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Borsa İstanbul’da Kısa ve Uzun Dönemli Denge İlişkileri

SHORT AND LONG RUN EQULIBRIUM RELATIONS IN BORSA İSTANBUL

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Abstract (2. Language): 
It is aimed by this article to examine the short and long run equlibrium relations between Borsa İstanbul and some macroeconomic variables. The monthly BIST-100 Index is used to represent the stock market and (i) monthly weighted average interest rates for deposits, (ii) monthly money supply, (iii) monthly Dollar exchange rate, (iv) monthly Euro exchange rate, (v) monthly 1 ons gold London selling price, (vi) monthly interest rates on domestic borrowing, (vii) monthly SP-500 Stock Price Index Value. First, the stationarity of variables are examined; cointegtarion is found with I(1) variables. After the number of cointegration relations are determined with I(1) variables by Johansen technique based on VARs, short and long run equlibrium relations are found by Vector Error Correction Model (VECM) in Borsa İstanbul. While the BIST-100 Index rises (falls) in the long run when the monthly interest rates on domestic borrowing, monthly SP-500 Stock Price Index value and monthly money supply increase (decrease), the BIST-100 Index falls (rises) in the long-run when the monthly Dollar exchange rate, monthly Euro exchange rate, monthly 1 ons gold London selling price and monthly weighted average interest rates for deposits increase (decrease).
Abstract (Original Language): 
Bu makale ile Borsa İstanbul ve bazı makroekonomik değişkenler arasındaki uzun dönemli ve kısa dönemli denge ilişkilerinin araştırılması amaçlanmıştır. Bu çalışmada BIST-100 Endeksi’nin aylık verileri borsayı göstermek üzere seçilirken; (i) bankalarca açılan mevduatlara uygulanan ağırlıklı ortalama aylık faiz oranları, (ii) aylık para arzı, (iii) aylık Dolar kur değeri (iv) aylık Euro kur değeri, (v) ons külçe altının aylık Londra satış fiyatı, (vi) aylık iç borçlanma faiz oranları, (vii) SP-500 endeksi aylık verileri, (vii) İTO’nun aylık Toptan Eşya Fiyat Genel Endeksi makroekonomik değişkenleri göstermek üzere kullanılmıştır. İlk önce değişkenlerin durağanlığı araştırılmış; I(1) olanlar ile eşbütünleşme tespit edilmiştir. I(1) olanlar ile VARs üzerine kurulu Johansen tekniği ile eşbütünleşme ilişki adedi belirlendikten sonra Vektör Hata Düzeltme Modeli (VECM) ile borsadaki kısa dönemli ilişkiler ve uzun dönemli denge ilişkileri tespit edilmiştir. BİST-100 Endeksi; iç borçlanma faiz oranları, SP-500 Endeksi ve para arzı arttıkça (azaldıkça) uzun dönemde yükselmekte (düşmekte); Euro, Dolar, ons külçe altın ve bankalarca açılan mevduatlara uygulanan ağırlıklı ortalama faiz oranları arttıkça (azaldıkça) uzun dönemde düşmektedir (yükselmektedir).

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