Examining the effectiveness of the wealth effect channel during the unconventional monetary policy period in Turkey

This study examines whether the wealth effect channel works or not, taking into account the period (3 January 2011-28 May 2018) when the CBRT adopted unconventional monetary policy implementations. In addition to the BIST 100 index, BIST Financial, BIST Industrial, BIST Technology, and BIST Services indices, which are sectoral indices, are also included in the analyses. Both AOFM and BPP O/N are utilised to represent the monetary policy stance of the CBRT in the relevant period. In order to obtain results that are robust to different econometric approaches, firstly the ECM method is used in the analyses, then the quantile regression results are discussed, and finally the results of 9 static copula models consisting of Gaussian copula, Clayton copula, Rotated Clayton copula, Plackett copula, Frank copula, Gumbel copula, Rotated Gumbel copula, SJC Lower / Upper, Student t copula, and one time-varying Gaussian copula model are presented. The findings of the study indicate that the wealth effect worked during the period when the CBRT adopted unconventional monetary policy implementations. This is because the monetary policy decisions taken in the relevant period were found to have significant negative effects on capital markets.