The Effect Of Exchange Rate and Interest Rates On BIST Service Index: Evidence From ARDL Bounds Test

Authors : Serkan Çelik, Lütfü Sizer

Pages : 427-443

View : 71 | Download : 104

Publication Date : 2024-12-30

Article Type : Research Paper

Abstract :The BIST Service Index is used as an important tool for monitoring the performance of the service sector in Turkey, evaluating economic growth, guiding investment decisions, and portfolio diversification. Therefore, the study aims to determine the effect of exchange rates and interest rates on the BIST service index. For Turkey, the long-term relationship between the exchange rate, interest rate, and BIST service index was analyzed using the Autoregressive Distributed Latency (ARDL) frontier test, using monthly data for the period 2003:01-2023:01. The Toda-Yamamoto causality test was applied to determine the direction of causality between the variables. As a result of the analysis, it has been determined that there is a long-term cointegration relationship between the interest rate applied to dollars and deposits and the BIST service index. According to the results of the Toda-Yamamoto causality test, a one-way Granger causality relationship from the BIST service index to the interest rate was determined at the 5% significance level. A two-way Granger causality relationship was found between the exchange rate and the BIST service index, and between the exchange rate and interest rates.
Keywords : Döviz kuru, Faiz Oranı, BIST Hizmet Endeksi, ARDL Sınır Testi.