Investigation of the relationship between the private pension system and selected macroeconomic dynamics: The example of Turkey

Within the scope of this study, the total number of participants, total fund amount, total contribution amount, the total number of contracts and certificates; The relationship between Bist 100, dollar, gold, CPI, and short-term interest rate variables, which are macroeconomic parameters, is examined. In the study, a 10-year, monthly data set between January 2010 and December 2020 was taken into account. Various analyzes were made considering the relationship between variables and the characteristics of the data set. In this context, the stationarity of the variables was tested with the ADF Unit Root Test on the dependent and independent variables covering the period 2010M1-2020M12. All values were found to be stationary at 1%, 5%, and 10% significance levels, respectively. It contains unit roots at all series levels. In the second part, with the Fourier ADF Unit Root Test (Enders & Lee, 2012), which tests the structural break, it was checked whether it contains a serial unit root. stemmed from the presence of root. It has been concluded that the H0 hypothesis cannot be rejected in terms of the significance hypotheses of the trigonometric variables, and the trigonometric variables are meaningless. In the next step, the cointegration test was started, in the first step, the Var model was established and the appropriate lag length was tested, and in the second step, Banerje et al (2017) Fourier ADL cointegration test was applied. As a result of the test, the H0 hypothesis (no cointegration) was rejected, and it was concluded that there is cointegration. In the last step, the long-term coefficients were estimated using the FMOLS, DOLS, CCR methods. Nevey-West bandwidth was used in the long-term covariance estimation and the coefficients were found to be significant, with the antecedent lag lengths taken as a maximum of 3 in the Schwarz information criterion. As a result, included in the study a long-term relationship at various levels has been determined between the private pension system indicators and the macroeconomic parameters. Keywords: Private Pension System, Automatic Enrollment, Unit Root, Cointegration, Individual Pension Systems.