Türkiye’de konut fiyat endeksi ile BIST100 borsa endeksinin Markov Rejim Değişim Modeli ile incelenmesi

Konut piyasası ile hisse senetleri piyasası Türkiye için en önemli piyasalardır.. Dolayısıyla bu piyasalar ülkelerin ekonomik büyümelerinde hassas bir yere sahiptir. Bu hassasiyet her iki piyasanın her zaman risk taşımasından kaynaklandığı gibi özel iç risk bağlarına sahip olmalarına da neden olmaktadır. Bu çalışmada Türkiye’deki Konut Fiyat Endeksi ile BIST100 fiyat endeksi arasındaki bu ilişkinin incelenmesi amacıyla Markov Rejim Değişim Modeli kullanılmıştır. Bu model literatürde son yıllarda doğrusal olmayan seriler üzerine yapılan en popüler yöntemlerden biridir. Markov Rejim Değişikliği Modeli sonuçlarına göre serilerde rejimler arası geçiş olasılığı düşük iken aynı rejimde kalma olasılığı oldukça yüksektir. Ayrıca Johansen Eşbütünleşme testi sonucuna göre seriler eş bütünleşik değildir.

Anahtar Kelimeler:

KFE, BIST 100, Markov Switching Modeli

Investigation of housing price index and BIST 100 stock market index in Turkey with Markov Switching Model

The housing market and the stock market are the most important markets for Turkey. Therefore, these markets have a sensitive place in the economic growth of countries. This sensitivity is due to the fact that both markets always carry risks, and also cause them to have special internal risk bonds. In this study, Markov Switching Model was used to examine this relationship between the House Price Index in Turkey and the BIST100 price index. This model is one of the most popular methods in the literature on nonlinear series in recent years. According to the results of the Markov Switching Model, while the possibility of transition between regimes in series is low, the possibility of staying in the same regime is quite high. In addition, the series are not cointegrated according to the result of the Johansen Cointegration test.

Keywords:

HPI, BIST 100, Markov Switching Model,

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