Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/320191 
Erscheinungsjahr: 
2023
Quellenangabe: 
[Journal:] The European Journal of Comparative Economics (EJCE) [ISSN:] 1824-2979 [Volume:] 20 [Issue:] 2 [Year:] 2023 [Pages:] 223-238
Verlag: 
University Carlo Cattaneo (LIUC), Castellanza
Zusammenfassung: 
The research examines the influence of the domestic interest rate and spillover effect of the European Central Bank (ECB) interest rates on Türkiye's stock market from January 1999 to January 2019. The research applied the Autoregressive Distributed Lag (ARDL) co-integration method to analyze the interaction among the tested variables. The Fully Modified-Ordinary Least Square (FMOLS), and Canonical Co-integrating Regression (CCR) tests are employed to support the findings of the ARDL model. A newly developed combined co-integration approach as proposed by Bayer-Hanck (BH) is utilized to promote the ARDL co-integration method. Furthermore, the Granger Causality approach is utilized to explore the causal linkage among tested variables. The findings indicated that Türkiye's stock market was negatively affected by the domestic interest rate volatility. Moreover, the study found that Türkiye's stock market was negatively affected by the ECB interest rate policy. The research suggested that the economic ties and integration among Turkey and the European Union (EU) countries led to increasing the sensitivity and volatility of Türkiye's stock market to ECB interest rate policy. It is suggested that the monetary authorities of Türkiye should pay more attention to stock market stability through monetary policy channels. Furthermore, they should pay more attention to the effects of external shocks such as ECB policy to maintain market stability.
Schlagwörter: 
ECB
interest rate
ARDL
Bayer-Hanck
economic crises
JEL: 
E00
G00
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