Araştırma Makalesi
BibTex RIS Kaynak Göster

THE RELATIONSHIP BETWEEN ECONOMIC POLICY UNCERTAINTY AND INCOME-VOLATILITY: EVIDENCE FROM DEVELOPED COUNTRY EXCHANGES

Yıl 2023, Cilt: 6 Sayı: 1, 15 - 27, 01.04.2023

Serkan Kaya Murat Kaya İsmail Çelik

https://doi.org/10.32951/mufider.1205714

Öz

Kaynakça

  • Akdağ, S. (2020). Ekonomi Politikalarındaki Belirsizliklerin Güven Endeksleri Üzerindeki Etkisi. Maliye ve Finans Yazıları, 113-139. doi:https://doi.org/10.33203/mfy.574113
  • Akkuş, Ö. (2017). Ekonomik Politika Belirsizliği ve Politik İstikrarsızlığın Büyüme Üzerindeki Etkisi. Anadolu Üniversitesi Sosyal Bilimler Dergisi, 27-46. doi:https://doi.org/10.18037/ausbd.417272
  • Al-Thaqeb, S., & Algharabali (2019). Economic Policy Uncertainty: A Literature Review. The Journal of Economic Asymmetries, 20, 1-11. doi:https://doi.org/10.1016/j.jeca.2019.e00133
  • Aruri, M., Rault, C., ve Teulon, F. (2014). Economic Policy Uncertainty, Oil Price Shocks and GCC Stock Markets. Economics Bulletin, 34(3), 1822-1834. https://ideas.repec.org/a/ebl/ecbull/eb-14-00507.html
  • Bahmani-Oskooee ve Maki-Nayeri N. (2019). Asymmetric Effects of Policy Uncertainty on Domestic Investment in G7 Countries. Open Economies Review ,675-693. doi:https://doi.org/10.1007/s11079-019-09523-z Baker, S., Bloom, N. ve Davis , S. (2016). Measuring Economic Policy Uncertainty. Quarterly Journal of Economics, 131(4). doi:https://doi.org/10.1093/qje/qjw024
  • Baker, S. ve Bloom, N. (2013). Does Uncertainty Reduce Growth? Using Disasters As Natural Experiments Using Disasters As Natural Experiments, 1-35. doi:10.3386/w19475
  • Bali , T., Brown, S. ve Tang , Y. (2017). Is Economic Uncertainty Priced in The Cross-Section Of Stock Returns? Journal of Financial Economics, 126(3), 471-489. doi:https://doi.org/10.1016/j.jfineco.2017.09.005
  • Bekaert, G., Hoerova, M. ve Duca, M. (2013). Risk, Uncertainty and Monetary Policy. Journal of Monetary Economics, 60(7), 771-788. doi:https://doi.org/10.1016/j.jmoneco.2013.06.003
  • Bollerslev , T. (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 31(3), 307-327. doi:https://doi.org/10.1016/0304-4076(86)90063-1
  • Brooks, C. (2014). Introductory Econometrics for Finance, Third Edition. New York: Cambridge University Press.
  • Caggiano, G., ve Castelnuovo, E. (2014). Uncertainty Shocks And Unemployment Dynamics in U.S. recessions. Journal of Monetary Economics, 67, 78-92. doi:https://doi.org/10.1016/j.jmoneco.2014.07.006
  • Caggiano, G., Castelnuovo, E. ve Figueres, J. (2017). Economic Policy Uncertainty And Unemployment In The United States: A Nonlinear Approach. Economics Letters, 151, 31-34. doi:https://doi.org/10.1016/j.econlet.2016.12.002
  • Carhart, M. (2012). On Persistence In Mutual Fund Performance. The Journal of Finance, 57-82. doi:https://doi.org/10.1111/j.1540-6261.1997.tb03808.x
  • Cižmešija, M., Lolić, I., & Sorić, P. (2017). Economic policy uncertainty index and economic activity: what causes what? Croatian Operational Research Review, 8, 563-575. https://hrcak.srce.hr/ojs/index.php/crorr/article/view/4561
  • Colombo, V. (2013). Economic Policy Uncertainty In The US: Does It Matter For The Euro Area? Economics Letters, 121, 39-42. doi:https://doi.org/10.1016/j.econlet.2013.06.024
  • Demir, E., Gozgor, G., Lau, C. ve Vigne, S. (2018). Does Economic Policy Uncertainty Predict Bitcoin Returns? Empirical Research. Finance Research Letters, 26, 145-149. doi:https://doi.org/10.1016/j.frl.2018.01.005
  • Engle, R. (1982). Estimates of UK Inflation Variance with Autoregressive Conditional Variance. Econometric Society, 50(4), 987-1007. doi:https://doi.org/10.2307/1912773
