Borsa İstanbul’da Varlık Fiyatı Kabarcığı Araştırması ve Finansal Kriz İlişkisi

Bu çalışmada Borsa İstanbul’da varlık fiyatı balonu araştırması sağ kuyruk birim kök testlerivasıtasıyla incelenmiştir. Balon araştırmasının yapıldığı endeks Borsa İstanbul 100 getiriendeksidir. Çalışma dönemi endeks işlem hacmindeki artış göz önüne alınarak 1997-2018 dönemi olarak belirlenmiştir. Finansal krizlerin göstergesi olarak belirlenen makroekonomik değişkenler; gayrisafi yurtiçi hasıla, dış ticaret açığı, toplam dış borç, reel döviz kuru, bütçe açığı, kredi/gayri safi yurtiçi hasıla, faiz oranı, yurtiçi kredi hacmi, para arzı ve enflasyondur. Bu değişkenler ve balonlar arasındaki ilişki asimetrik nedensellik testiyle incelenmiştir.

The Research of Asset Price Bubble at Borsa Istanbul and Financial Crisis Relationship

In this study, the asset price bubble in Borsa Istanbul was examined through the right-tailed unit root test. The index where the bubble research was conducted is Borsa Istanbul 100 return index. The study period was determined as 1997-2018 period considering the increase in the index transaction volume. Macroeconomic variables identified as indicators of financial crises were; gross domestic product, foreign trade deficit, total foreign debt, real exchange rate, budget deficit, credit / gross domestic product, interest rate, domestic credit volume, money supply and inflation. The relationship between these variables and bubbles was examined with asymmetric causality test.

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