevant period. According to the results, deposit interest rates and the banking index have a negative long-run relationship, while the exchange rate and the production index have a positive long-run relationship with the banking index. Error correction model results indicate short-run deviations from equilibrium convergences long-term uniformly.

 Financial markets and national economies are directly related. Financial markets are also developed in developed countries. In the financial market, banks are the most important intermediaries. Accordingly, in this study, I analyze the XBANK banking index, composed of banks whose shares are traded on Borsa Istanbul, as well as macroeconomic factors 1-month deposit rates, production index and TLDollar exchange rate believed to have an impact on this index. An autoregressive distributed lag ARDL model based on Fourier functions is used to analyze the relationship between monthly data between November 2002 and May 2023. In light of the fact that there was no change in the Turkish government during the period specified, the study is based on data from the relevant period. According to the results, deposit interest rates and the banking index have a negative long-run relationship, while the exchange rate and the production index have a positive long-run relationship with the banking index. Error correction model results indicate short-run deviations from equilibrium convergences long-term uniformly.

 Financial markets and national economies are directly related. Financial markets are also developed in developed countries. In the financial market, banks are the most important intermediaries. Accordingly, in this study, I analyze the XBANK banking index, composed of banks whose shares are traded on Borsa Istanbul, as well as macroeconomic factors 1-month deposit rates, production index and TLDollar exchange rate believed to have an impact on this index. An autoregressive distributed lag ARDL model based on Fourier functions is used to analyze the relationship between monthly data between November 2002 and May 2023. In light of the fact that there was no change in the Turkish government during the period specified, the study is based on data from the relevant period. According to the results, deposit interest rates and the banking index have a negative long-run relationship, while the exchange rate and the production index have a positive long-run relationship with the banking index. Error correction model results indicate short-run deviations from equilibrium convergences long-term uniformly.

 Finansal piyasalar ve ülke ekonomileri arasında doğrudan bir ilişki mevcuttur. Gelişmiş ülkelerin finansal piyasalarının da gelişmiş olduğu görülmektedir. Finansal piyasalardaki aracı kurumların başında ise bankalar gelmektedir. Bu bakış açısıyla Borsa İstanbulda hisseleri işlem gören bankaların oluşturmuş olduğu XBANK bankacılık endeksi ile bu endeks üzerinde etkili olduğu düşünülen makroekonomik faktörler 1 aylık mevduat faizleri, üretim endeksi ve TLDolar kuru bu çalışmada ele alınmıştır. 2002 Kasım ve 2023 Mayıs dönemini kapsayan aylık veriler arasındaki ilişki Fourier fonksiyonlarına dayalı otoregresif dağıtılmış gecikme ARDL modeli yöntemi kullanılarak analiz edilmiştir. Türkiyede belirtilen dönem aralığında yönetimde bir değişiklik olmaması nedeniyle ilgili dönem verileriyle çalışılmıştır. Elde edilen sonuçlara göre 1 aylık mevduat faizleri ile bankacılık endeksi arasında negatif yönlü uzun dönemli bir ilişki, dolar kuru ve üretim endeksi ile bankacılık endeksi arasında pozitif yönlü uzun dönem ilişki tespit edilmiştir. Hata düzeltme modeli sonuçlarına göre ise kısa dönemde denge ilişkisinden sapmalara, uzun dönemde tek düze bir yakınsama olduğu görülmektedir.

Makale detayları

Macroeconomic Determinants of the BIST Banking Sector: Fourier ARDL Approach

Yazarlar:

Mustafa Ünlü

Yayıncı:

Selcuk University

Ana Başlıklar:

Ekonometri (Diğer)

Dergi:

Selçuk Üniversitesi Sosyal Bilimler Enstitüsü Dergisi Issue 52, pp.285-295

Belge Tipi:

Makale

Yayın Tarihi:

12/2023

Belge Dili:

Türkçe

Document ID (Org No.):

2001307163

pISSN:

2667-4750

XBANK

Fourier ADF

Fourier ARDLXBANK

Fourier ADF

Fourier ARDL

Sayı

Makale detayları

Macroeconomic Determinants of the BIST Banking Sector: Fourier ARDL Approach

Yazarlar: Mustafa Ünlü

Yayıncı: Selcuk University

Ana Başlıklar: Ekonometri (Diğer)

Dergi: Selçuk Üniversitesi Sosyal Bilimler Enstitüsü Dergisi Issue 52, pp.285-295

Belge Tipi: Makale

Yayın Tarihi: 12/2023

Belge Dili: Türkçe

Document ID (Org No.): 2001307163

pISSN: 2667-4750

XBANK

Fourier ADF

Fourier ARDLXBANK

Fourier ADF

Fourier ARDL

Sayı

Yazarlar:

Mustafa Ünlü

Yayıncı:

Selcuk University

Ana Başlıklar:

Ekonometri (Diğer)

Dergi:

Selçuk Üniversitesi Sosyal Bilimler Enstitüsü Dergisi Issue 52, pp.285-295

Belge Tipi:

Makale

Yayın Tarihi:

12/2023

Belge Dili:

Türkçe

Document ID (Org No.):

2001307163

pISSN:

2667-4750