THE RELATIONSHIP BETWEEN BIST BANK INDEX AND INFLATION, EXCHANGE RATE, INTEREST RATE, GOLD AND OIL PRICES: EVIDENCE FROM THE ARDL BOUND TEST

Abstract

The aim of this study is to investigate the effects of inflation, exchange rate, interest rates, gold and oil prices on the BIST bank index between January 2005 - October 2023. For this purpose, firstly, the stationarity levels of the data were tested by the Augmented Dickey-Fuller (ADF) and Phillips- Perron (PP) tests. Then, since the series became stationary at different levels, ARDL bounds test, one of the cointegration tests, was applied. In the study, it is concluded that the BIST bank index and its independent variables are cointegrated in the long-run in the relevant period. According to the short-term asymmetric relationship results, a 1% increase in gold prices by 0.036%, a 1% increase in interest rates by 0.33%, and a 1% increase in the dollar exchange rate by 1.03% decreased the BIST Bank index. On the other hand, a 1% increase in CPI has a positive effect on the BIST Bank Index. No statistical relationship was found between oil prices and BIST Bank Index.