The Relationship Among Fiscal Deficit, Stock Market, and Money Supply: Empirical Evidence for Turkey

The objective of this paper is to examine the asymmetric relationship among fiscal deficit, stock market, and money supply in Turkey for the period between January 2006 and September 2019 by utilizing nonlinear autoregressive distributed lag (NARDL) methodology. Our findings demonstrate that while positive changes in share price affect fiscal deficit significantly and symmetrically in the long-run, in the short-run only negative changes in share prices influence fiscal deficit asymmetrically. Fiscal deficit does not seem to have significant impact on share prices neither in long- nor short-run. Finally, money supply is affected from both decrease and increase in share prices symmetrically and negatively in the short-run. Neither changes in fiscal deficit nor share price have significant influence on money supply in the long-run. The findings of this study provide valuable inputs for the investors in stock market and policy makers.

Mali Açık, Hisse Senedi Piyasaları ve Para Arzı Arasındaki İlişki: Türkiye’den Kanıt

Bu çalışma, Türkiye için mali açık, hisse senedi piyasaları ve para arzı arasındaki ilişkiyi, doğrusal olmayan otoregresif dağıtılmış gecikme (NARDL) yöntemini kullanarak ampirik olarak incelemeyi amaçlamaktadır. Türkiye'nin Ocak 2006-Eylül 2019 arasındaki aylık zaman serisi verileri kullanılmıştır. Bulgularımız, hisse senedi fiyatındaki olumlu değişikliklerin mali açığı uzun vadede etkilediğini, kısa vadede ise hisse senedi fiyatlarındaki negatif değişikliklerin asimetrik olarak etkilediğini göstermektedir. Mali açığın kısa veya uzun vadede hisse senetleri üzerinde bir etkisi bulunmazken, hisse senedi fiyatlarındaki azalış ve artışın kısa vadede simetrik ve negatif olarak para arzını etkilediği gösterilmiştir. Bu çalışma, hisse senedi piyasası yatırımcıları ve politika yapıcılar tarafından önemli bulgular sunmaktadır.

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