Risk İştahı ile Petrol Fiyatları, Döviz Kuru, Altın Fiyatları ve Faiz Oranları Arasında Nedensellik Analizi: Türkiye Örneği

Bu çalışmada Özyeğin Üniversitesi ve Merkezi Kayıt Kuruluşu işbirliği ile haftalık olarak yayımlanan ve finans dünyası tarafından finansal istikrar göstergesi olarak ifade edilen, tüm yatırımcı tiplerine ait risk iştahı verileri ile petrol fiyatları, döviz kurları, altın fiyatları ve faiz oranları arasında tek yönlü bir nedensellik ilişkisinin var olup olmadığı incelenmiştir. 2008-2015 dönemlerine ait haftalık veriler kullanılarak gerçekleştirilen çalışmada Granger 1969 Nedensellik Testi ile Breitung ve Candelon 2006 Frekans Nedensellik Testi uygulanmıştır. Elde edilen sonuçlar petrol fiyatlarından risk iştahına doğru uzun dönemli bir nedenselliği ortaya koymakla birlikte döviz kurundan risk iştahına doğru kısa, orta ve uzun dönemli bir nedensellik ilişkisinin olduğunu göstermektedir. Altın fiyatları ve faiz oranlarında oluşan değişimlerin, yatırımcıların risk iştahında kısa süreli bir nedensel etkiye sahip olduğu; uzun dönemde ise ilgili faktörlerin yatırım tercihleri üzerinde bir etkiye sahip olmadığı sonucuna ulaşılmıştır.

Anahtar Kelimeler:

Risk İştahı, Granger Nedensellik, Frekans Nedensellik

Causality Analysis Between Risk Appetite with Oil Prices, Currency Rates, Gold Prices, and Interest Rates: The Case of Turkey

In this study, one way causality between risk appetite, oil prices, currency rates. Gold prices and interest rates is examined. Ganger 1969 and Breitlung and Candelon 2006 causality tests are employed on the weekly data spanning from 2008 to 2015. According to the findings uni-directional causal relationship from oil prices to risk appetite is revealed on long term. Besides exchange rate movements has short, medium and long-term causality on risk appetite. Nevertheless, gold price changes and interest rate changes has short term causality on risk appetite. There is no potential clue found for a uni-directional causal relationship from gold price changes and interest rate changes on long-term

Keywords:

Risk Appetite, Granger Causality, Frequency Causality,

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