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AN EFFORT TO CONSTRUCT A MECHANISM SIMILAR TO THE TAYLOR RULE MECHANISM: TESTS ON BIST-100

Year 2020, Volume: 7 Issue: 1, 79 - 102, 31.01.2020
https://doi.org/10.15637/jlecon.7.006

Abstract

Taylor's rule that is developed for the determination of interest rate, is a mechanism which determines the level of domestic interest rates based on internal and external factors. In the Taylor rule, while inflation and income are internal factors, exchange rate is external factor. Considering the strong functioning of this mechanism in terms of interest, it can be thought that the stock market may follow a similar path. Therefore, in addition to the variables listed in the Taylor rule, interest rate, gold prices and foreign exchange values were included in the model. Thus, while inflation (EA), interest (FA) and income (YA) were taken as internal factors, exchange rate (DA), gold (AA) and foreign stock exchange value (SA) are modeled as foreign element. All variables in models created under the Taylor rule are defined in open terms by subjecting them to Hodrick-Prescot Filtering. For the period between 1998: Q1-2019: Q3, linear and nonlinear models were estimated by L-ARDL and NL-ARDL methods, respectively. In the obtained results, EA variable was significant in L-ARDL results, whereas it was not significant in NL-ARDL results. In addition, all variables in the model were statistically significant. Accordingly, YA, FA and AA variables have negative effects on the stock market; SA and DA variables have positive effects on the stock market. From the obtained findings, stock in the framework of Taylor rule logic mechanisms in Turkey’s economy is seen to be influenced by internal and external variables. The fact that stock exchange has been effected by production that is by the economic growth among other variables put forward that monetary and thus speculative actions rather than real economic facts were more dominant. Oh the other hand it has been seen that all the other variables reflected general tendencies.

