Tüketici Güven Endeksi, Politika Faizi ve Bist100 Endeksi Arasında Fourier Nedensellik İlişkisi: Türkiye Örneği
Fourier Causality Relationship between Consumer Confidence Index, Policy Rate and ISE100 Index: The Case of Turkey

Author(s): İbrahim Sezer Belliler, Ahmet Demiralp
Subject(s): Economy, National Economy, Economic policy, Methodology and research technology, Financial Markets
Published by: Özgür Yayın Dağıtım Ltd. Şti.
Keywords: causality relationship; consumer confidence index; policy rate; BIST100 index; Turkey;
Summary/Abstract: In this study, the short-term causality relationship between consumer confidence index, policy rate and BIST100 index was investigated in Turkey. Using monthly data between 2011:01-2023:01, Enders and Jones (2016) Fourier Granger Causality analysis and Nazlıoğlu et al. (2016) Fourier was analyzed using Toda-Yamamoto Causality analysis. As a prerequisite for the Fourier Granger causality analysis, the stationarity of the variables was examined with the ADF unit root test. As a result of the analysis, a one-way short-term causality relationship was found from consumer confidence index to policy rate and from BIST100 to consumer confidence index.

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