Causal Relations Among ISE, Inflation, Interest Rates and Real Activity in Turkey: A VAR Analysis

Nihal Kargi and Harun Terzi

Istanbul Stock Exchange Review, 1997, vol. 1, issue 4, 27-38

Abstract: Using a vector-autoregression (VAR) approach, this paper investigates causal relations and dynamic interactions among stock returns, inflation, interest rates, and real activity in Turkey. Major empirical findings can be summarised as follows: (1) in the VAR system, stock returns explain little variation in inflation, although interest rates explain a substantial fraction of the variation in inflation; (2) inflation explains little variation in real activity while it explains a substantial fraction of the variation in stock returns, and (3) stock returns do not appear to explain real activity. All these findings indicate that stock exchange market in Turkey does not offer a perfect hedge against inflation.

Date: 1997
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Persistent link: https://EconPapers.repec.org/RePEc:bor:iserev:v:1:y:1997:i:4:p:27-38

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