Abstract:

In this study, the effects of the Covid-19 pandemic process on the volatility of some selected economic variables in Turkey were examined with the vector autoregression (VAR) model. For this purpose, BIST100 price index, exchange rate, crude oil price index, Covid-19 death and case numbers were used for the period 2020:03-2022:08. The volatilities of the economic variables were obtained with the conditionally varying variances of the GARCH type models. ARMA(1,1)-EGARCH(1,1) model for BIST100 price index, ARMA(1,1)-GARCH(1,1) model for exchange rate volatility, AR(1)-GARCH(1,1) model for crude oil price index volatility was determined as the most suitable model. The results of impulse-response analysis and variance decomposition analysis of the VAR model presented findings supporting the effects of the Covid-19 process on the volatility of these economic variables. The VAR model Granger causality test, on the other hand, showed a one-sided causality relationship from exchange rate volatility, Covid-19 death numbers and Covid-19 case numbers to BIST100 price index volatility.

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