Abstract:

This study aims to investigate the long-term impact of monetary policy decisions of the Central Bank of the Republic of Turkey and monetary variables on Borsa Istanbul. To this goal HP (Hodrick-Prescott) and long run (F matrix) of the Structured VAR (SVAR) model has been used in the study. The analysis covers the periods 2005Q04 and 2019Q03. In order to measure the impact of the monetary policy of the Central Bank of the Republic of Turkey and monetary variables on BIST100, two models were applied which included the money supply of M2 and M3. The variables used in the study were M2, M3 money supply, inflation and short-term interest rate, exchange rate, S&P500 and GDP values. The Long Run Structural VAR model was used to see how the sudden shocks given to the variables - included in the analysis - would affect Borsa Istanbul. Empirical findings from the analysis the conclusion reached that the effects of exchange rate, money supply (M2 and M3), inflation and interest rate on BIST100 were negative in both applied models, but the effects of GDP and S&P were different.

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