Modeling of the Relationship Between BIST100 Index and Central Bank Interest Decisions by the Quantitative Decision Method
Author :
Abstract
Central banks, which have the power to control and shape markets, apply various monetary policies to protect the monetary value of the country which they are affiliated with and to ensure financial stability. The monetary policy measures implemented have a direct or indirect effect on all market movements. Determining the most appropriate interest rates simultaneously with market conditions is one of the most important monetary policy measures. In this study, the impact of the decision of the Central Bank of the Republic of Turkey (TCMB) on the maximum interest rate applied to deposits between January 2010 and February 2022 in the BIST 100 Index, which is traded with the code XU100 on Borsa Istanbul (BIST), was investigated. For this purpose, an exponential composite variable was created based on interest rate and stock market index value change rates. Then, linear decision methods based on logarithmic transformation were applied and the relationship model was expressed mathematically. As a result, a statistically significant and 95% strong relationship was found between the interest rate decisions of TCBM and the movements of BIST 100 index.
Keywords
Abstract
Central banks, which have the power to control and shape markets, apply various monetary policies to protect the monetary value of the country which they are affiliated with and to ensure financial stability. The monetary policy measures implemented have a direct or indirect effect on all market movements. Determining the most appropriate interest rates simultaneously with market conditions is one of the most important monetary policy measures. In this study, the impact of the decision of the Central Bank of the Republic of Turkey (TCMB) on the maximum interest rate applied to deposits between January 2010 and February 2022 in the BIST 100 Index, which is traded with the code XU100 on Borsa Istanbul (BIST), was investigated. For this purpose, an exponential composite variable was created based on interest rate and stock market index value change rates. Then, linear decision methods based on logarithmic transformation were applied and the relationship model was expressed mathematically. As a result, a statistically significant and 95% strong relationship was found between the interest rate decisions of TCBM and the movements of BIST 100 index.
