Linear and non-linear causality tests of stock price and real exchange rate interactions in Turkey

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dc.authorid0000-0001-8453-9940en_US
dc.contributor.authorYıldırım, Gözde
dc.contributor.authorAdalı, Zafer
dc.date.accessioned2023-01-23T12:49:26Z
dc.date.available2023-01-23T12:49:26Z
dc.date.issued2018
dc.departmentAÇÜ, Hopa İktisadi ve İdari Bilimler Fakültesi, İktisat Bölümüen_US
dc.description.abstractThe 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.
dc.identifier.citationYıldırım, 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.en_US
dc.identifier.doi10.25295/fsecon.370719
dc.identifier.endpage118en_US
dc.identifier.issue1en_US
dc.identifier.startpage99en_US
dc.identifier.urihttps://doi.org/10.25295/fsecon.370719
dc.identifier.urihttps://hdl.handle.net/11494/4578
dc.identifier.volume2en_US
dc.indekslendigikaynakTR-Dizin
dc.institutionauthorAdalı, Zafer
dc.language.isoenen_US
dc.publisherFiscaoeconomia (FSECON)en_US
dc.relation.ispartofFiscaoeconomia
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectLinear and non-linear causality analysisen_US
dc.subjectStock price and real exchange rateen_US
dc.titleLinear and non-linear causality tests of stock price and real exchange rate interactions in Turkeyen_US
dc.typeArticle

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