  • Fang, L., Chen, B., Yu, H., ve Qian, Y. (2017). The Importance Of Global Economic Policy Uncertainty In Predicting Gold Futures Market Volatility: A GARCH-MIDAS Approach. Futures Market Magazine, 38(3), 414-424. doi:https://doi.org/10.1002/fut.21897
  • Gönül , Ç., Durnev, S. ve Qian, Y. (2017). Political Uncertainty and Public Offering Activity: Evidence from the U.S. Governor's Elections. Journal of Financial and Quantitative Analysis, 52(6), 2523 - 2564. doi:DOI: https://doi.org/10.1017/S0022109017000862
  • Gülen, H., ve İyon, M. (2016). Policy Uncertainty and Institutional Investment. Review of Financial Research, 29(3), 523–564. doi:https://doi.org/10.1093/rfs/hhv050
  • Hasan , M., Naeem, M. ve Arif, M. (2020). The Role of Economic Policy Uncertainty in the Inter-Country Equity Market Volatility. Application of Mathematical Methods in Financial Economics, 1-27. doi:https://doi.org/10.3390/math8111904
  • He, Z. ve Niu, J. (2017). The Effect Of Economic Policy Uncertainty On Bank Valuations. Applied Economics Letters, 345-347. doi:https://doi.org/10.1080/13504851.2017.1321832
  • Institute of International Finance. (2021). Institute of International Finance: https://www.iif.com/Research/Capital-Flows-and-Debt/Capital-Flows-Tracker/lapg-7321/2
  • Jones , P. ve Olson, E. (2013). Time-Varying Correlation Between Uncertainty, Output, And Inflation: Evidence From The DCC-GARCH Model. Economy Letters, 118(1), 33-37. doi:https://doi.org/10.1016/j.econlet.2012.09.012
  • Kang, S. H., (2008). Empirical Analyses of Long Memory in the Korean Stock Market‖, School of Commerce Division of Business and Enterprise University of South Australia, PHD, Australia.
  • Kang, W. ve Ratt, R. (2013). Structural Oil Price Shocks And Policy Uncertainty. Economic Modeling, 35, 314-319. doi:https://doi.org/10.1016/j.econmod.2013.07.025
  • Karnizova, L. ve Li, J. (2014). Economic Policy Uncertainty, Financial Markets And The Possibility Of Recession In The USA. Economy Letters, 125(2), 261-265. doi:https://doi.org/10.1016/j.econlet.2014.09.018
  • Krugman, P. ve Obstfeld, M. (2009). Theory And Policy). https://scholar.google.com/scholar?cluster=7196352133404252381&hl=tr&as_sdt=2005&sciodt=0,5
  • Kido, Y. (2016). On The Link Between US Economic Policy Uncertainty And Exchange Rates. Economy Letters, 144, 49-52. doi:https://doi.org/10.1016/j.econlet.2016.04.022
  • Leduca, S., ve Liu, Z. (2016). Uncertainty Shocks Are Aggregate Demand Shocks. Journal of Money Economy, 82, 20-35. doi:https://doi.org/10.1016/j.jmoneco.2016.07.002
  • Milesi-Ferretti, G.-M. ve Tille, C. (2011). Big Savings: International Capital Flows During The Global Financial Crisis. Economic Policy, 26(66), 289-346. doi:https://doi.org/10.1111/j.1468-0327.2011.00263.x
  • Özdemir Höl, A. ve Akkuş, H.T. (2021). Volatilite Modelleri, Editör: Çelik İ. ve Kahyaoğlu S. B., Finansal Zaman Serilerisi Analizi: Finansçılar İçin Temel Yaklaşımlar, Ankara: Gazi Kitapevi.
  • Rossi, B. S. (2017). Macroeconomic Uncertainty Indices For The Eurozone And Its Individual Member States. Empir Econ, 41–62. doi:https://doi.org/10.1007/s00181-017-1248-z
  • Schmidt, T. ve Zwick , L. (2015). Uncertainty And Excessive Capital Flows In The Eurozone. Economic Modeling, 48, 343-356. doi:https://doi.org/10.1016/j.econmod.2014.10.047
  • Tsay, R. S. (2005). Analysis Of Financial Time Series. John Wiley & Sons.
  • Wu, T.P, Liu, S.B., Hsueh S.J. (2016). Causal Relationship Between Economic Policy Uncertainty and Stock Market: Panel Data Analysis. International Journal of Economics, 109-122. doi:https://doi.org/10.1080/10168737.2015.1136668
  • Yin, D. ve Zhang, J.W. (2017). Causality Between Economic Policy Uncertainty And Change. Theoretical and Applied Economics, 29-38. doi:http://store.ectap.ro/articole/1291.pdf

