The asymmetric response of Borsa Istanbul (BIST 100) to ınflation, ınterest rate, and exchange rate shocks: an analysis using the NARDL model

This study examines the responses of the BIST 100 index to inflation, interest rate, and exchange rate shocks in Turkey using monthly data from January 2016 to December 2024. The Toda-Yamamoto Granger causality test and the ARDL bounds test were applied, with the NARDL model used to capture asymmetric responses. The Toda-Yamamoto test reveals bidirectional causality between the BIST 100 index and interest rates, while unidirectional causality exists between the index and inflation. No causality is found between the BIST 100 index and exchange rates. The long-run ARDL model shows that inflation, interest rates, and exchange rate fluctuations significantly impact the BIST 100 index, with inflation and the exchange rate having a positive effect, and interest rates a negative one. The short-run model indicates the index adjusts toward long-run equilibrium, with short-term volatility in inflation, interest rates, and exchange rates influencing it. The NARDL model highlights asymmetric responses of the BIST 100 index to inflation, interest rate, and exchange rate shocks. In the short run, inflation and interest rate shocks significantly affect the index, with negative inflation shocks and positive interest rate shocks having notable impacts. However, inflation and exchange rates do not show asymmetric effects, as their responses to positive and negative shocks are similar. The interest rate exhibits asymmetry only in the short run.