The Dynamic Impact of Gold and Oil Uncertainty on XU100, CDS, and Exchange Rate in Türkiye: A Wavelet Analysis

Abstract

Geopolitical tensions and macroeconomic fluctuations in global markets have significantly influenced investor behavior and the direction of financial markets. In this turbulent environment, strategic commodities such as gold and oil have emerged as prominent safe-haven assets. The price volatility of these assets is considered a key indicator of market uncertainty and is measured through implied volatility indices, namely the GVZ (Gold Volatility Index) and OVX (Oil Volatility Index). In this respect the relationship between these indices and financial indicators becomes particularly critical during periods of economic distress. This study examines the effects of GVZ and OVX indices on the main financial variables in Türkiye, namely XU100 index, USD/TRY exchange rate and CDS spreads, in the time-frequency domain using wavelet analysis method. The analyses are conducted through wavelet power spectrum, wavelet coherence, and phase difference techniques. The findings reveal that GVZ exerts strong and persistent influences on exchange rates and CDS spreads, particularly over medium to long term horizons, often acting as a leading indicator. OVX also demonstrates a leading role, with more pronounced effects in the short to medium term. In contrast, the XU100 index exhibits a weaker and more fragmented response to these uncertainties, mostly limited to short-term episodes. In conclusion, implied volatility indices represent significant indicators for both investment decisions and macroeconomic policymaking, particularly in economies like Türkiye that are vulnerable to external shocks. This study underscores the necessity of analyzing uncertainty financial market interactions within a time frequency framework and offers meaningful policy implications for uncertainty management.