This study analyses the effects of global financial conditions on Turkish stock prices, weighted average rates of bonds and bills and USD/TRY nominal exchange rate by using univariate GARCH (1, 1) estimations. Results are based on daily data for the period 6 December 2000 through 6 April 2015. To gauge global financial conditions, VIX and Global Liquidity Indicator are used as proxies. Mean equation results show that global financial stability generally affects Turkish financial variables positively. However, the sensitivity of Turkish financial variables to global financial conditions has decreased during the euro area debt crisis period. This relative insulation from the euro area crisis might be the result of strong capital and profit positions of Turkish banks. The results are not suggestive for a meaningful relation during the Feds quantitative easing and talks of tapering and tapering periods as well, which in part can be explained by the low exposure of Turkish banks to cross-border banking claims from US. These results might be indicative of the importance of domestic fundamentals in responding to global financial conditions.
Key words: Global financial conditions, Selected financial variables, Univariate generalized autoregressive conditional heteroscedasticity
JEL Codes: G15, G12, C13 Article Language: EnglishTurkish
|
