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2008 KRİZİ SONRASI FED’İN FAİZ ARTIRIMININ YÜKSELEN PİYASA EKONOMİLERİNDEKİ PORTFÖY YATIRIMLARI ÜZERİNE ETKİLERİ

Year 2017, Volume: 3 Issue: 1, 35 - 58, 02.02.2017

Abstract

Küreselleşme
sonrası sermaye hareketlerinin mobilitesi artmıştır. Yükselen piyasa
ekonomileri ekonomik büyüme için gerekli yatırımları yapabilmek amacıyla
sermayeye ihtiyaç duymaktadır ve kendi sermaye birikimleri yetersiz kaldığı
için sermaye ithal etmek zorundadırlar. Önemli yabancı sermaye hareketleri
türlerinden biri olan portföy yatırımları (PY), bu noktada önemli bir rolesahiptir.
Bu çalışmada, FED’in faiz artırımının yükselen piyasa ekonomilerindeki portföy
yatırımları üzerine etkileri incelenmiştir. Çalışmada 2007:Q1 – 2015:Q4
dönemine ait veriler kullanılmıştır. 16 yükselen piyasa ekonomisindeki portföy
yatırımları dinamik panel veri analizi olanArellano-Bond panel GMM tahmin yöntemi
uygulanarak FED faizinin etkisi incelenmiştir. Yapılan testler sonucunda FED
faizlerini yansıtan ABD 2 yıllık Hazine bonosu faizleri ile yükselen piyasalar portföy
yatırımları arasında negatif ilişki tespit edilmiştir. Bulgulara göre EMBI+ ile
PY’ler arasında aynı şekilde negatif bir ilişki saptanmıştır. Ülke riskini
gösteren EMBI+ arttıkça sermaye çıkışı yükselmiştir. Çalışmada küresel risk
iştahını ve oynaklık endeksini gösteren VIX ile PY’ler arasında negatif bir ilişki
çıkmıştır. Sonuç olarak FED faiz artışı, EMBI+’daki artış ve VIX’te meydana
gelen artışlar yükselen piyasalardan PY çıkışlarına yol açmıştır.




