BORSA İSTANBUL BANKA ENDEKSİ VE PARA POLİTİKASI ARAÇLARININ JOHANSEN KOENTEGRASYON YÖNTEMİYLE ARAŞTIRILMASI

Banks are among the most important actors in the economy due to their role as market makers. The banking sector stands out as one of the sectors with the highest liquidity. Borsa Istanbul (BIST) Bank Index represents the index of banks whose shares are traded on the stock exchange in Turkey. Money supply and policy interest rates are among the main monetary policy instruments most frequently used by the Central Bank (CB) to control liquidity. In this respect, analysing the effects of monetary policy instruments on bank index returns is deemed worthy of research. For this purpose, time series consisting of 225 monthly observations from 01/12/2005 to 01/08/2024, which is the earliest available date, are constructed for BIST Bank index, policy interest rate and M2 money supply. These three time series were subjected to Johansen Co-integration analysis and then the error correction model and the long-run equation of the variables were obtained. As a result of the analyses, it is decided that all three variables are cointegrated in the long run between 2005 and 2024, and it is observed that in case of a possible imbalance between the three variables, the variables converge to each other again in 52.4109 periods and move to a new equilibrium position. In addition, it is determined that a 1% increase in money supply in the long run causes a 0.9% increase in the bank index and a 1% increase in the interest rate causes a 0.7% increase in the bank index.