Multi-Horizon Causality Dynamics Among Gold, Currency, and Equity Markets: Evidence from Türkiye

Özet

Purpose – This study examines the dynamic linkages among global gold prices (XAUUSD), the Turkish lira-U.S. dollar exchange rate (USDTRY), and the Borsa İstanbul 100 index (XU100) over the period 2015-2025, providing a comprehensive understanding of their interconnected behaviors across different time horizons.

Design/methodology/approach – Daily data from January 2015 to July 2025 are analyzed using a multi-method framework: Toda-Yamamoto causality for level relationships, Granger causality for return-based short-term dynamics, and Breitung-Candelon frequency-domain causality to capture horizon-specific effects. This integrated approach identifies both short- and long-run interactions among the three markets.

Findings – The study reveals a clear hierarchy of causality. Global gold prices strongly and persistently precede exchange rate movements across all horizons, a pattern consistent with gold reflecting global risk and liquidity conditions relevant for Türkiye. Equity shocks influence the exchange rate at short horizons, whereas the reverse channel from the currency to equities is limited to weak evidence at the very shortest cycles. Feedback from the currency to gold is weaker than the dominant gold-to-currency channel but is present at medium and long horizons. The equity-gold link is weak, appearing only as temporary, short-term portfolio adjustments.

Discussion – Monitoring equity volatility and global gold movements can signal near-term FX pressures, while the limited feedback from the currency to equities underscores how strongly external forces, rather than domestic feedback loops, shape Türkiye's financial system.