Finansal Varlıklar Arasındaki Volatilite İlişkisi: TVP-VAR Modeli

Abstract

In the post-pandemic period, intense fluctuations in interest rates, inflation and prices were observed in many countries around the world. This study was conducted to analyze the dynamic interconnectedness between financial assets during this turbulent period. The study was conducted using TVP-VAR analysis on daily data of one-month deposit interest rate, BIST100 index return, two-year bond interest rate, USDTRY exchange rate, gold ounce price and CDS premiums between 2018 and 2023. The results of the study show that the interaction between variables reached a very high level especially in the post-pandemic period and then decreased over the years. On the other hand, BIST100 index, gold and CDS premium are net shock emitters, while deposits, USDTRY and bonds are net shock receivers.