Mutual interaction analysis of pension funds on macroeconomic factors in Turkey and selected countries

This study contains a range of macroeconomic variebles determining the dynamicc effects on pension funds of investment and susceptibility of these datas. To achieve this goal the method of Augment Dickey-Fuller test on E-views 7 programme and VAR model has been used. Analysis involves the datas from January 2005 to December 2016 primarily in Turkey and Europe, Asia and North America variables used in this study differs from country to country and contains the pension fund of investment, share indices, currency basket, inflation and rate of interest. In this analysis, firstly the relationship between pension funds of investment and macroeconomic factors will be explained by using regression analysis and ordinary least squares method. Secondly, VAR model has been used in order to test the casuality between the EYF, share indices, currency basket, inflation and rate of interest by Granger method and see how the sudden shock on pension fund of investment affects the other variables. Parallel to expectations empirical evidences which are obtained in this study has revealed that there is a strong bond between pension fund of investment and share indices in Turkey and other analyzed countries. According to the result of casuality analysis it is determined that there is also a strong bond between pension fund of investment and rate of interest in Turkey.