VIX ile Finansal ve Makroekonomik Göstergeler Arasındaki İlişkinin İncelenmesi: Simetrik ve Asimetrik Nedensellik Analizleri ((Analysis of the Relationship between the VIX and Financial and Macroeconomic Indicators: Symmetric and Asymmetric Causality

The aim of this study is to analyze the relationships between VIX, BIST100 index, USD/TL exchange rate, Euro/TL exchange rate, unemployment rate, inflation rate, and industrial production index in Turkey during the period 2014:01–2023:09. According to the results of the Hacker and Hatemi-J (2006) symmetric causality test, no significant causality was found between the variables. However, the results of the Hatemi-J (2012) asymmetric causality test show that there is bidirectional causality between the VIX and the BIST100 and exchange rates in the case of positive shocks. Similarly, unidirectional causality was found between industrial production and VIX. Unidirectional causality was also found from positive shocks to the unemployment rate and the inflation rate to the VIX. When analyzing negative shocks, bidirectional causality is found between the VIX and the BIST100 index, USD/TL and Euro/TL exchange rates. For negative shocks, unidirectional causality is found between the VIX and the industrial production index, bidirectional causality with the unemployment rate, and unidirectional causality with the inflation rate. The results suggest that the impact of the VIX on financial markets and economic indicators is asymmetric and complex.