References

  • ADRANGI, B., CHATRATH, A. and SANVICENTE, A. Z. (2011), Inflation, Output, And Stock Prices: Evidence from Brazil, The Journal of Applied Business Research, 18 (1): 61-77.
  • AFSAL, E. M. and HAQUE, M. I. (2016), Market Interactions in Gold and Stock Markets: Evidences from Saudi Arabia, International Journal of Economics and Financial Issues, 6(3): 1025-1034.
  • AKALIN, G. ve TOKUCU, E. (2007), Kurala Dayalı-Takdire Dayalı Para Politikaları: Taylor Kuralı ve Türkiye’de Enflasyon Hedeflemesi Uygulaması, Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi, 22 (1): 37-55.
  • AKDENİZ, C. ve ÇATIK, A. N. (2019), Finansal Koşulların Taylor Kuralının Geçerliliği Üzerindeki Etkisi: Türkiye Üzerine Ampirik Bulgular, TESAM Akademi Dergisi, Türkiye Ekonomisi Özel Sayısı, 107-126.
  • ALAM, M. (2009), Relationship between Interest Rate and Stock Price: Empirical Evidence from Developed and Developing Countries, International Journal of Business and Management, 4(3): 43-51.
  • AL-AMEER, M., HAMMAD, W., AREEJ I. and HAMDAN, A. (2018), The Relationship of Gold Price with the Stock Market: The Case of Frankfurt Stock Exchange, International Journal of Energy Economics and Policy, 8 (5): 357-371.
  • ALBULESCU, C. T., AUBIN, C. and GOYEAU, D. (2017), Stock Prices, Inflation and Inflation Uncertainty in the U.S.: Testing the Long-run Relationship Considering Dow Jones Sector Indexes, Applied Economics, 49 (18): 1794-1807.
  • AL-NAIF, K. L. (2017), The Relationship Between Interest Rate and Stock Market Index: Empirical Evidence from Arabian Countries, Research Journal of Finance and Accounting, 8 (4): 181-191.
  • ALP, H., SONER, Y., BAŞKAYA, M. K. ve YÜKSEL, C. (2011), Türkiye için Hodrick-Prescott Filtresi Düzgünleştirme Parametresi Tahmini, Türkiye Cumhuriyet Merkez Bankası Ekonomi Notları. (No. 1103), 1-8.
  • BAŞÇI, E. ve KARA, H. (2011), Finansal İstikrar ve Para Politikası, İktisat İşletme ve Finans, 26 (302): 9-25.
  • BAUR, D. G. and LUCEY, B. M. (2010), Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold, The Financial Review, 45: 217-229.
  • BHATTACHARYA, B. and MUKHERJEE, A. (2002). The Nature of the Causal Relationship between Stock Market and Macroeconomic Aggregates in India: An Empirical Analysis, In 4th annual conference on money and finance, Mumbai (pp. 401-426).
  • CUESTAS, J. C. and GARRATT, D. (2011), Is Real GDP Per Capita a Stationary Process? Smooth Transitions, Nonlinear Trends and Unit Root Testing, Empirical Economics, 41: 555-563.
  • FERREIRA, P., FERNANDES DA SILVA, M. and SANTOS DE SANTANA I. (2019), Detrended Correlation Coefficients between Exchange Rate (in Dollars) and Stock Markets in the World’s Largest Economies, Economies, 7(1): 1-11.
  • GUJARATI, D. N. (2009), Temel Ekonometri, İstanbul: Literatür Yayıncılık.
  • HAN, Y., and ZHAO, X (2017), The Relationship Between Stock and Exchange Rates for BRICS Countries Pre- and Post-Crisis: A Mixed C-Vine Copula Model, Romanian Journal of Economic Forecasting, XX (1): 38-59.
  • HODRICK, R. J. and PRESCOTT, E. C. (1997), Postwar U.S. Business Cycles: An Empirical Investigation, Journal of Money, Credit and Banking, 29 (1): 1-16.
  • HWANG, J. K. (2004), Cointegration and The Causality between Stock Prices and Exchange Rates of The Korean Economy, International Business and Economics Research Journal, 3 (4): 79-84.
  • KAPETANIOS, G., SHIN, Y. and SNELL A. (2003), Testing for a Unit Root in the Nonlinear STAR Framework, Journal of Econometrics, 112: 359-379.
  • KASMAN, S. (2003), The Relationship between Exchange Rate and Stock Prices: A Causality Analysis, Dokuz Eylül Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 5 (2): 70-79.
  • LAZARUS, G. (2017), Stock Returns and Industrial Production: A Sectoral Analysis, Claremont Colleges, Senior Theses 1635, Claremont McKenna College.
  • MECHRI, N., HAMAD, S. B., PERETTI, C. and CHARFI, S. (2018), The Impact of the Exchange Rate Volatilities on Stock Market Returns Dynamic, HAL Archive s- Ouvertes, 1-32. https://hal.archives-ouvertes.fr/hal-01766742/, (Erişim Tarihi: 10 Eylül 2019).
  • MOREMA, K. and LUMENGO, B. B. (2018), The impact of Oil and Gold Price Fluctuations on the South African Equity Market: Volatility Spillovers and Implications for Portfolio Management, Munich Personal RePEc Archive MPRA, 1-46.
  • NWAOLISA, E. F. and CHIJINDU, A. A. (2016), The Relationship between Index of Industrial Production and Stock Market Liquidity: A Co-integration Evidence from Stock Exchange of Nigeria’s Value of Stock Traded Ratio, Frontiers of Accounting and Finance, 01: 29-39.
  • OLUGBENGA, A. A. (2012), Exchange Rate Volatility and Stock Market Behaviour: The Nigerian Experience, European Journal of Business and Management, 4 (5): 31-40.
  • OMOTOR, D. (2014), Relationship between Inflation and Stock Market Returns: Evidence from Nigeria, Journal of Applied Statistics, 1 (1): 1-15.
  • PESARAN, M. H., SHIN, Y. and SMITH, R. J. (2001), Bounds Testing Approaches to the Analysis of Level Relationships, Journal of Applied Econometrics, 16: 289-326.
  • PHILLIPS, P. C. B. and PERRON, P. (1988), Testing for a Unit Root in Time Series Regression, Biometrika, 75(2), 335-346.
  • RAMSHARAN, N. (2019), Impacts of Interest Rate on Stock Market: Challenges for Investors, International Journal of Innovative Science, Engineering and Technology, 6 (4): 228-236.
  • SADEGHZADEH, K., AKSU, H. ve EMSEN, Ö. S. (2019), İran Borsası ve Reel Döviz Kuru Arasındaki Simetrik ve Asimetrik İlişkilerinin İncelenmesi, Cumhuriyet Üniversitesi İİBF Dergisi, 20 (1): 181-192.
  • SHIN, Y., YU, B., and GREENWOOD-NIMMO, M. (2014), Modelling asymmetric cointegration and dynamic multipliers in a nonlinear ARDL framework. In Festschrift in honor of Peter Schmidt (pp. 281-314). Springer, New York, NY.
  • SOLLIS, R. (2009), A Simple Unit Root Test against Asymmetrical STAR Nonlinearity with an Application to Real Exchange Rates in Nordic Countries, Economic Modelling, 26: 118-125.
  • SUBENIOTIS, D. N., PAPADOPOULOS, D., TAMPAKOUDIS, I. A. and TAMPAKOUDI, A. (2011), How Inflation, Market Capitalization, Industrial Production and the Economic Sentiment Indicator Affect the EU-12 Stock Markets, European Research Studies, XIV (1): 103-117.
  • TAYLOR, J. B. (1993), Discretion versus Policy Rules in Practice, In Carnegie-Rochester Conference Series on Public Policy North-Holland, Vol. 39, December, 195-214.
  • TAYLOR, J. B. (1998), An Historical Analysis of Monetary Policy Rules, National Bureau of Economic Research Working Paper, Vol. 6768.
  • TAYLOR, J. B. (2001), The Role of the Exchange Rate in Monetary Policy Rules, The American Economic Review, 91 (2), 263-267.
  • TRIPATHI, V. and KUMAR, A. (2014), Relationship between Inflation and Stock Returns – Evidence from BRICS markets using Panel Cointegration Test, International Journal of Accounting and Financial Reporting, 4 (2): 647-658.
  • YOUNG, P. (2006), Industrial Production and Stock Returns, Simon Fraser University Library, BC, Canada, 1-29. https://core.ac.uk/download/pdf/56366829.pdf (Erişim Tarihi: 10 Eylül 2019).

