Asymmetric effects of industrial production, money supply and exchange rate changes on stock returns in Turkey


APPLIED ECONOMICS, vol.51, no.20, pp.2143-2154, 2019 (SSCI) identifier identifier

  • Publication Type: Article / Article
  • Volume: 51 Issue: 20
  • Publication Date: 2019
  • Doi Number: 10.1080/00036846.2018.1540850
  • Journal Indexes: Social Sciences Citation Index (SSCI), Scopus
  • Page Numbers: pp.2143-2154
  • Keywords: Monetary policy, economic activity, non-linear ARDL, stock returns, OIL-PRICE SHOCK, MONETARY-POLICY, REAL ACTIVITY, CAPITAL-MARKETS, GREAT CRASH, CAUSALITY
  • Anadolu University Affiliated: Yes


The aim of this article is twofold: First, it examines the asymmetric effects of industrial production, money supply and RER on stock returns in Turkey by using the non-linear autoregressive distributed lag (NARDL) model over the periods of 1994:01-2017:05 and 2002:01-2017:05. Second, it tries to determine whether there is a change of these macroeconomic variables' effects on stock returns after the 2001 financial crisis since after 2002 period represents a structural break from the past in terms of economic, political and macroeconomic policy approaches. The study finds that the effects of the changes in industrial production, money supply and RER on stock returns are asymmetric, and the asymmetries are larger after the 2002 subsample compared to the full sample period. The empirical results further suggest that tight monetary policies appear to retard the stock returns more than easy monetary policies that stimulate them.