The Effect of Interest Rates on Portfolio Investments and Foreign Direct Investments in Türkiye

Year 2024, Volume: 9 Issue: 2, 271 - 286, 30.06.2024

Levent Sezal Selcuk Kendirli

https://doi.org/10.30784/epfad.1491461

Abstract

This study aims to analyse the relationship between foreign direct investments (FDI) and portfolio investments (PI) and interest rates. Firstly, ADF and PP unit root tests were applied to determine whether the variables were stationary or not. Since the series became stationary at different levels, the ARDL (Autoregressive Distributed Lag Bound Test) test, one of the cointegration tests, was applied. Afterward, Toda-Yamamoto tests were utilized to determine whether there is causality between the variables and if there is a causality relationship, to determine its directions. According to the ARDL bound test results, it is concluded that there is no short-term asymmetric relationship between PI and other independent variables. In other words, there is no statistically significant relationship between PI and EUR, USD and TL interest rates. On the other hand, it is concluded that the FDI dependent variable and other independent variables are long-run cointegrated in the relevant period. According to the results of the Toda-Yamamoto causality test where FDI and TL, EUR, and USD are independent variables, it is concluded that there is a Granger causality relationship between FDI and TL and EUR interest rates.

Keywords

Foreign Direct Investment, Portfolio Investment, Interest Rates, ARDL Border Test, Toda-Yamamoto Causality Test

Türkiye’de Faiz Oranlarının Portföy Yatırımları ve Doğrudan Yabancı Yatırımlara Etkisi

Abstract

Bu çalışmada, doğrudan yabancı yatırımlar (DDY) ve portföy yatırımları ile faiz oranları arasındaki ilişkiyi analiz etmeyi amaçlamıştır. İlk olarak, değişkenlerin durağan olup olmadıklarının tespiti için ADF ve PP birim kök testleri uygulanmıştır. Eşbütünleşme testlerinden ARDL (Autoregressive Distributed Lag Bound Test) testi uygulanmıştır. Sonrasında, değişkenler arasında nedenselliğin olup olmadığı, nedensellik ilişkisi varsa yönlerinin tespit edilebilmesi için Toda-Yamamoto testlerinden yararlanılmıştır. ARDL sınır testi sonuçlarına göre, portföy yatırımları ile diğer bağımsız değişkenler arasında kısa dönemli asimetrik ilişkinin olmadığı sonucuna varılmıştır. Yani, portföy yatırımları ile EUR, USD ve TL faiz oranları arasında istatistiki anlamda herhangi bir ilişki bulunamamıştır. Diğer taraftan hesaplanan F istatistiği %1 önem seviyesindeki kritik değerlerden büyük olduğu için DDY bağımlı değişkeni ile diğer bağımsız değişkenlerinin ilgili dönemde uzun dönemli eşbütünleşik olduğu sonucuna varılmıştır. Toda-Yamamoto nedensellik testlerinin sonuçlarına göre ise; DYY ile TL, EUR ve USD bağımsız değişken olduğu Toda-Yamamoto nedensellik testi sonuçlarına göre, DYY ile TL ve EUR faiz oranları arasında Granger nedensellik ilişkisinin olduğu sonucuna varılmıştır.

Keywords

Doğrudan Yabancı Yatırımlar, Portföy Yatırımları, Faiz Oranları, ARDL Sınır Testi, Toda-Yamamoto Nedensellik Testi

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