Buradasınız

Anasayfa » Content

DALGALANMA SONRASI TÜRKİY E EKONOMİSİ İÇİN PORTFÖY AKIMLARININ MODELLENMESİ

MODELING PORTFOLIO FLOWS FOR THE POST-FLOATING TURKISH ECONOMY

Key Words:

Keywords (Original Language):

Author NameUniversity of AuthorFaculty of Author
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
Bookmark/Search this post with
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.
FULL TEXT (PDF): 
PDF icon arastrmx_pp_.pdf
  • 1
  • Turkish

REFERENCES

References: 

AGENOR, P.-R., MCDERMOTT, C.J. and E.M. ÜÇER (1997), "Fiscal
Imbalances, Capital Inflows, and the Real Exchange Rate: The Case of Turkey", IMF Working Paper, No. 987/1.
AKÇORAOĞLU,
A
. (2000), "International Capital Movements, External
Imbalances and Economic Growth: The Case of Turkey", Yapı Kredi Economic Review, 11(2), 21-36.
ALPER,
C.E
. and İ. SAĞLAM (2002), "The Transmission of a Sudden Capital
Outflow: Evidence from Turkey", Eastern European Economics, 39(2),
29-48.
BİÇER,
G
. and A.E. YELDAN (2002), "Patterns of Financial Capital Flows
and Accumulation in the post-1990 Turkish Economy", Canadian Journal of Development Studies, 24(2), 250-65.
BLANCHARD, O.J. and D. QUAH (1989), "The Dynamic Effects of
Aggregate Demand and Supply Disturbances", American Economic
Review, 79, 655-73.
CALVO, G.A., LEIDERMAN, L. and C.M. REINHART (1993), "Capital
Flows and Real Exchange Rate Appreciation in Latin America: The Role of External Factors", IMF Staff Papers, 40(1), 108-51.
CBRT (2005), Monetary Policy Report, 2005-I.
CBRT (2006), Inflation Report, 2006-IV.
CELASUN, O., DENİZER, C., and D. He(1999), "Capital Inflows,
Macroeconomic Management, and the Financial System: The Turkish Case, 1989-97", World Bank Working Paper, No. 2141.
CHUHAN, P., CLAESSENS, S., and N. MAMINGI (1993), "Equity and Bond
33
Cem
Saatçioğlu-Levent Korap
Flows to Asia and Latin America: The Role of Global and Country Factors", World Bank Policy Research Working Paper, WPS 1160, July.
ÇULHA,
A
. (2006), "A Structural VAR Analysis of the Determinants of
Capital Flows into Turkey", CBRT Research and Monetary Policy Department Working Paper, No. 06/05.
DASGUPTA, D. and D. RATHA (2000), "What Factors Appear to Drive
Private Capital Flows to Developing Countries? And How Does Official Lending Respond?", World Bank Policy Research Working
Paper, No. 2392.
FERNANDEZ-ARIAS, E. (1994), "The New Wave of Private Capital Inflows:
Push or Pull?", World Bank Policy Research Working Paper, No. 1312.
HERNANDEZ, L., MELLADOI, P. and R. VALDES (2001), "Determinants of
Private Capital Flows in the 1970s and 1990s: Is There Evidence of Contagion?", IMF Working Paper, 01/64.
INTERNATIONAL MONETARY FUND (2006), World Economic Outlook, September.
KIM, Y. (2000), "Causes of Capital Flows in Developing Countries", Journal of International Money and Finance, 19, 235-53.
KİRMANOĞLU,
H
. And Ö. Özçiçek (1999), "The Effect of Short-Term
Capital Inflow on the Turkish Economy", Yapı Kredi Economic Review,
10(1), 27-34.
MISHRA, D., MODY, A., and A.P. Murshid (2001), "Private Capital Flows and Growth", IMF Finance and Development, 38(2).
TAYLOR, M.P. and L. SARNO (1997), "Capital Flows to Developing
Countries: Long- and Short-term Determinants", World Bank Economic Review, 11(3), 451-70.
YING, Y.-H. and Y. KIM (2001), "An Empirical Analysis on Capital Flows:
The Case of Korea and Mexico", Southern Economic Journal, 67(4),
954-68.
ZIVOT, E. and D.W.K. ANDREWS (1992), "Further Evidence of Great Crash,
the Oil Price Shock and the Unit Root Hypothesis", Journal of Business and Economic Statistics, 10, 251-70.

Thank you for copying data from http://www.arastirmax.com