COVID-19 sürecinin türk finansal sistemine yönelik etkilerinin Toda-Yamamoto yöntemi ile analizi
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Tarih
2022
Yazarlar
Dergi Başlığı
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Yayıncı
Aksaray Üniversitesi
Erişim Hakkı
info:eu-repo/semantics/openAccess
Özet
Son iki yılda insanlığın en önemli sorunlarından biri haline gelen COVID-19 pandemisinin oluşturduğu etkilerin uzun süre devam edeceği tahmin edilmektedir. COVID-19 salgını ortaya çıktığı andan bu yana milyonlarca insanın ölümüne, işini kaybetmesine, eğitimin, üretimin ve turizmin durmasına, üretim maliyetlerinin artmasına, üretim-tüketim ile arz-talep dengelerinin bozulmasına ve büyüme değerlerinin negatife dönmesine neden olmuştur. Başlangıçta sadece insan sağlığını tehdit eden COVID-19 pandemisi, zamanla ekonomilerin reel ve finansal sektörlerine de sıçramıştır. Dünya genelinde panik ve belirsizlik ortamına neden olan COVID-19, finansal sistemde önemli etkiler doğurması nedeniyle finansal piyasaların yeni “Siyah Kuğu”su olarak adlandırılmaya başlanmıştır. Buradan hareketle, ele alınan çalışmanın amacı, COVID-19 pandemisinin, geçmişte pek çok kez kriz yaşamış bir ülke olarak dikkati çeken Türkiye’nin finansal sistemi üzerindeki etkisini incelemek olarak belirlenmiştir. Çalışmada kullanılan değişkenler COVID-19 hasta ve vefat sayıları, altın fiyatları, ABD doları-TL kuru, Euro-TL kuru ve BIST-100 endeks değerleridir. Çalışmanın amacı doğrultusunda, değişkenlere ait 06.04.2020– 02.07.2021 dönemini içeren günlük veriler kullanılarak Toda-Yamamoto nedensellik analizi uygulanmıştır. Elde edilen sonuçlara göre COVID-19 hasta ve vefat sayılarından gram altın fiyatlarına, ABD doları döviz kuruna ve Euro döviz kuruna doğru nedensel bir ilişki bulunmaktadır.
It is estimated that the effects of the COVID-19 pandemic, which has become one of the most important problems of humanity in the last two years, will continue for a long time. Since the outbreak of COVID19, millions of people died, lost their jobs, education, production, and tourism stopped, production costs increased, production-consumption and supply-demand balances deteriorated, and growth values turned negative. The COVID-19 pandemic, which initially only threatened human health, spread over time to the real and financial sectors of economies. COVID-19, which has caused panic and uncertainty around the world, has begun to be called the new "Black Swan" of financial markets due to its significant effects on the financial system. From this point of view, the aim of the study was determined to examine the impact of the COVID-19 pandemic on the financial system of Turkey, which has attracted attention as a country that has experienced many crises in the past. The variables used in the study are the number of COVID-19 patients and deaths, gold prices, USD-TL exchange rates, Euro-TL exchange rates and BIST-100 index values. In line with the purpose of the study, Toda-Yamamoto causality analysis was applied by using daily data including the period of 06.04.2020–02.07.2021 belonging to the variables. According to the obtained results, there is a causal relationship from the number of COVID-19 patients and deaths to gold prices, US dollar exchange rate and Euro exchange rate.
It is estimated that the effects of the COVID-19 pandemic, which has become one of the most important problems of humanity in the last two years, will continue for a long time. Since the outbreak of COVID19, millions of people died, lost their jobs, education, production, and tourism stopped, production costs increased, production-consumption and supply-demand balances deteriorated, and growth values turned negative. The COVID-19 pandemic, which initially only threatened human health, spread over time to the real and financial sectors of economies. COVID-19, which has caused panic and uncertainty around the world, has begun to be called the new "Black Swan" of financial markets due to its significant effects on the financial system. From this point of view, the aim of the study was determined to examine the impact of the COVID-19 pandemic on the financial system of Turkey, which has attracted attention as a country that has experienced many crises in the past. The variables used in the study are the number of COVID-19 patients and deaths, gold prices, USD-TL exchange rates, Euro-TL exchange rates and BIST-100 index values. In line with the purpose of the study, Toda-Yamamoto causality analysis was applied by using daily data including the period of 06.04.2020–02.07.2021 belonging to the variables. According to the obtained results, there is a causal relationship from the number of COVID-19 patients and deaths to gold prices, US dollar exchange rate and Euro exchange rate.
Açıklama
Anahtar Kelimeler
COVID-19, Siyah Kuğu, Türk Finansal Sistemi, Toda-Yamamoto Nedensellik Analizi, Black Swan, Turkish Financial System, Toda-Yamamoto Causality Analysis
Kaynak
Aksaray Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi
WoS Q Değeri
Scopus Q Değeri
Cilt
14
Sayı
4
