Mehmet Levent ERDAŞ, Gamze GÖÇMEN YAĞCILAR

Türkiye’de Borsa Çevrimleri ile İş Çevrimleri Arasındaki İlişkilerin Analizi

Amaç- Çalışmanın amacı Türkiye’de Ocak 2000-Ağustos 2021 döneminde gerçekleşen iş çevrimlerinin ve borsa çevrimlerinin tespit edilmesi, genel özelliklerinin ortaya konulması ve ikisi arasındaki ilişkilerin analiz edilmesidir. Yöntem- Çevrimlerin tespit edilmesinde iki yöntem kullanılmıştır. İlk olarak Bry ve Boschan (1971) prosedürü uygulanmak suretiyle çevrimlerin dönüm noktaları belirlenmiştir. İkinci olarak HodrickPrescott (1997) filtresi ile belirlenen trend bileşeninden sapmalar hesaplanmış, böylece çevrim serileri oluşturulmuştur. Çalışmada borsa çevrimleri ve iş çevrimleri arasındaki ilişki Granger nedensellik testiyle, seriler arasındaki ilişkinin yönü ve derecesi ise Vektör Otoregresif Model (VAR) analizi ile test edilmeye çalışılmıştır. Bulgular- Granger nedensellik testi sonuçlarına göre borsa çevrimleri ile iş çevrimleri arasında tek yönlü bir nedensellik ilişkisinin bulunduğu ve bu iki seri arasındaki ilişkinin yönünün ise borsa çevrimlerinden iş çevrimlerine doğru olduğu tespit edilmiştir. Ayrıca, varyans ayrıştırması ve etki tepki analizi de iki seri arasındaki toplam değişimi açıklama yönünden bir dönüşüm süresinin yaklaşık 2 yıl olduğunu göstermektedir. Tartışma- Borsalarda meydana gelen çevrimlerin iş çevrimleri üzerinde nedensellik etkisine sahip olması, pay piyasalarının geleceğe dönük bir yapıya sahip olması itibarıyla anlamlıdır. Bu durum gelecek ekonomik aktivitelere ilişkin beklentilerin pay piyasasında fiyatlanması ile açıklanabilirken, pay fiyatlarındaki dalgalanmaların reel ekonomi üzerinde etkili olabileceğini de gösterebilir. Elde edilen bulgular politika yapıcılar borsa çevrimlerini potansiyel makroekonomik istikrarsızlığa karşı önlem almak için bir öncü gösterge olarak izlemelerinin yararlı olabileceğini göstermektedir.

Analysis of the Relationships Between Stock Market Cycles and Business Cycles in Turkey

Purpose- The aim of the study is to determine the business cycles and stock market cycles that took place in Turkey between January 2000 and August 2021, to reveal their general characteristics and to analyze the relations between the two. Design/methodology/approach – Two methods were used to detect the cycles. First, the turning points of the cycles were determined by applying the Bry and Boschan (1971) procedure. Second, the deviations from the trend component determined by the Hodrick-Prescott (1997) filter were calculated, so the cycle series were created. In the study, the relationship between stock market cycles and business cycles was tested with the Granger causality test, and the direction and degree of the relationship between the series was tested with Vector Autoregressive Model (VAR) analysis. Findings- Granger causality test results show that there is a one-way causality relationship between stock market cycles and business cycles, and the direction of the relationship between these two series is from stock market cycles to business cycles. In addition, variance decomposition and impulse response analysis also show that a conversion time is approximately 2 years in terms of explaining the total change between the two series. Discussion- The fact that the cycles occurring in the stock markets have a causality effect on the business cycles is meaningful since the stock markets have a future-oriented structure. While this can be explained by the pricing of expectations regarding future economic activities in the stock market, it can also show that fluctuations in share prices may have an impact on the real economy. The findings suggest that it may be beneficial for policy makers to monitor stock market cycles as a leading indicator to counter potential macroeconomic instability.

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