References

  • Ahmed, S., & Zlate A. (2013). Capital Flows to Emerging Market Economies: A Brave New World? International Finance Discussion Papers 1081. Washington: Board of Governors of the Federal Reserve System, June.
  • Aklan, N. A. (2002). Uluslararası Sermaye Akımları: Etkileri; Sterilizasyon Politikaları ve Değişen Yapısı. Balıkesir Üniversitesi Sosyal Bilimler Dergisi, 5 (7), 35-52.
  • Arellano, M.,& Bond, S. (1991). Some tests of specification for panel data: Monte Carlo evidence and an application to employment equations. The review of economic studies, 58(2), 277-297.
  • Arellano, M., & Bover, O. (1995). Another look at the instrumental variable estimation of error-components models. Journal of econometrics, 68(1), 29-51.
  • Arora, V., & Cerisola, M., (2001). How Does U.S. Monetary Policy Influence Sovereign Spreads in Emerging Markets? IMF Staff Papers, 48(3), 474-498.
  • Avdjiev, S., Gambacorta, L., Goldberg, L. S., & Schiaffi, S. (2016). The shifting drivers of international capital flows. Unpublished manuscript.
  • Baek, I. M. (2006). Portfolio Investments Flows to Asia and Latin America: Pull, Push or Market Sentiment? Journal of Asian Economics 17, 2(2006), 363-373
  • Blundell, R. & Bond, S. (1998). Initial conditions and moment restrictions in dynamic panel data models. Journal of econometrics, 87(1), 115-143.
  • Bruner, F., Didier, T., Erce, A., & Schumukler (2013). Gross Capital Flows: Dynamics and Crises. Journal of Monetary Economics, 60 (1), 113-133.
  • Calvo, G. A., Leiderman, L., ve Reinhart, C. M. (1993). Capital inflows and real exchange rate appreciation in Latin America: the role of external factors. Staff Papers, 40(1), 108-151.
  • Cardoso, E. & Goldfajn, I. (1997). Capital Flows to Brazil: The Endogenity of Capital Controls. IMF Working Paper, 97:115.
  • Cerrutti, E., Hale. G., & Minoiu. C., (2014). Financial crises and the composition of cross-border lending. IMF Working Paper WP/14/185.
  • Chuhan, P., Claessens, S., & Mamingi, N. (1993). Equity and bond flows to Asia and Latin America. World Bank.
  • Claessens, S., Dooley, M. & Warner,A. (1995). Portfolio Capital Flows: Hot or Cold? The World Bank Economic Review, 9 (1), 153-174.
  • Çulha, O. Y., Özatay, F., & Şahinbeyoğlu, G. (2006). The determinants of sovereign spreads in emerging markets. Central Bank of Turkey, Research and Monetary Policy Department, Working Paper No. 06/04.
  • Dahlhaus, T. & Vasishtha, G. (2014). The Impact of US Monetary Policy Normalization on Capital Flows to Emerging–Market Economies. Bank of Canada Working Paper no. 14-53.
  • Dasgupta, D. & Ratha, D. (2000). What Factors Appear to Drive Private Capital Flows to Developing Countries?: And how Does Official Lending Respond?. World Bank.
  • De Haan, J., Eijffinger, S. C., & Waller, S. (2005). The European Central Bank: credibility, transparency, and centralization. MIT Press.
  • Edwards, S. (2012). The Federal Reserve, Emerging Markets, and Capital Controls: A High Frequency Empirical Investigation. NBER Working Paper no. 18557.
  • European Central Bank (2005). Financial Flows To Emergıng Market Economies: Changing Patternsand Recent Developments. Monthly Bulletin, January, 59-73.
  • Fratzscher, M. (2012). Capital flows, push versus pull factors and the global financial crisis. Journal of International Economics, 88(2), 341-356.
  • Frankel, J., Schmukler, S. L., & Serven, L. (2004). Global transmission of interest rates: monetary independence and currency regime. Journal of International Money and Finance, 23(5), 701-733.
  • Fernandez-Arias, E. (1994). The New Wave of Private Capital Inflows: Push or Pull? World Bank Policy Research Working Paper Series, No.1312.
  • Fernandez-Arias, E. & Montiel, P. J. (1995). The Surge in Capital Inflows to Developing Countries: Prospects and Policy Response. World Bank Policy Research Working Paper Series, WPS 1473.
  • Fernandez-Arias, E. (1996). The new wave of private capital inflows: push or pull? Journal of development economics, 48(2), 389-418.
  • Güneş, S. (2007). Uluslararası Sermaye Hareketlerini Etkileyen Faktörler: Türkiye Örneği. Sosyoekonomi, 5(5).
  • Hacıhasanoğlu, E., & Soytaş, U. (2009). Global Risk Algılamasının Gelişmekte Olan Piyasalara Etkisi: Türkiye Örneği. AİBÜ-İİBF Ekonomik ve Sosyal Araştırmalar Dergisi.
  • Hadri, K. (2000). Testing for stationarity in heterogeneous panel data. The Econometrics Journal, 3(2), 148-161.
  • Hernandez, L., Mellado, P., & Valdes, R. (2001). Determinants of private capital flows in the 1970s and 1990s: is there evidence of contagion?.
  • http://data.imf.org/regular.aspx?key=60979249
  • http://lexicon.ft.com/Term?term=EMBI Financial Times, Erişim 15 Aralık 2016.
  • Hoggarth, G. & Sterne, G. (1997). Capital Flows: causes, consequences and policy responses. Handbooks.
  • IMF. (2009). Balance of Payments and International Investment Position Manual. (Sixth Edition). Washington D.C.
  • İnsel, A. & Sungur, N. (2000). Sermaye Akımlarının Temel Makroekonomik Göstergeler Üzerindeki Etkileri: Türkiye Örneği – 1989:III – 1999:IV, erc/ODTÜ Uluslararası Ekonomi Kongresi IV, Eylül, Ankara.
  • htpp://www.tek.org.tr/dosyalar/serhar0303.pdf erişim 15 Aralık 2016.
  • Kamin, S. B. (2002). Identfying the role of moral hazard in international financial markets. Board of Governors of the Federal Reserve System International Finance Discussion Paper No. 736.
  • Kibritçioğlu, A. (1996). Döviz Kurlarının Oluşumuyla İlgili Kuramlara Giriş.
  • Kibritçioğlu, A. (Ed.) Uluslararası Makroiktisat: Okumalar. Ankara: 120-146.
  • Koepke, R. (2014). Fed Policy Expectations and Portfolio Flows to Emerging Markets. IIF Working Paper.
  • Koepke, R. (2015). What Drives Capital Flows to Emerging Markets? A Survey of the Empirical Literature. IIF Working Paper.
  • Im, K.S., Pesaron, M.H. & Shin, Y. (2003). Testing for unit roots in heterogeneous panels. Journal of Econometrics, 115, 53–74.
  • Levin, A., Lin, C. F., ve Chu, C. S. J. (2002). Unit root tests in panel data: asymptotic and finite-sample properties. Journal of econometrics, 108(1), 1-24.
  • Maddala, G. S. & Wu, S. (1999). A comparative study of unit root tests with panel data and a new simple test. Oxford Bulletin of Economics and statistics, 61(S1), 631-652.
  • Milesi-Ferretti, G. & Tille, C. (2011). The Great Retrenchment: International Capital Flows during the Global Financial Crisis., 26 (66), 289-346.
  • Mody, A., Taylor, M. P. & Kim, J. Y. (2001). Modelling fundamentals for forecasting capital flows to emerging markets. International Journal of Finance & Economics, 6(3), 201-216.
  • Nunnenkamp, P. & Spatz, J. (2002). Determinants of FDI in developing countries: has globalization changed the rules of the game? (Vol. 1122). Germany: Kiel Institute for World Economics.
  • Obstfeld, M. (2008), International Finance and Growth in Developing Countries: What Have We Learned? CGD Working Paper No: 34, pp.1-52.
  • Pazarlıoğlu, M. V. & Gülay, E. (2007). Net Portföy Yatırımları ile Faiz Arasındaki İlişki: Türkiye Örneği 1922: I-2005: IV.
  • pages.stern.nyu.edu/~msiegel/embiplus.doc. Erişim tarihi: 15 Aralık 2016.
  • Presbitero, A. F., Ghura, D., Adedeji, O. & Njie, L. (2015). International Sovereign Bonds by Emerging Markets and Developing Economies: Drivers of Issuance and Spreads.
  • Taylor, M. P. & Sarno, L. (1997). Capital flows to developing countries: long-and short-term determinants. The World Bank Economic Review, 11(3), 451-470.
  • Ying, Y. H. & Kim, Y. (2001). An empirical analysis on capital flows: the case of Korea and Mexico. Southern Economic Journal, 954-968.

