 Threshold Effect of Inflation on the Relationship between Stock Market Index and Interest RateKenan İlarslan Journal of Research in Economics, Politics & Finance, 2025, vol. 9, issue 4, 779-795 Abstract: This research examines how the deposit interest rate impacts Turkey’s stock market index and the inflation rate from January 2003 to June 2024. The empirical findings derived from the analyses conducted under the threshold regression model indicate that the inflation rate has a single threshold impact on the connection among the stock market index and the interest rate. Thus, when inflation rates are at 2.67% or lower, rising bank deposit interest rates negatively impact the stock market index. Nevertheless, when inflation rates exceed 2.67%, the rise in bank deposit interest rates positively influences the stock market index. As a result, empirical evidence indicates that deposit interest rates have a nonlinear effect on the stock market index in Turkey, which is influenced by the level of inflation. These findings suggest policy implications for investors concerning the impact of the inflation rate on the connection among stock market indices and deposit rates. Keywords: Stock Market Index; Inflation; Interest Rate; Threshold Regression (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:ahs:journl:v:9:y:2025:i:4:p:779-795 Access Statistics for this article More articles in Journal of Research in Economics, Politics & Finance from Ersan ERSOY |
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