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İnvestor sentiment in consumer confidence index and the exchange rate of: İn Turkey

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2019
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Abstract (EN)

The relation between Turkey Consumer Confidence Index and exchange rate from January 2004 to December 2018 is analyzed in this study. TurkStat Consumer Confidence Index is used to represent confidence in Investor Sensitivity in Behavioral Finance. In addition, macro variables, Borsa İstanbul Yield Index, Manufacturing Capacity Utilization Rate, CPI Based Real Exchange Rate Index, US Dollar Exchange Rate, Unemployment Rate, Monthly Inflation Rate and Industrial Production Indices are main variables. The study includes 180 monthly observations. Monthly proportional change values of the determined data are used in the study. Vector Autoregressive Model (VAR) analysis, Granger Causality Test, Impulse-Response Function and Variance Decompositions are applied to the time series. According to the model; The US Dollar Rate variable has an impact on the TURKSTAT Consumer Confidence Index. It is concluded that there is a one-way Granger causality from the US Dollar Rate to the TURKSTAT Consumer Confidence Index.

Author

Tuncay Şahin

How to Cite

Tuncay Şahin (Master Thesis). İnvestor sentiment in consumer confidence index and the exchange rate of: İn Turkey, 2019, İstanbul Arel University.

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