TAYLOR KURALI MEKANİZMASINA BENZER ŞEKİLDE BİR MEKANİZMA İNŞASI ÇABASI: BİST-100 ÜZERİNE SINAMALAR

Year 2020, Volume: 7 Issue: 1, 79 - 102, 31.01.2020
https://doi.org/10.15637/jlecon.7.006

Abstract

Faizin belirlemesine yönelik olarak geliştirilen Taylor kuralı, iç ve dış unsurlardan hareketle yurtiçi faiz oranlarının hangi düzeyde olacağını ortaya koyan bir mekanizmadır. Taylor kuralında enflasyon ve gelir iç unsur iken, döviz kuru dış unsurdur. Faiz açısından bu mekanizmanın güçlü işlerliği dikkate alındığında, borsanın da benzeri bir yol izleyebileceği düşünülebilir. Dolayısıyla buradan hareketle Taylor kuralında sayılan değişkenlere ilaveten, faiz oranı, altın fiyatları ve dış borsa değerleri modele dâhil edilmiştir. Böylece iç unsur olarak enflasyon (EA), faiz (FA) ve gelir (YA) alınmış; dış unsur olarak da döviz kuru (DA), altın (AA) ve dış borsa (SA) değeri modellenmiştir. Taylor kuralı kapsamında oluşturulan modellerdeki tüm değişkenler Hodrick-Prescot filtrelemesine tabi tutularak açık cinsinden tanımlanmıştır. 1998:Q1-2019:Q3 arası dönem için doğrusal ve doğrusal olmayan sırasıyla L-ARDL ve NL-ARDL yöntemleri ile modeller tahmin edilmiştir. Elde edilen bulgularda, EA değişkeni L-ARDL sonuçlarında anlamlı ve buna karşılık NL-ARDL sonuçlarında ise anlamsız çıkmıştır. Bunun dışında modelde yer alan tüm değişkenler ise istatistiki açıdan anlamlı çıkmıştır. Buna göre borsa üzerine YA, FA ve AA değişkenlerinin etkileri negatif; SA ve DA değişkenleri ise pozitif bulunmuştur. Elde edilen bulgulardan hareketle, Türkiye ekonomisinde borsanın Taylor kuralı mekanizması mantığı çerçevesinde içsel ve dışsal değişkenlerden etkilendiği görülmüştür. Bu değişkenler içerisinde borsanın üretimden, yani ekonomik büyümeden olumsuz yönde etkilenmesi, Türkiye ekonomisinde reel ekonomik boyuttan ziyade, parasal ve dolayısıyla spekülatif boyutun güçlü bir şekilde işlediğini ortaya koymuştur. Buna karşılık diğer değişkenlerin genel eğilimi yansıtacak şekilde oluştuğu dikkat çekmiştir.

