Asymmetric interaction between interest rate, exchange rate, export credits and BIST sector indices: Evidence from NARDL approach for Turkey

In a globalizing world, the importance of exports in the growth of countries has undeniably increased. In line with this growing significance, governments strive to enhance export figures through the policies they implement and the decisions they make. One of the most critical of these policies is the financing of exports. In this context, governments have established institutions that provide financial support to exporters to boost exports. In Turkey, one of the most important institutions established for this purpose is Eximbank. Moreover, stock market indices are one of the indicators representing the economies of growing countries. It is possible to investigate the impact of export credits on economic growth through stock market indices. Therefore, this study investigates the effects of export credits provided by Eximbank, the interest rates applied to these credits, and the exchange rate on stock market indices. For this study, Turkey was selected as the sample country, and the period from June 2016 to December 2022 was examined. The analysis was not limited to the BIST100 index but also included sectoral stock indices and the sectors they represent, along with the export credits extended to these sectors, the interest rates applied to these credits, and the exchange rate. The sectors considered include Information Technology, Electricity, Food and Beverage, Services, Construction, Paper and Printing, Chemicals Petroleum Plastics, Basic Metals, Metal Products Machinery, and Trade sectors. Econometric methods such as cointegration and causality tests were employed in this study. Accordingly, 11 models were designed from 34 different variables. Before conducting the cointegration and causality analyses, the stationarity levels of the series were determined using the PP and ADF unit root tests, followed by the ARDL bounds test method for the cointegration analysis. After the NARDL bounds test, the Toda-Yamamoto causality test was used to investigate the causality relationships. According to the results of the NARDL bounds test, 37 significant cointegration relationships were identified, and the Toda-Yamamoto causality test revealed 20 causality relationships. The analysis results indicate that in the sectors where Eximbank has provided the most credit, export credits have increased the stock sector indices. In sectors with lower credit usage, it was found that export credits prevented the decline in stock indices.