IMPACTS OF FED’S HIKING INTEREST RATES ON PORTFOLIO INVESTMENTS IN EMERGING MARKETS ECONOMIES AFTER THE 2008 CRISIS

Year 2017, Volume: 3 Issue: 1, 35 - 58, 02.02.2017

Abstract

ABSTRACT

       After the globalization, the mobility of
capital flows has increased. Emerging Markets Economies (EMEs) need capital for
investments to provide economic growth and because of their own capital accumulations
are inadequate they have to import capital. One of the major capital movements
is portfolio investments have significant role in this point. In this paper,
impacts of FED’s hiking interest rates on portfolio investments in EM economies
have been examined. In this study 2007: Q1 – 2015: Q4 data period was used.
Impacts of FED’s interest rate on portfolio investments of 16 EM countries have
been analysed by using dynamic panel data system which is called
“Arellano-Bond” panel GMM estimation method. According to the tests results;
between USA 2 years treasury bonds yields, which are reflecting FED interest
rate, and portfolio investments of EM have been found a negative effect. There
is also negative effect has been found between EMBI+ and portfolio investments.
When EMBI+ which is benchmark of country default risk has increased capital
outflows have risen. Between VIX which shows global risk appetite and
volatility index and portfolio investments there have been also ascertained
negative relationship. In conclusion, hiking of FED interest rates, rise of
EMBI+ and rise of VIX have been led to rise of portfolio outflows from EMEs.










