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Long-term Relationship of Macroeconomic Variables and Financial Variables: SVAR Analysis

Author

Listed:
  • Ahmet SENGONUL
  • Haci Ahmet KARADAS
  • Serife Merve KOSAROGLU

Abstract

The estimation of the future values of the economic factors is followed by the internal and external market players and is considered important factor that gives ideas about the economic stability of the country. In this context, economic units form their investment decisions in line with their future forecasts. The way in which the future value of the economic indicators will be determined is one of the most important factors that determine the estimates and affect the investment decisions. In this study, the response of selected macroeconomic and financial variables to the structural shocks are analyzed in this study. The series used in the study belonged to the period of 2005: 01-2018: 05 and industrial production index, inflation, interest, currency basket, gold prices are used to represent the macroeconomic variables and Borsa Ýstanbul Index is used to represent the financial market. As a result of the analysis, it was determined that the structural shocks formed by the exchange rates in the long-term had an intense impact on the market and the industrial production index was less affected by the shocks.

Suggested Citation

  • Ahmet SENGONUL & Haci Ahmet KARADAS & Serife Merve KOSAROGLU, 2018. "Long-term Relationship of Macroeconomic Variables and Financial Variables: SVAR Analysis," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, vol. 12(1), pages 63-85.
    • Handle: RePEc:bdd:journl:v:12:y:2018:i:1:p:63-85
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    More about this item

    Keywords

    Macroeconomic Variables; Financial Variables; SVAR Analysis;
    All these keywords.

    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • G01 - Financial Economics - - General - - - Financial Crises
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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