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

Erol Bulut Baki Demirel N. Çağrı Akar

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.

Keywords

Portföy Yatırımları, Sermaye Hareketleri, Panel Veri Analizi

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

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.

Keywords

Portfolio Investments, Capital Flows, Panel Data Models

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