Evaluating the Asymmetric Effects of Production, Interest Rate and Exchange Rate on the Turkish Stock Prices
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Dosyalar
Tarih
2019-04-02
Yazarlar
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Yayıncı
EGE UNIV
Erişim Hakkı
info:eu-repo/semantics/openAccess
Özet
The relationship between stock prices and macro variables has been studied exhaustively in the literature. However, most of the studies assume that this relationship is linear. In this paper, we evaluate the asymmetric effects of production, the interest rate and the exchange rate on Turkish stock prices using non-linear autoregressive distributed lags models. We find that there are both long-run and short-run asymmetric relationships between macro variables and Turkish stock prices. Our results indicate that non-linear models can yield more plausible results compare to linear models.
Açıklama
Anahtar Kelimeler
Stock Prices, macro variables, interest rate, asymmetry, exchange rate
Kaynak
EGE ACADEMIC REVIEW
WoS Q Değeri
N/A
