SHORT- AND LONG-RUN ASYMMETRIC EFFECT OF OIL PRICE SHOCKS ON BIST100 RETURN INDEX: EVIDENCE FROM NARDL ANALYSIS
نویسندگان
چکیده
Bu çalışma, Türkiye’de 2003 Ocak-2019 Ocak dönemi arasında Ready (2018) tarafından önerilen üç farklı petrol fiyatı şokunun (talep, arz ve risk) BIST100 getirisi üzerindeki doğrusal olmayan etkisini NARDL modeli yaklaşımı ile incelemektedir. Elde ettiğimiz sonuçlarda şoklarıyla eşbütünleşme ilişkisinin varlığına şoklarındaki pozitif negatif değişmelerin kısa uzun dönemde önemli ölçüde değiştiği sonucuna rastlanmıştır. Pozitif talep şokları katsayıları sırasıyla, negatiftir şokundan daha büyük ekonomik etkiye sahiptir. sonuç global artışından hisse getirilerinin fazla etkilendiği anlamına gelmektedir. Toplam etkiler değerlendirildiğinde hem de risk incelenen senedi azalmasında sahip olduğu ulaşılmıştır.
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ژورنال
عنوان ژورنال: Erciyes Üniversitesi ?ktisadi ve ?dari Bilimler Fakültesi Dergisi
سال: 2022
ISSN: ['1301-3688', '2630-6409']
DOI: https://doi.org/10.18070/erciyesiibd.1067906