The Role of Capital Flows in the International Transmission of US Monetary Policy: The Case of Turkey

Abstract

This article aims to examine the impacts of US monetary policy (MP) changes on the Turkish economy. A Structural Vector Autoregressive (SVAR) model is estimated for the period 2002:01–2017:12, during which a flexible exchange rate regime was adopted in the Turkish economy. According to the impulse-response analysis, the Turkish interest rate responds positively and significantly to the US Effective Federal Funds Rate (EFFR). This result shows that the Central Bank of the Republic of Turkey’s (CBRT) MP follows the FED's MP, consistent with the dilemma hypothesis of Rey (2015). The analysis also demonstrates that both the EFFR and the VIX have a negative impact on net total capital inflows to the Turkish economy. The impulse-responses for the three components of net capital inflows indicate important conclusions. Firstly, neither EFFR nor VIX has a significant impact on Net Foreign Direct Investment (NFDI) inflows. Secondly, Net Portfolio Investments (NPI) respond significantly to the VIX but not to the EFFR. Thirdly, Net Other Investments (NOI) respond significantly to the EFFR but not to the VIX. These findings indicate that the NOI component plays a direct and major role in the emergence of the US MP’s spillover effects on the Turkish MP.

Keywords

• US Monetary Policy Spillovers
• Capital Flows
• Global Risk
• International Risk-taking

ABD Para Politikasının Uluslararası Aktarımında Sermaye Akımlarının Rolü: Türkiye Örneği

Abstract

Bu makale, ABD para politikasındaki değişikliklerin Türkiye ekonomisi üzerindeki etkilerini incelemeyi amaçlamaktadır. Türkiye ekonomisinde esnek döviz kuru rejiminin benimsendiği 2002:01–2017:12 dönemi için bir Yapısal Vektör Otoregresif (SVAR) model tahmin edilmektedir. Etki-tepki analizine göre, Türkiye faiz oranı, ABD Efektif Federal Fon Oranı'na (EFFR) pozitif ve anlamlı şekilde tepki vermektedir. Bu sonuç, Rey’in (2015) ikili açmaz hipoteziyle tutarlı biçimde, Türkiye Cumhuriyet Merkez Bankası'nın (TCMB) para politikasının FED'in para politikasını takip ettiğini göstermektedir. Analiz aynı zamanda hem EFFR'nin hem de VIX'in Türkiye ekonomisine yönelik net toplam sermaye girişleri üzerinde negatif etkiye sahip olduğunu kanıtlamaktadır. Net sermaye girişlerinin üç bileşeni için elde edilen etki-tepkiler, önemli sonuçlara işaret etmektedir. İlk olarak ne EFFR’nin ne de VIX'in Net Yabancı Doğrudan Yatırım (NFDI) girişleri üzerinde anlamlı bir etkisi bulunmamaktadır. İkinci olarak, Net Portföy Yatırımlarının (NPI) VIX'e tepkisi anlamlı iken, EFFR'ye tepkisi anlamlı değildir. Üçüncüsü, Net Diğer Yatırımların (NOI) EFFR'ye tepkisi anlamlı iken, VIX'e tepkisi anlamlı değildir. Bu bulgular, ABD para politikasının Türkiye para politikası üzerindeki yayılma etkilerinin ortaya çıkmasında, NOI bileşeninin doğrudan ve önemli bir rol oynadığını göstermektedir.

Keywords

• ABD Para Politikası Yayılmaları
• Sermaye Akımları
• Küresel Risk
• Uluslararası Risk-alma

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