Linear and non-linear causality tests of stock price and real exchange rate interactions in Turkey
Yükleniyor...
Dosyalar
Tarih
2018
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Fiscaoeconomia (FSECON)
Erişim Hakkı
info:eu-repo/semantics/openAccess
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.
Açıklama
Anahtar Kelimeler
Linear and non-linear causality analysis, Stock price and real exchange rate
Kaynak
Fiscaoeconomia
WoS Q Değeri
Scopus Q Değeri
Cilt
2
Sayı
1
Künye
Yıldırım, G., Adalı, Z., (2018), “Linear and Non-Linear Causality Tests of Stock Price and Real Exchange Rate Interactions in Turkey”, Fiscaoeconomia, Vol.2(1), 99-118.
