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The Relationship between Interest Rates, Exchange Rates, Gold Prices, and Stock Prices: Evidence from the Fourier Analysis

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  • Anıl LÖGÃœN

Abstract

This study aims to examine the long-term and short-term relationships between interest rates, exchange rates, gold prices, and stock prices in Türkiye. The relationship between interest rates, exchange rates, gold prices, and stock prices in Türkiye was investigated for the period 2012:05-2024:10 in this study. The study employs traditional unit root tests, Fourier stationarity test, and Fourier cointegration test. The results of the Fourier cointegration analysis reveal a long-term relationship among interest rates, exchange rates, gold prices, and stock prices. The findings indicate that increases in gold prices, exchange rates, and interest rates positively affect stock prices. However, short-term analyses show that these variables do not have a significant effect on stock prices. The study provides important insights that investors and policymakers should consider when making strategic decisions. The results can contribute to understanding the dynamics of financial markets in Türkiye and offer valuable guidance to investors in their decision-making processes related to market behaviors.

Suggested Citation

  • Anıl LÖGÃœN, 2025. "The Relationship between Interest Rates, Exchange Rates, Gold Prices, and Stock Prices: Evidence from the Fourier Analysis," Fiscaoeconomia, Tubitak Ulakbim JournalPark (Dergipark), issue 3.
    • Handle: RePEc:fis:journl:250325
    DOI: 10.25295/fsecon.1622796
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    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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