Türkiye’de Borsa Çevrimleri ile İş Çevrimleri Arasındaki İlişkilerin Analizi
Analysis of the Relationships Between Stock Market Cycles and Business Cycles in Turkey

Summary/Abstract: Purpose- The aim of the study is to determine the business cycles and stock market cycles that took place in Turkey between January 2000 and August 2021, to reveal their general characteristics and to analyze the relations between the two. Design/methodology/approach – Two methods were used to detect the cycles. First, the turning points of the cycles were determined by applying the Bry and Boschan (1971) procedure. Second, the deviations from the trend component determined by the Hodrick-Prescott (1997) filter were calculated, so the cycle series were created. In the study, the relationship between stock market cycles and business cycles was tested with the Granger causality test, and the direction and degree of the relationship between the series was tested with Vector Autoregressive Model (VAR) analysis. Findings- Granger causality test results show that there is a one-way causality relationship between stock market cycles and business cycles, and the direction of the relationship between these two series is from stock market cycles to business cycles. In addition, variance decomposition and impulse response analysis also show that a conversion time is approximately 2 years in terms of explaining the total change between the two series. Discussion- The fact that the cycles occurring in the stock markets have a causality effect on the business cycles is meaningful since the stock markets have a future-oriented structure. While this can be explained by the pricing of expectations regarding future economic activities in the stock market, it can also show that fluctuations in share prices may have an impact on the real economy.

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