Investigation of Causality Relationships among COVID-19 Cases, ISE100 Index, Dollar, Euro, Gram Gold Prices and 2 Years Bond Rates: The Case of Turkey

Authors : Yüksel Akay ÜNVAN

Pages : 29-42

Doi:10.17093/alphanumeric.731303

View : 31 | Download : 21

Publication Date : 2020-06-30

Article Type : Research Paper

Abstract :The purpose of this research is to analyze such economic data during the outbreak of the COVID-19 in Turkey. The variable rates were taken from COVID-19 situations, ISE-100 index, Turkish lira dollar insert ignore into journalissuearticles values(TRY);, TRY euro prices, TRY gram Gold and two year bond rates. General COVID-19 information was provided and certain financial indicators were investigated in COVID-19 insert ignore into journalissuearticles values(47 days);. First of all, these variables were used as descriptive statistics and correlation matrix. For the purposes of stationarity testing, the first variables were stationary with Augmented Dickey-Fuller and Phillips-Terron Tests. The lag duration of the deployment model VECM was then calculated as the fourth lag with the highest information requirement. The co-integration relationship between the variables was calculated by the Johansen Cointegration Test. Thanks to this relationship, the variables have a long-term correlation. The Vector Fix Model insert ignore into journalissuearticles values(VECM); was chosen because it is co-integration. Inverse roots, autocorrelation and normality have been developed, which are essential assumptions to use the VECM insert ignore into journalissuearticles values(4); model; Therefore, the Granger Causality / Block Exogeneity Wald Test was applied to the variables of the VECMinsert ignore into journalissuearticles values(4); model to define causality relationships between these variables. The results of this test have identified causalities for Turkey 2 years of government bond rates, Euro in TRY, Dollar prices in TRY and Gram in TRY.
Keywords : COVID 19, COVID 19 Turkey, Euro, Dollar, Gold, Bonds, ISE100