References

  • Ahmed, S., & Zlate A. (2013). Capital Flows to Emerging Market Economies: A Brave New World? International Finance Discussion Papers 1081. Washington: Board of Governors of the Federal Reserve System, June.
  • Aklan, N. A. (2002). Uluslararası Sermaye Akımları: Etkileri; Sterilizasyon Politikaları ve Değişen Yapısı. Balıkesir Üniversitesi Sosyal Bilimler Dergisi, 5 (7), 35-52.
  • Arellano, M.,& Bond, S. (1991). Some tests of specification for panel data: Monte Carlo evidence and an application to employment equations. The review of economic studies, 58(2), 277-297.
  • Arellano, M., & Bover, O. (1995). Another look at the instrumental variable estimation of error-components models. Journal of econometrics, 68(1), 29-51.
  • Arora, V., & Cerisola, M., (2001). How Does U.S. Monetary Policy Influence Sovereign Spreads in Emerging Markets? IMF Staff Papers, 48(3), 474-498.
  • Avdjiev, S., Gambacorta, L., Goldberg, L. S., & Schiaffi, S. (2016). The shifting drivers of international capital flows. Unpublished manuscript.
  • Baek, I. M. (2006). Portfolio Investments Flows to Asia and Latin America: Pull, Push or Market Sentiment? Journal of Asian Economics 17, 2(2006), 363-373
  • Blundell, R. & Bond, S. (1998). Initial conditions and moment restrictions in dynamic panel data models. Journal of econometrics, 87(1), 115-143.
  • Bruner, F., Didier, T., Erce, A., & Schumukler (2013). Gross Capital Flows: Dynamics and Crises. Journal of Monetary Economics, 60 (1), 113-133.
  • Calvo, G. A., Leiderman, L., ve Reinhart, C. M. (1993). Capital inflows and real exchange rate appreciation in Latin America: the role of external factors. Staff Papers, 40(1), 108-151.
  • Cardoso, E. & Goldfajn, I. (1997). Capital Flows to Brazil: The Endogenity of Capital Controls. IMF Working Paper, 97:115.
  • Cerrutti, E., Hale. G., & Minoiu. C., (2014). Financial crises and the composition of cross-border lending. IMF Working Paper WP/14/185.
  • Chuhan, P., Claessens, S., & Mamingi, N. (1993). Equity and bond flows to Asia and Latin America. World Bank.
  • Claessens, S., Dooley, M. & Warner,A. (1995). Portfolio Capital Flows: Hot or Cold? The World Bank Economic Review, 9 (1), 153-174.
  • Çulha, O. Y., Özatay, F., & Şahinbeyoğlu, G. (2006). The determinants of sovereign spreads in emerging markets. Central Bank of Turkey, Research and Monetary Policy Department, Working Paper No. 06/04.
  • Dahlhaus, T. & Vasishtha, G. (2014). The Impact of US Monetary Policy Normalization on Capital Flows to Emerging–Market Economies. Bank of Canada Working Paper no. 14-53.
  • Dasgupta, D. & Ratha, D. (2000). What Factors Appear to Drive Private Capital Flows to Developing Countries?: And how Does Official Lending Respond?. World Bank.
  • De Haan, J., Eijffinger, S. C., & Waller, S. (2005). The European Central Bank: credibility, transparency, and centralization. MIT Press.
  • Edwards, S. (2012). The Federal Reserve, Emerging Markets, and Capital Controls: A High Frequency Empirical Investigation. NBER Working Paper no. 18557.
  • European Central Bank (2005). Financial Flows To Emergıng Market Economies: Changing Patternsand Recent Developments. Monthly Bulletin, January, 59-73.
  • Fratzscher, M. (2012). Capital flows, push versus pull factors and the global financial crisis. Journal of International Economics, 88(2), 341-356.
  • Frankel, J., Schmukler, S. L., & Serven, L. (2004). Global transmission of interest rates: monetary independence and currency regime. Journal of International Money and Finance, 23(5), 701-733.
  • Fernandez-Arias, E. (1994). The New Wave of Private Capital Inflows: Push or Pull? World Bank Policy Research Working Paper Series, No.1312.
  • Fernandez-Arias, E. & Montiel, P. J. (1995). The Surge in Capital Inflows to Developing Countries: Prospects and Policy Response. World Bank Policy Research Working Paper Series, WPS 1473.
  • Fernandez-Arias, E. (1996). The new wave of private capital inflows: push or pull? Journal of development economics, 48(2), 389-418.
