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- MakaleAçık Erişim2024THE CAUSALITY RELATIONSHIP BETWEEN CREDIT DEFAULT SWAPS (CDS) AND PORTFOLIO INVESTMENTS: THE CASE OF TÜRKİYE
Küçükosman, Asiye; Uzun, Sumeyye
This study examines the causality relationship between portfolio investments and credit default swaps (CDS) in T & uuml;rkiye. Analysing the dynamics between portfolio investments and CDS premiums, two important variables for financial markets is critical to understanding how risk perception and investment decisions are affected. While portfolio investments are generally considered an indicator of the confidence of foreign investors in the country's economy, CDS premiums are an important risk measure that reflects the country's debt risk and the risk perception of market participants. In this context, examining the relationships between the two variables contributes to the understanding of the effects of investor behavior and risk perception on macroeconomic indicators in financial markets. In the study, the Granger causality test was applied using data from the period 2014Q1-2024Q1. The results obtained show that CDS premiums have a significant and unidirectional causal effect on portfolio investments. Increases in CDS premiums increase investors' risk perception and lead to a decrease in portfolio investments. On the other hand, no causal effect of portfolio investments on CDS premiums was found. These findings emphasize the importance of risk management in terms of portfolio investments in T & uuml;rkiye and reveal that CDS premiums play a role in investor decisions.
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İncele - Yüksek Lisans TeziAçık Erişim2017İşlem hacmi ve hisse senedi fiyatları arasındaki ilişki üzerine borsa İstanbul'da bir uygulama
Enes Gürtay
Çalışmada, Borsa İstanbul 100 endeksin(BİST100)'de işlem gören hisse senedi fiyatları ile işlem hacmi arasındaki ilişki "Çoklu Yapısal Kırılmalı Eş-bütünleşme Testi" ile ilişkinin yönü ise "Granger Nedensellik Testi" ile incelenmiştir. Çalışmada 01/03/2002- 10/06/2016 tarihi arasındaki haftalık veriler kullanılarak yapılmıştır. Yapılan çalışmanın diğer çalışmalardan farklı olması ve daha açıklayıcı sonuçların elde edilebilmesi amacıyla çalışmaya Döviz Kuru ve Faiz Oranı değişkenleri ilave edilmiştir. Yapılan çalışmanın sonucunda, Maki (2012) Çoklu Yapısal Kırılmalı Eş-bütünleşme Testi ile değişkenler arasında uzun dönemli eş-bütünleşme ilişkisinin var olduğu, Granger nedensellik analizi ile de, BİST100 ile döviz kuru, işlem hacmi ile faiz oranları ve faiz oranları ile döviz kuru arasında çift yönlü nedensellik tespit edilmişken, BİST100 hisse senedi fiyatı ile faiz oranları arasında, faiz oranlarından BİST100 hisse senedi fiyatlarına doğru tek yönlü, işlem hacmi ile BİST100 hisse senedi fiyatı arasında BİST100 hisse senedi fiyatlarına doğru tek yönlü nedensellik ilişki tespit edilirken işlem hacmi ve döviz kuru arasında herhangi bir nedensellik ilişkisi tespit edilememiştir.
- Yüksek Lisans TeziAçık Erişim2016Human capital and economic growth relation: Case of Turkey
Fikret Onur Elma
This study examines the relationship between human capital and economic growth for Turkey. Human capital is described with two different variables as schooling rate and ratio of bachelors to total population. Therefore, within the scope of two different models the impact of human capital on economic growth is analyzed long/short termed. Relationships are analyzed with cointegration and causation analysis. According to analysis results schooling rate and ratio of bachelors to total population in Turkey do not have positive correlation in long term. This result is suprising in terms of expectations. However, under production of high tech product export is taken into consideration when comparing with developing countries, it's an expected result. In short term the ratio of bachelors to total population is found as Granger causation of economic growth. These results are expected to provide insight to those who decide educational policy.
- MakaleYalnız künye2014Is There a Causality Relationship Between Budget Deficit and Inflation Ratio During High Inflation Period? Case of Turkey Between 1978 and 2002
Dogru, Bulent
In this study it is analyzed whether there is a cause-and-effect relationship between inflation and budget deficit in Turkey with the annual data covering the time period between 19782002 when inflation was high and chronic. Econometric methods used in the study is based on the Johansen co-integration analysis and Granger causality connected error correction model. Empirical results suggest that in the longrun budget deficit and inflation is co-integrated, while budget deficit is Granger cause of inflation in short-run. However, inflation is not Granger cause of budget deficit. In other wordse causality is unilateral. The research also found that, response of inflation to a percentage increase in budget deficit is greater than ten percent in short-run.
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