Risk appetite refers to investors propensity to take risks and is directly affected by changes in macroeconomic conditions. Risk appetite is expected to decrease as financial difficulties increase during periods of economic recession and contraction, whereas it is expected to increase during favorable economic conditions. This study analyzes the impact of the gold volatility index (GVZ), crude oil volatility index (OVX), and Chicago Futures Exchange Volatility Index (VIX) (also known as global risk appetite), as well as local economic factors such as inflation (CPI) and interest rates, on the REKS index (known as the Turkish investor risk appetite indicator), which reflects the risk tendencies of domestic (REKS Domestic) and foreign (REKS Foreign) investors in Turkey for the period April 2010-November 2024, using the VAR method. The study's findings show that the REKS Foreign Index is significantly sensitive to global risk and volatility indicators, particularly OVX and VIX. In contrast, the impact of CPI on this index is relatively limited compared to other global indicators. The REKS Domestic Index, on the other hand, is more strongly influenced by domestic macroeconomic variables such as CPI and interest rates, compared to OVX. These results indicate that domestic risk appetite is primarily dependent on domestic economic conditions, while the REKS Foreign Index is more sensitive to global risk perception and volatility dynamics.
Turnacıgil et al. (Fri,) studied this question.