References

  • ADRANGI, B., CHATRATH, A. and SANVICENTE, A. Z. (2011), Inflation, Output, And Stock Prices: Evidence from Brazil, The Journal of Applied Business Research, 18 (1): 61-77.
  • AFSAL, E. M. and HAQUE, M. I. (2016), Market Interactions in Gold and Stock Markets: Evidences from Saudi Arabia, International Journal of Economics and Financial Issues, 6(3): 1025-1034.
  • AKALIN, G. ve TOKUCU, E. (2007), Kurala Dayalı-Takdire Dayalı Para Politikaları: Taylor Kuralı ve Türkiye’de Enflasyon Hedeflemesi Uygulaması, Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi, 22 (1): 37-55.
  • AKDENİZ, C. ve ÇATIK, A. N. (2019), Finansal Koşulların Taylor Kuralının Geçerliliği Üzerindeki Etkisi: Türkiye Üzerine Ampirik Bulgular, TESAM Akademi Dergisi, Türkiye Ekonomisi Özel Sayısı, 107-126.
  • ALAM, M. (2009), Relationship between Interest Rate and Stock Price: Empirical Evidence from Developed and Developing Countries, International Journal of Business and Management, 4(3): 43-51.
  • AL-AMEER, M., HAMMAD, W., AREEJ I. and HAMDAN, A. (2018), The Relationship of Gold Price with the Stock Market: The Case of Frankfurt Stock Exchange, International Journal of Energy Economics and Policy, 8 (5): 357-371.
  • ALBULESCU, C. T., AUBIN, C. and GOYEAU, D. (2017), Stock Prices, Inflation and Inflation Uncertainty in the U.S.: Testing the Long-run Relationship Considering Dow Jones Sector Indexes, Applied Economics, 49 (18): 1794-1807.
  • AL-NAIF, K. L. (2017), The Relationship Between Interest Rate and Stock Market Index: Empirical Evidence from Arabian Countries, Research Journal of Finance and Accounting, 8 (4): 181-191.
  • ALP, H., SONER, Y., BAŞKAYA, M. K. ve YÜKSEL, C. (2011), Türkiye için Hodrick-Prescott Filtresi Düzgünleştirme Parametresi Tahmini, Türkiye Cumhuriyet Merkez Bankası Ekonomi Notları. (No. 1103), 1-8.
  • BAŞÇI, E. ve KARA, H. (2011), Finansal İstikrar ve Para Politikası, İktisat İşletme ve Finans, 26 (302): 9-25.
  • BAUR, D. G. and LUCEY, B. M. (2010), Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold, The Financial Review, 45: 217-229.
  • BHATTACHARYA, B. and MUKHERJEE, A. (2002). The Nature of the Causal Relationship between Stock Market and Macroeconomic Aggregates in India: An Empirical Analysis, In 4th annual conference on money and finance, Mumbai (pp. 401-426).
  • CUESTAS, J. C. and GARRATT, D. (2011), Is Real GDP Per Capita a Stationary Process? Smooth Transitions, Nonlinear Trends and Unit Root Testing, Empirical Economics, 41: 555-563.
  • FERREIRA, P., FERNANDES DA SILVA, M. and SANTOS DE SANTANA I. (2019), Detrended Correlation Coefficients between Exchange Rate (in Dollars) and Stock Markets in the World’s Largest Economies, Economies, 7(1): 1-11.
  • GUJARATI, D. N. (2009), Temel Ekonometri, İstanbul: Literatür Yayıncılık.
  • HAN, Y., and ZHAO, X (2017), The Relationship Between Stock and Exchange Rates for BRICS Countries Pre- and Post-Crisis: A Mixed C-Vine Copula Model, Romanian Journal of Economic Forecasting, XX (1): 38-59.
  • HODRICK, R. J. and PRESCOTT, E. C. (1997), Postwar U.S. Business Cycles: An Empirical Investigation, Journal of Money, Credit and Banking, 29 (1): 1-16.
  • HWANG, J. K. (2004), Cointegration and The Causality between Stock Prices and Exchange Rates of The Korean Economy, International Business and Economics Research Journal, 3 (4): 79-84.
  • KAPETANIOS, G., SHIN, Y. and SNELL A. (2003), Testing for a Unit Root in the Nonlinear STAR Framework, Journal of Econometrics, 112: 359-379.
  • KASMAN, S. (2003), The Relationship between Exchange Rate and Stock Prices: A Causality Analysis, Dokuz Eylül Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 5 (2): 70-79.
  • LAZARUS, G. (2017), Stock Returns and Industrial Production: A Sectoral Analysis, Claremont Colleges, Senior Theses 1635, Claremont McKenna College.
