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DALGALANMA SONRASI TÜRKİY E EKONOMİSİ İÇİN PORTFÖY AKIMLARININ MODELLENMESİ

MODELING PORTFOLIO FLOWS FOR THE POST-FLOATING TURKISH ECONOMY

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Abstract (2. Language): 
In this paper, a structurally identified vector autoregressive (SVAR) model is constructed to examine the determinants of the portfolio-based capital flows for the Turkish economy. Our estimation results using data from the post-floating period reveal that the "push" factors based on the external developments for the Turkish economy have a dominant role to explain the behavior of the portfolio flows. Furthermore, the domestic real interest rates as a main "pull" factor are found in a negative dynamic relationship with the portfolio flows and such a finding is attributed to that the dynamic course of the portfolio flows should not be related to the excess return possibilities of the real interest structure, but rather they shold be related to the risk considerations of the economic agents, resulted from the negative fundamentals of the economy associated with high risk premiums
Abstract (Original Language): 
Bu çalışmada yapısal olarak tanımlanmış bir vektör ardışık bağlanım (SVAR) modeli portföy temelli sermaye akımlarının bileşenlerinin Türkiye ekonomisi için incelenebilmesi amacıyla oluşturulmaya çalışılmıştır. Dalgalanma sonrası döviz kuru döneminden verileri kullanan tahmin sonuçlarımız Türkiye ekonomisi için dışsal gelişmelere dayalı "itici" (push) etkenlerin portföy akımlarının davranışlarının açıklanmasında belirleyici bir işleve sahip olduğunu açığa çıkarmaktadır. Ayrıca, başlıca "çekici" (pull) bir etken olarak yurt içi reel faiz oranları portföy akımları ile negatif bir devingen ilişki içerisinde bulunmuş ve bu sonuçlar portföy akımlarının devingen yapısının yurt içi reel faiz yapısı tarafından belirlenen aşırı getiri olanaklarından ziyade örneğin yüksek risk primleri ile ilişkilendirilebilecek ekonominin negatif temellerinden kaynaklanan risk algılamaları ile ilişkilendirilmesi gerekliliğine atfedilmiştir.
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