  • Güneş, S. (2007). Uluslararası Sermaye Hareketlerini Etkileyen Faktörler: Türkiye Örneği. Sosyoekonomi, 5(5).
  • Hacıhasanoğlu, E., & Soytaş, U. (2009). Global Risk Algılamasının Gelişmekte Olan Piyasalara Etkisi: Türkiye Örneği. AİBÜ-İİBF Ekonomik ve Sosyal Araştırmalar Dergisi.
  • Hadri, K. (2000). Testing for stationarity in heterogeneous panel data. The Econometrics Journal, 3(2), 148-161.
  • Hernandez, L., Mellado, P., & Valdes, R. (2001). Determinants of private capital flows in the 1970s and 1990s: is there evidence of contagion?.
  • http://data.imf.org/regular.aspx?key=60979249
  • http://lexicon.ft.com/Term?term=EMBI Financial Times, Erişim 15 Aralık 2016.
  • Hoggarth, G. & Sterne, G. (1997). Capital Flows: causes, consequences and policy responses. Handbooks.
  • IMF. (2009). Balance of Payments and International Investment Position Manual. (Sixth Edition). Washington D.C.
  • İnsel, A. & Sungur, N. (2000). Sermaye Akımlarının Temel Makroekonomik Göstergeler Üzerindeki Etkileri: Türkiye Örneği – 1989:III – 1999:IV, erc/ODTÜ Uluslararası Ekonomi Kongresi IV, Eylül, Ankara.
  • htpp://www.tek.org.tr/dosyalar/serhar0303.pdf erişim 15 Aralık 2016.
  • Kamin, S. B. (2002). Identfying the role of moral hazard in international financial markets. Board of Governors of the Federal Reserve System International Finance Discussion Paper No. 736.
  • Kibritçioğlu, A. (1996). Döviz Kurlarının Oluşumuyla İlgili Kuramlara Giriş.
  • Kibritçioğlu, A. (Ed.) Uluslararası Makroiktisat: Okumalar. Ankara: 120-146.
  • Koepke, R. (2014). Fed Policy Expectations and Portfolio Flows to Emerging Markets. IIF Working Paper.
  • Koepke, R. (2015). What Drives Capital Flows to Emerging Markets? A Survey of the Empirical Literature. IIF Working Paper.
  • Im, K.S., Pesaron, M.H. & Shin, Y. (2003). Testing for unit roots in heterogeneous panels. Journal of Econometrics, 115, 53–74.
  • Levin, A., Lin, C. F., ve Chu, C. S. J. (2002). Unit root tests in panel data: asymptotic and finite-sample properties. Journal of econometrics, 108(1), 1-24.
  • Maddala, G. S. & Wu, S. (1999). A comparative study of unit root tests with panel data and a new simple test. Oxford Bulletin of Economics and statistics, 61(S1), 631-652.
  • Milesi-Ferretti, G. & Tille, C. (2011). The Great Retrenchment: International Capital Flows during the Global Financial Crisis., 26 (66), 289-346.
  • Mody, A., Taylor, M. P. & Kim, J. Y. (2001). Modelling fundamentals for forecasting capital flows to emerging markets. International Journal of Finance & Economics, 6(3), 201-216.
  • Nunnenkamp, P. & Spatz, J. (2002). Determinants of FDI in developing countries: has globalization changed the rules of the game? (Vol. 1122). Germany: Kiel Institute for World Economics.
  • Obstfeld, M. (2008), International Finance and Growth in Developing Countries: What Have We Learned? CGD Working Paper No: 34, pp.1-52.
  • Pazarlıoğlu, M. V. & Gülay, E. (2007). Net Portföy Yatırımları ile Faiz Arasındaki İlişki: Türkiye Örneği 1922: I-2005: IV.
  • pages.stern.nyu.edu/~msiegel/embiplus.doc. Erişim tarihi: 15 Aralık 2016.
  • Presbitero, A. F., Ghura, D., Adedeji, O. & Njie, L. (2015). International Sovereign Bonds by Emerging Markets and Developing Economies: Drivers of Issuance and Spreads.
  • Taylor, M. P. & Sarno, L. (1997). Capital flows to developing countries: long-and short-term determinants. The World Bank Economic Review, 11(3), 451-470.
  • Ying, Y. H. & Kim, Y. (2001). An empirical analysis on capital flows: the case of Korea and Mexico. Southern Economic Journal, 954-968.
There are 52 citations in total.

Details

Journal Section Articles
Authors

Erol Bulut

Baki Demirel This is me

N. Çağrı Akar This is me

Publication Date February 2, 2017
Published in Issue Year 2017 Volume: 3 Issue: 1

Cite

APA Bulut, E., Demirel, B., & Akar, N. Ç. (2017). 2008 KRİZİ SONRASI FED’İN FAİZ ARTIRIMININ YÜKSELEN PİYASA EKONOMİLERİNDEKİ PORTFÖY YATIRIMLARI ÜZERİNE ETKİLERİ. Gazi İktisat Ve İşletme Dergisi, 3(1), 35-58.
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