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Asymmetric effects of industrial production, money supply and exchange rate changes on stock returns in Turkey

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  • Ahmet Tiryaki
  • Reşat Ceylan
  • Levent Erdoğan

Abstract

The aim of this article is twofold: First, it examines the asymmetric effects of industrial production, money supply and RER on stock returns in Turkey by using the non-linear autoregressive distributed lag (NARDL) model over the periods of 1994:01–2017:05 and 2002:01–2017:05. Second, it tries to determine whether there is a change of these macroeconomic variables’ effects on stock returns after the 2001 financial crisis since after 2002 period represents a structural break from the past in terms of economic, political and macroeconomic policy approaches. The study finds that the effects of the changes in industrial production, money supply and RER on stock returns are asymmetric, and the asymmetries are larger after the 2002 subsample compared to the full sample period. The empirical results further suggest that tight monetary policies appear to retard the stock returns more than easy monetary policies that stimulate them.

Suggested Citation

  • Ahmet Tiryaki & Reşat Ceylan & Levent Erdoğan, 2019. "Asymmetric effects of industrial production, money supply and exchange rate changes on stock returns in Turkey," Applied Economics, Taylor & Francis Journals, vol. 51(20), pages 2143-2154, April.
    • Handle: RePEc:taf:applec:v:51:y:2019:i:20:p:2143-2154
    DOI: 10.1080/00036846.2018.1540850
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    Cited by:

    1. Mercan Hatipoglu, 2023. "What Determined Stock Returns in Turkey from 1990 to 2022: Evidence from Structural Break Regression," Istanbul Journal of Economics-Istanbul Iktisat Dergisi, Istanbul University, Faculty of Economics, vol. 73(73-1), pages 185-202, June.

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