Abstract:

The aim of this study is to analyze the asymmetrical impact of oil prices on the exchange rate (Dolar/TL) and Bursa Istanbul (BISTÜM) prices in Turkey using the non-linear ARDL integration (NARDL) method using monthly data for the period January, 2010 - June, 2019. According to the findings from the study, both positive and negative changes in oil prices have no statistical impact on stock prices and exchange rates over the long term. As a result, there has been no asymmetric transfer from oil prices to stock prices and to exchange rates, and this situation in Turkey shows that both stock prices and exchange rates are insensitive to the oil price shocks. Finally, short-term fluctuations in oil prices for both models cause an asymmetric effect.

Abstract:

The purpose of this paper is to investigate the asymmetric impact of oil price changes on the Turkish Stock Market (BISTALL) and the exchange rate (Dollar/Lira) by applying the NARDL model. The sample period starts in January 2010 and ends in June 2019, yielding a total of 114 observations. The findings of the empirical analysis suggest that in the long run an increase (a decrease) in oil prices does not have any impact on both the stock market returns of the Turkish Stock Market and the exchange rate in Turkey. This result indicates that the Turkish market is not very sensitive to the changes in oil price changes. In the short run, however, the asymmetry of oil price fluctuations is observed for both models.

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