scholarly journals The Impact of Stock Prices on Consumption and Interest Rate in Turkey: Evidence from a Time Varying Vector Autoregressive Model

2014 ◽  
Author(s):  
Evrim Tören
Keyword(s):  
Interest Rate ◽  
Stochastic Volatility ◽  
Open Economy ◽  
Stock Prices ◽  
Autoregressive Model ◽  
Time Varying ◽  
Vector Autoregressive Model ◽  
Macroeconomic Dynamics ◽  
Vector Autoregressive ◽  
The Impact

This paper aims to examine the spillovers from stock prices onto consumption and interest rate for Turkey by using a time-varying vector autoregressive model with stochastic volatility. A three-variable time-varying vector autoregressive model is estimated to capture the time-varying nature of the macroeconomic dynamics in the Turkish economy between real consumption, nominal interest rate and real stock prices. In order to obtain the macroeconomic dynamics in a small open economy, the data covers the period 1987:Q1 until 2013:Q3 in Turkey. The sample data is gathered from the official website of Central Bank of the Republic of Turkey. Overall, this study provides the evidence of significant time-varying spillovers on consumption and interest rate coming from the stock market during financial crises and implications of monetary policy in Turkey. In addition, a time-varying vector autoregressive model with stochastic volatility offers remarkable results about the impact of price shock on consumption levels in Turkey.

scholarly journals The Time-Varying Effect of Asset Prices on Turkey’s Circular Economy

2021 ◽  
Vol 13 (22) ◽  
pp. 12373
Author(s):  
Mehmet Balcilar ◽  
Evrim Toren
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Stochastic Volatility ◽  
Circular Economy ◽  
Stock Prices ◽  
Sustainable Consumption ◽  
Var Model ◽  
Time Varying ◽  
Vector Autoregressive ◽  
The Republic

The study aims to examine the effects of spillovers from stock prices on consumption and interest rates in Turkey. From the circular economy viewpoint, there should be sustainable consumption to achieve sustainable development with the help of consumers and other stakeholders. A time-varying vector autoregressive (TVP-VAR) model with stochastic volatility is used in the study. The aim is to obtain dynamics that stimulate growth, development, recession or change within the Turkish economy according to the emphases on circular economy. In order to analyze the relationship between real consumption, nominal interest rate and real stock prices, the TVP-VAR model is specified as a three-variable, time-varying model. The sample data that have been gathered from the Central Bank of the Republic of Turkey cover the period between Q1 1987 and Q3 2013. Overall, this study provides significant evidence of spillovers on consumption and interest rate during financial crises in Turkey, and the implications of monetary policy. In addition, the TVP model with stochastic volatility offers remarkable results regarding the influence of price shock on consumption in Turkey. However, we do not find any significant effect from interest rate to real consumption.

scholarly journals A time-varying approach to analysing fiscal policy and asset prices in South Africa

2014 ◽  
Vol 6 (1) ◽  
pp. 46-63 ◽  
Author(s):  
Rangan Gupta ◽  
Charl Jooste ◽  
Kanyane Matlou
Keyword(s):  
Fiscal Policy ◽  
Stock Prices ◽  
Asset Prices ◽  
Marked Change ◽  
Var Model ◽  
Time Varying ◽  
Content Type ◽  
Vector Autoregressive ◽  
Time Varying Parameter ◽  
The Impact

Purpose – This paper aims to study the interplay of fiscal policy and asset prices in a time-varying fashion. Design/methodology/approach – Using South African data since 1966, the authors are able to study the dynamic shocks of both fiscal policy and asset prices on asset prices and fiscal policy based on a time-varying parameter vector autoregressive (TVP-VAR) model. This enables the authors to isolate specific periods in time to understand the size and sign of the shocks. Findings – The results seem to suggest that at least two regimes exist in which expansionary fiscal policy affected asset prices. From the 1970s until 1990, fiscal expansions were associated with declining house and slightly increased stock prices. The majority of the first decade of 2000 had asset prices increasing when fiscal policy expanded. On the other hand, increasing asset prices reduced deficits for the majority of the sample period, while the recent financial crises had a marked change on the way asset prices affect fiscal policy. Originality/value – This is the first attempt in the literature of fiscal policy and asset prices to use a TVP-VAR model to not only analyse the impact of fiscal policy on asset prices, but also the feedback from asset prices to fiscal policy over time.

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