EKONOMİ POLİTİKA BELİRSİZLİĞİ ve GETİRİ-VOLATİLİTE İLİŞKİSİ: GELİŞMİŞ ÜLKE BORSALARINDAN KANITLAR

Yıl 2023, Cilt: 6 Sayı: 1, 15 - 27, 01.04.2023

Serkan Kaya Murat Kaya İsmail Çelik

https://doi.org/10.32951/mufider.1205714

Öz

Bu çalışmada, 01/11/2016 - 01/11/2021 tarihleri arasında ABD Ekonomi Politika Belirsizlik Endeksinin (EPU) seçilmiş bazı gelişmiş ülke borsalarının getiri ve volatiliteleri üzerindeki etkilerinin belirlenmesi amaçlanmıştır. Bu amaçla DOW(ABD), FTSE(ENG), DAX(GER), NİKKE(JPN) ve ABD EPU endeksleri arasındaki ilişki GARCH modeli kullanılarak analiz edilmiştir. GARCH (1,1) modelinden elde edilen bulgulara göre, ortalama denkleminde bulunan Belirsizlik Endeksi, NIKKEI endeksi hariç olmak üzere diğer endekslerde düşük değerler almış olmakla birlikte istatistiki olarak anlamlı çıkmıştır. Varyans denkleminde yer alan Belirsizlik Endeksi ise tüm değişkenlerde düşük değerli olsa da istatistiki olarak anlamlı çıkmıştır. Belirsizlik Endeksinin hem ortalama hem de varyans denklemlerinde anlamlı olması Belirsizlik Endeksinin analize dâhil edilen ülkelerin borsa endeks getiri ve volatilitelerini etkilediğini göstermektedir.

