Asymmetric effects of industrial production, money supply and exchange rate changes on stock returns in Turkey

The aim of this article is twofold: First, it examines the asymmetric effects of industrial production, money supply and RER on stock returns in Turkey by using the non-linear autoregressive distributed lag (NARDL) model over the periods of 1994:01-2017:05 and 2002:01-2017:05. Second, it tries to de...

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Bibliographic Details
Published inApplied economics Vol. 51; no. 20; pp. 2143 - 2154
Main Authors Tiryaki, Ahmet, Ceylan, Reşat, Erdoğan, Levent
Format Journal Article
LanguageEnglish
Published London Routledge 27.04.2019
Taylor & Francis Ltd
Subjects
Asymmetry
E44
economic activity
Economic analysis
Economic crisis
Economic models
Economic theory
Foreign exchange rates
Industrial production
Macroeconomics
Monetary policy
Money supply
non-linear ARDL
stock returns
Turkey
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Summary:The aim of this article is twofold: First, it examines the asymmetric effects of industrial production, money supply and RER on stock returns in Turkey by using the non-linear autoregressive distributed lag (NARDL) model over the periods of 1994:01-2017:05 and 2002:01-2017:05. Second, it tries to determine whether there is a change of these macroeconomic variables' effects on stock returns after the 2001 financial crisis since after 2002 period represents a structural break from the past in terms of economic, political and macroeconomic policy approaches. The study finds that the effects of the changes in industrial production, money supply and RER on stock returns are asymmetric, and the asymmetries are larger after the 2002 subsample compared to the full sample period. The empirical results further suggest that tight monetary policies appear to retard the stock returns more than easy monetary policies that stimulate them.
ISSN:0003-6846
1466-4283
DOI:10.1080/00036846.2018.1540850