Study of the relationship between gold prices, exchange rates, interest rate, BIST100 index and inflation in Turkey: Co-integration and causality analysis under structural refractions

This thesis aims to analyse the dynamic relationships between gold and prices, inflationrate, deposit interest rate, exchange rate and index BİST100) and impacts, magnitude anddirection of these variables on gold prices in the long run in Turkey between 2000-2019 period. Long-termcausal relationship between related variables has been investigated in the study with using themonthly series. The data set of our study covers the sample period of 2000: 06-2019: 12 and includes a total of 234 observations. In the study, after applying traditional and structural break unit root tests, Gregory-Hansen and Arai Kruzomi cointegration tests, the Dynamic Least Squares (DOLS) approach was investigated to determine the coefficient size and direction of the variables. The Fourier Toda-Yamamoto approach was investigated for the causality relationship. It was determined that the relationship between gold prices and inflation rate and the BIST100 index was positive and significant, while the relationship between interest rates was negative and significant, also relationship between exchange rate was negative and insignificant in the study. Additioanly, the impacts of the global economic crisis of 2008, which is used as a dummy variable in the study, on gold prices in Turkey were found to be positive and significant. Key Words: Gold, Inflation Rate, Structural Break, Cointegration, Fourier Toda-Yamamoto