Dynamic Connectedness Between the Stock Market, Housing Market, Gold, and Exchange Rate: Evidence from Turkey
DOI:
https://doi.org/10.63556/tisej.2025.1575Keywords:
Dynamic connectedness, TVP-VAR model, housing price index, gold, USD/TRYAbstract
This study investigates the dynamic connectedness among the BIST100 index, the Housing Price Index (HPI), gold prices, and the USD/TRY exchange rate in the context of the Turkish economy. Despite limitations posed by relatively short time series and low-frequency data, time-varying connectedness models can provide meaningful insights into market interdependencies. Utilizing monthly data from February 2010 to January 2023, the analysis is conducted through the Time-Varying Parameter Vector Autoregression (TVP-VAR) model. The empirical findings reveal strong volatility spillovers from the exchange rate to both the stock market and the housing market, and also from the housing market to the stock market. Negative net spillover values for the BIST100, HPI, and gold indicate that these assets act primarily as volatility recipients. Conversely, the USD/TRY exchange rate exhibits the highest and positive net spillover value, highlighting its role as a dominant transmitter of volatility within the Turkish financial system.
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