Fourier Causality Relationship between Consumer Confidence Index, Policy Rate and ISE100 Index: The Case of Turkey
Chapter from the book:
Çevik,
E.
İ.
&
Kırcı Altınkeski,
B.
(eds.)
2023.
New Approaches in Granger Causality Testing.
Synopsis
In this study, the short-term causality relationship between consumer confidence index, policy rate and BIST100 index was investigated in Turkey. Using monthly data between 2011:01-2023:01, Enders and Jones (2016) Fourier Granger Causality analysis and Nazlıoğlu et al. (2016) Fourier was analyzed using Toda-Yamamoto Causality analysis. As a prerequisite for the Fourier Granger causality analysis, the stationarity of the variables was examined with the ADF unit root test. As a result of the analysis, a one-way short-term causality relationship was found from consumer confidence index to policy rate and from BIST100 to consumer confidence index.
Keywords:
How to cite this book
License
This work is licensed under a Creative Commons Attribution 4.0 International License.
Published
DOI
Categories
Copyright (c) 2023 Hayriye Esra Akyüz- İbrahim Sezer Belliler- Ahmet Demiralp- Emre Ürkmez- Samet Günay- Funda Durgun- Serhat Sezen- Buket Kırcı Altınkeski- Fatih Çemrek; Emrah İsmail Çevik- Buket Kırcı Altınkeski