  • MECHRI, N., HAMAD, S. B., PERETTI, C. and CHARFI, S. (2018), The Impact of the Exchange Rate Volatilities on Stock Market Returns Dynamic, HAL Archive s- Ouvertes, 1-32. https://hal.archives-ouvertes.fr/hal-01766742/, (Erişim Tarihi: 10 Eylül 2019).
  • MOREMA, K. and LUMENGO, B. B. (2018), The impact of Oil and Gold Price Fluctuations on the South African Equity Market: Volatility Spillovers and Implications for Portfolio Management, Munich Personal RePEc Archive MPRA, 1-46.
  • NWAOLISA, E. F. and CHIJINDU, A. A. (2016), The Relationship between Index of Industrial Production and Stock Market Liquidity: A Co-integration Evidence from Stock Exchange of Nigeria’s Value of Stock Traded Ratio, Frontiers of Accounting and Finance, 01: 29-39.
  • OLUGBENGA, A. A. (2012), Exchange Rate Volatility and Stock Market Behaviour: The Nigerian Experience, European Journal of Business and Management, 4 (5): 31-40.
  • OMOTOR, D. (2014), Relationship between Inflation and Stock Market Returns: Evidence from Nigeria, Journal of Applied Statistics, 1 (1): 1-15.
  • PESARAN, M. H., SHIN, Y. and SMITH, R. J. (2001), Bounds Testing Approaches to the Analysis of Level Relationships, Journal of Applied Econometrics, 16: 289-326.
  • PHILLIPS, P. C. B. and PERRON, P. (1988), Testing for a Unit Root in Time Series Regression, Biometrika, 75(2), 335-346.
  • RAMSHARAN, N. (2019), Impacts of Interest Rate on Stock Market: Challenges for Investors, International Journal of Innovative Science, Engineering and Technology, 6 (4): 228-236.
  • SADEGHZADEH, K., AKSU, H. ve EMSEN, Ö. S. (2019), İran Borsası ve Reel Döviz Kuru Arasındaki Simetrik ve Asimetrik İlişkilerinin İncelenmesi, Cumhuriyet Üniversitesi İİBF Dergisi, 20 (1): 181-192.
  • SHIN, Y., YU, B., and GREENWOOD-NIMMO, M. (2014), Modelling asymmetric cointegration and dynamic multipliers in a nonlinear ARDL framework. In Festschrift in honor of Peter Schmidt (pp. 281-314). Springer, New York, NY.
  • SOLLIS, R. (2009), A Simple Unit Root Test against Asymmetrical STAR Nonlinearity with an Application to Real Exchange Rates in Nordic Countries, Economic Modelling, 26: 118-125.
  • SUBENIOTIS, D. N., PAPADOPOULOS, D., TAMPAKOUDIS, I. A. and TAMPAKOUDI, A. (2011), How Inflation, Market Capitalization, Industrial Production and the Economic Sentiment Indicator Affect the EU-12 Stock Markets, European Research Studies, XIV (1): 103-117.
  • TAYLOR, J. B. (1993), Discretion versus Policy Rules in Practice, In Carnegie-Rochester Conference Series on Public Policy North-Holland, Vol. 39, December, 195-214.
  • TAYLOR, J. B. (1998), An Historical Analysis of Monetary Policy Rules, National Bureau of Economic Research Working Paper, Vol. 6768.
  • TAYLOR, J. B. (2001), The Role of the Exchange Rate in Monetary Policy Rules, The American Economic Review, 91 (2), 263-267.
  • TRIPATHI, V. and KUMAR, A. (2014), Relationship between Inflation and Stock Returns – Evidence from BRICS markets using Panel Cointegration Test, International Journal of Accounting and Financial Reporting, 4 (2): 647-658.
  • YOUNG, P. (2006), Industrial Production and Stock Returns, Simon Fraser University Library, BC, Canada, 1-29. https://core.ac.uk/download/pdf/56366829.pdf (Erişim Tarihi: 10 Eylül 2019).
There are 38 citations in total.

Details

Primary Language Turkish
Subjects Finance
Journal Section Articles
Authors

Hatıra Sadeghzadeh Emsen This is me 0000-0001-8824-0401

Ömer Selçuk Emsen 0000-0002-1809-0513

Ömer Yalçınkaya 0000-0002-1210-2405

Publication Date January 31, 2020
Published in Issue Year 2020 Volume: 7 Issue: 1

Cite

APA Sadeghzadeh Emsen, H., Emsen, Ö. S., & Yalçınkaya, Ö. (2020). TAYLOR KURALI MEKANİZMASINA BENZER ŞEKİLDE BİR MEKANİZMA İNŞASI ÇABASI: BİST-100 ÜZERİNE SINAMALAR. Journal of Life Economics, 7(1), 79-102. https://doi.org/10.15637/jlecon.7.006