Sermaye Kaçışında Histerezis ve Belirleyicileri: Türkiye Örneği

Year 2025, Volume: 43 Issue: 2, 396 - 413, 25.06.2025

Koray Yıldırım , Harun Bal

https://doi.org/10.17065/huniibf.1523729

Abstract

Sermaye kaçışında histerezis davranış sermaye akışlarında meydana gelen geçici şokların kalıcı ve dirençli formu olarak ortaya çıkmaktadır. Çalışmamızda yumuşak geçişli (smooth transition) yapısal kırılma testi ve Hatemi-J (2012 ve 2016) asimetrik nedensellik testleri analizler için kullanılmıştır. Yapısal kırılma testinden elde dilen bulgular yapısal kırılmanın varlığı ile histerezise işaret etmektedir. Sermaye akışlarının belirleyicilerinin tespiti amacıyla dizayn edilen analizde ise önemli görülen bazı seçilmiş değişkenlerin kullanımı tercih edilmiştir. Sermaye akışları üzerinde ampirik ve teorik belirleyicileri olarak; bankacılık ve diğer sektörler borçluluk oranı, enflasyon oranı, reel efektif döviz kuru, VIX volatilite endeksi ve reel faiz oranı değişkenleri kullanılmıştır. Analizler çerçevesinde Reel efektif döviz kuru ve sermaye kaçışları arasında asimetrik ilişkinin varlığı tespit edilmiş, buna karşın diğer değişkenlerde bu geçerlilik görülememiştir. Sermaye kaçışı histerezisi, itici-çekici faktörler kapsamında değerlendirildiğinde reel efektif döviz kuru gelişmelerinden etkilendiği görülmektedir. Sermaye kaçışında beklenen yapısal hareket kısa dönemlidir. Ampirik literatür de büyük oranda bunu desteklemektedir. Ancak reel efektif döviz kuru kaynaklı sermaye kaçışlarının uzun döneme yayılım etkileri göstermesi, sermaye kaçışlarının doğası ve histerezis üzerine çarpıcı bir bulgudur.

Keywords

Sermaye Akışları , Sermaye Kaçışları , Histerezis , Dalgalanma Korkusu , Türkiye

Capital Flight Hysteresis and Its Determinants: The Case of Türkiye

Abstract

Hysteresis behaviour in capital flight emerges as a permanent and resilient form of temporary shocks in capital flows. In our study, smooth transition structural break test and Hatemi-J (2012 and 2016) asymmetric causality tests are used for analyses. The findings obtained from the structural break test indicate the presence of a structural break and hysteresis. In the analyses designed to determine the determinants of capital flows, the use of some selected variables considered important was preferred. As empirical and theoretical determinants of capital flows; banking and other sectors indebtedness ratio, inflation rate, real effective exchange rate, VIX volatility index and real interest rate variables were used. Within the framework of the analyses, the existence of an asymmetric relationship between the real effective exchange rate and capital flight was found, whereas this validity was not observed in other variables. When the capital flight hysteresis is evaluated within the scope of push-pull factors, it is observed that it is affected by real effective exchange rate developments. The expected structural movement in capital flight is short-term. The empirical literature also supports this to a large extent. However, the fact that real effective exchange rate-driven capital flight shows long-run spillover effects is a striking finding on the nature of capital flight and hysteresis.

Keywords

Capital Flows , Capital Flight , Hysteresis , Fear of Volatility , Türkiye

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