Anahtar Kelimeler

Ekonomi Politika Belirsizliği Getiri Volatilite GARCH

Kaynakça

  • Akdağ, S. (2020). Ekonomi Politikalarındaki Belirsizliklerin Güven Endeksleri Üzerindeki Etkisi. Maliye ve Finans Yazıları, 113-139. doi:https://doi.org/10.33203/mfy.574113
  • Akkuş, Ö. (2017). Ekonomik Politika Belirsizliği ve Politik İstikrarsızlığın Büyüme Üzerindeki Etkisi. Anadolu Üniversitesi Sosyal Bilimler Dergisi, 27-46. doi:https://doi.org/10.18037/ausbd.417272
  • Al-Thaqeb, S., & Algharabali (2019). Economic Policy Uncertainty: A Literature Review. The Journal of Economic Asymmetries, 20, 1-11. doi:https://doi.org/10.1016/j.jeca.2019.e00133
  • Aruri, M., Rault, C., ve Teulon, F. (2014). Economic Policy Uncertainty, Oil Price Shocks and GCC Stock Markets. Economics Bulletin, 34(3), 1822-1834. https://ideas.repec.org/a/ebl/ecbull/eb-14-00507.html
  • Bahmani-Oskooee ve Maki-Nayeri N. (2019). Asymmetric Effects of Policy Uncertainty on Domestic Investment in G7 Countries. Open Economies Review ,675-693. doi:https://doi.org/10.1007/s11079-019-09523-z Baker, S., Bloom, N. ve Davis , S. (2016). Measuring Economic Policy Uncertainty. Quarterly Journal of Economics, 131(4). doi:https://doi.org/10.1093/qje/qjw024
  • Baker, S. ve Bloom, N. (2013). Does Uncertainty Reduce Growth? Using Disasters As Natural Experiments Using Disasters As Natural Experiments, 1-35. doi:10.3386/w19475
  • Bali , T., Brown, S. ve Tang , Y. (2017). Is Economic Uncertainty Priced in The Cross-Section Of Stock Returns? Journal of Financial Economics, 126(3), 471-489. doi:https://doi.org/10.1016/j.jfineco.2017.09.005
  • Bekaert, G., Hoerova, M. ve Duca, M. (2013). Risk, Uncertainty and Monetary Policy. Journal of Monetary Economics, 60(7), 771-788. doi:https://doi.org/10.1016/j.jmoneco.2013.06.003
  • Bollerslev , T. (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 31(3), 307-327. doi:https://doi.org/10.1016/0304-4076(86)90063-1
  • Brooks, C. (2014). Introductory Econometrics for Finance, Third Edition. New York: Cambridge University Press.
  • Caggiano, G., ve Castelnuovo, E. (2014). Uncertainty Shocks And Unemployment Dynamics in U.S. recessions. Journal of Monetary Economics, 67, 78-92. doi:https://doi.org/10.1016/j.jmoneco.2014.07.006
  • Caggiano, G., Castelnuovo, E. ve Figueres, J. (2017). Economic Policy Uncertainty And Unemployment In The United States: A Nonlinear Approach. Economics Letters, 151, 31-34. doi:https://doi.org/10.1016/j.econlet.2016.12.002
  • Carhart, M. (2012). On Persistence In Mutual Fund Performance. The Journal of Finance, 57-82. doi:https://doi.org/10.1111/j.1540-6261.1997.tb03808.x
  • Cižmešija, M., Lolić, I., & Sorić, P. (2017). Economic policy uncertainty index and economic activity: what causes what? Croatian Operational Research Review, 8, 563-575. https://hrcak.srce.hr/ojs/index.php/crorr/article/view/4561
  • Colombo, V. (2013). Economic Policy Uncertainty In The US: Does It Matter For The Euro Area? Economics Letters, 121, 39-42. doi:https://doi.org/10.1016/j.econlet.2013.06.024
  • Demir, E., Gozgor, G., Lau, C. ve Vigne, S. (2018). Does Economic Policy Uncertainty Predict Bitcoin Returns? Empirical Research. Finance Research Letters, 26, 145-149. doi:https://doi.org/10.1016/j.frl.2018.01.005
  • Engle, R. (1982). Estimates of UK Inflation Variance with Autoregressive Conditional Variance. Econometric Society, 50(4), 987-1007. doi:https://doi.org/10.2307/1912773
  • Fang, L., Chen, B., Yu, H., ve Qian, Y. (2017). The Importance Of Global Economic Policy Uncertainty In Predicting Gold Futures Market Volatility: A GARCH-MIDAS Approach. Futures Market Magazine, 38(3), 414-424. doi:https://doi.org/10.1002/fut.21897
  • Gönül , Ç., Durnev, S. ve Qian, Y. (2017). Political Uncertainty and Public Offering Activity: Evidence from the U.S. Governor's Elections. Journal of Financial and Quantitative Analysis, 52(6), 2523 - 2564. doi:DOI: https://doi.org/10.1017/S0022109017000862
