Mutual Interaction Analysis of Pension Funds on Macroeconomic Factors in Turkey and Selected Countries

The aim of the study is to determine the dynamic effects in pension investment funds and its susceptibility by using a range of macroeconomic variables. To achieve this goal Augment Dickey-Fuller test and VAR model has been used in the study. Analysis involves the datas from January 2005 to December 2016 primarily in Turkey and Europe, Asia and North America. Variables are used based on every countries’ pension investment fund, share indices, currency basket, inflation and rate of interest. VAR model has been used in order to test the casuality between the pension investment fund, share indices, currency basket, inflation and rate of interest by Granger method and see how the sudden shock on pension investment fund affects the other variables. Parallel to expectations empirical evidences obtained in the study has revealed that there is a strong bond between the performance of pension investment fund and share indices in Turkey and other analyzed countries. According to the result of casuality analysis it has been determined that there is also a strong bond between rate of interest and inflation with pension investment fund