BRICS Ülkelerinde Döviz Kuru, Enflasyon ve Hisse Senedi Piyasası İlişkisi: Asimetrik Panel Nedensellik Testi

Bu çalışmada döviz kuru, enflasyon ve hisse senedi fiyat endeks değeri arasındaki nedensellik ilişkisi BRICS ülkeleri Brezilya, Rusya, Hindistan, Çin ve Güney Afrika için Ocak 2001 ve Temmuz 2017 tarihleri arasındaki süreç dikkate alınarak araştırılmıştır. Çalışmada öncelikle ülkelerin nedensellik ilişkisini tespit edebilmek amacıyla Panel Bootstrap Nedensellik testine yer verilmiş sonrasında ise veriler pozitif ve negatif bileşenlerine ayrılarak asimetrik nedensellik testi gerçekleştirilmiştir. Simetrik nedensellik testi sonuçlarına göre Rusya ve Güney Afrika için döviz kuru ve enflasyon arasında çift yönlü bir nedensellik tespit edilmiştir. Ayrıca diğer ülkeler için bazı değişkenlerde tek yönlü nedensellik bulguları elde edilmiştir. Asimetrik nedensellik testi sonuçlarına göre bileşenler arasında tespit edilen farklı anlamlılık düzeylerindeki saklı ilişkiler, BRICS ülkeleri için asimetrik bulguların varlığına işaret etmektedir.

Anahtar Kelimeler:

Döviz Kuru, Hisse Senedi Endeksi, BRICS, Bootstrap, Asimetrik Nedensellik

Exchange Rate, Inflation and Stock Market Relations in BRICS Countries: Asymmetric Panel Causality Test

In this study, causal relation among exchange rate, inflation and stock market have been investigated for BRICS countries Brazil, Russia, India, China and South Africa taking into consideration the time period between January 2001 and July 2017. In the study, Panel Bootstrap Causality test has been used in order to determine the causality relation of the countries, and then the asymmetric causality test has been performed by dividing the data into the positive and negative components. According to the results of symmetric causality test, there is a bidirectional causality between exchange rate and inflation for Russia and South Africa. In addition, for other countries, unidirectional causality findings have been obtained for some variables. According to the results of the asymmetric causality test, hidden relationships detected between positive and negative components at different levels of significance indicate the presence of asymmetric findings for BRICS countries

Keywords:

Exchange Rate, Stock Market, BRICS, Bootstrap, Asymmetric Causality,

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