Journal of Economics and Research

Yazarlar: Taylan Taner DOGAN, Tayyibe Isil DOGAN

Konular:-

Anahtar Kelimeler:NARDL,Stock Market,Exchange Rate,Turkey

Özet: The aim of this study is to examine the short and long-run symmetric and asymmetric effects of the exchange rates on the stock market in Turkey. Using the most recent monthly data for the period of December 2010-September 2020, the model developed in Bahmanie-Oskooee and Saha (2015) is estimated with ARDL (Autoregressive Distributed Lag) and NARDL (Nonlinear Autoregressive Distributed Lag) bounds testing approach. Since the specification error may occur when the asymmetric effect is not taken into account, the inclusion of symmetric and asymmetric effects together in the model have provided econometrically more meaningful results. According to the results of the NARDL test, a long-term equilibrium (cointegration) relationship among the variables of interest is determined and further, it is concluded that the exchange rate has an asymmetric effect on the stock market in both short and long-run.

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