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Causality Relationship Between Global Risk Indicators and BIST-Tourism Index

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  • Esra SOYU YILDIRIM

Abstract

The aim of the study is to examine the causal relationship between the VIX index, oil price, dollar index, and BIST-Tourism index in the context of the global EPU between February 1997 and September 2022. To achieve this aim, the Fourier Toda Yamamoto (TY) causality test and the fractional Fourier TY causality test were used. The Fourier TY causality test results show that there is a one-way causative relationship between the dollar index and the BIST-Tourism index, between the VIX index and the global EPU index, and between the dollar index and oil price. In addition, it is seen that there is a bidirectional causal relationship between the dollar index and the global EPU index. According to the results obtained from the fractional Fourier TY causality test, there is a bidirectional causal relationship between BIST-tourism and global EPU and between BIST-tourism and oil price. In addition, a one-way causality relationship was found from the VIX index to the BIST-Tourism index, from the dollar index to the BIST-Tourism index, from the global EPU to the VIX index, and from the oil price to the dollar index. These results show that the shocks are permanent.

Suggested Citation

  • Esra SOYU YILDIRIM, 2023. "Causality Relationship Between Global Risk Indicators and BIST-Tourism Index," Fiscaoeconomia, Tubitak Ulakbim JournalPark (Dergipark), issue 2.
    • Handle: RePEc:fis:journl:230221
    DOI: 10.25295/fsecon.1264753
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    Keywords

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    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • L83 - Industrial Organization - - Industry Studies: Services - - - Sports; Gambling; Restaurants; Recreation; Tourism

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