  • Gülen, H., ve İyon, M. (2016). Policy Uncertainty and Institutional Investment. Review of Financial Research, 29(3), 523–564. doi:https://doi.org/10.1093/rfs/hhv050
  • Hasan , M., Naeem, M. ve Arif, M. (2020). The Role of Economic Policy Uncertainty in the Inter-Country Equity Market Volatility. Application of Mathematical Methods in Financial Economics, 1-27. doi:https://doi.org/10.3390/math8111904
  • He, Z. ve Niu, J. (2017). The Effect Of Economic Policy Uncertainty On Bank Valuations. Applied Economics Letters, 345-347. doi:https://doi.org/10.1080/13504851.2017.1321832
  • Institute of International Finance. (2021). Institute of International Finance: https://www.iif.com/Research/Capital-Flows-and-Debt/Capital-Flows-Tracker/lapg-7321/2
  • Jones , P. ve Olson, E. (2013). Time-Varying Correlation Between Uncertainty, Output, And Inflation: Evidence From The DCC-GARCH Model. Economy Letters, 118(1), 33-37. doi:https://doi.org/10.1016/j.econlet.2012.09.012
  • Kang, S. H., (2008). Empirical Analyses of Long Memory in the Korean Stock Market‖, School of Commerce Division of Business and Enterprise University of South Australia, PHD, Australia.
  • Kang, W. ve Ratt, R. (2013). Structural Oil Price Shocks And Policy Uncertainty. Economic Modeling, 35, 314-319. doi:https://doi.org/10.1016/j.econmod.2013.07.025
  • Karnizova, L. ve Li, J. (2014). Economic Policy Uncertainty, Financial Markets And The Possibility Of Recession In The USA. Economy Letters, 125(2), 261-265. doi:https://doi.org/10.1016/j.econlet.2014.09.018
  • Krugman, P. ve Obstfeld, M. (2009). Theory And Policy). https://scholar.google.com/scholar?cluster=7196352133404252381&hl=tr&as_sdt=2005&sciodt=0,5
  • Kido, Y. (2016). On The Link Between US Economic Policy Uncertainty And Exchange Rates. Economy Letters, 144, 49-52. doi:https://doi.org/10.1016/j.econlet.2016.04.022
  • Leduca, S., ve Liu, Z. (2016). Uncertainty Shocks Are Aggregate Demand Shocks. Journal of Money Economy, 82, 20-35. doi:https://doi.org/10.1016/j.jmoneco.2016.07.002
  • Milesi-Ferretti, G.-M. ve Tille, C. (2011). Big Savings: International Capital Flows During The Global Financial Crisis. Economic Policy, 26(66), 289-346. doi:https://doi.org/10.1111/j.1468-0327.2011.00263.x
  • Özdemir Höl, A. ve Akkuş, H.T. (2021). Volatilite Modelleri, Editör: Çelik İ. ve Kahyaoğlu S. B., Finansal Zaman Serilerisi Analizi: Finansçılar İçin Temel Yaklaşımlar, Ankara: Gazi Kitapevi.
  • Rossi, B. S. (2017). Macroeconomic Uncertainty Indices For The Eurozone And Its Individual Member States. Empir Econ, 41–62. doi:https://doi.org/10.1007/s00181-017-1248-z
  • Schmidt, T. ve Zwick , L. (2015). Uncertainty And Excessive Capital Flows In The Eurozone. Economic Modeling, 48, 343-356. doi:https://doi.org/10.1016/j.econmod.2014.10.047
  • Tsay, R. S. (2005). Analysis Of Financial Time Series. John Wiley & Sons.
  • Wu, T.P, Liu, S.B., Hsueh S.J. (2016). Causal Relationship Between Economic Policy Uncertainty and Stock Market: Panel Data Analysis. International Journal of Economics, 109-122. doi:https://doi.org/10.1080/10168737.2015.1136668
  • Yin, D. ve Zhang, J.W. (2017). Causality Between Economic Policy Uncertainty And Change. Theoretical and Applied Economics, 29-38. doi:http://store.ectap.ro/articole/1291.pdf
Toplam 37 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Konular Finans
Bölüm Makaleler
Yazarlar

Serkan Kaya 0000-0003-1991-0699

Murat Kaya 0000-0002-5988-0773

İsmail Çelik 0000-0002-6330-754X

Erken Görünüm Tarihi 1 Nisan 2023
Yayımlanma Tarihi 1 Nisan 2023
Gönderilme Tarihi 16 Kasım 2022
Kabul Tarihi 15 Ocak 2023
Yayımlandığı Sayı Yıl 2023 Cilt: 6 Sayı: 1

Kaynak Göster

APA Kaya, S., Kaya, M., & Çelik, İ. (2023). EKONOMİ POLİTİKA BELİRSİZLİĞİ ve GETİRİ-VOLATİLİTE İLİŞKİSİ: GELİŞMİŞ ÜLKE BORSALARINDAN KANITLAR. Muhasebe Ve Finans İncelemeleri Dergisi, 6(1), 15-27. https://doi.org/10.32951/mufider.1205714
 Kapak Resmi İndir


88x31.png
Muhasebe ve Finans İncelemeleri Dergisi Creative Commons Atıf-GayriTicari 4.0 Uluslararası Lisansı ile lisanslanmıştır.