EXOGENOUS CHARACTERISTICS OF SHORT-TERM CAPITAL FLOWS: CAN THEY BE UNDER CONTROL EVIDENCE FROM TURKEY

Abstract

Çalışmamızda kısa dönemli sermaye hareketlerinin Türkiye ekonomisi koşullarında 'çekiş içerikli' olarak adlandırılabilecek reel efektif döviz kuru, ticaret dengesi, reel gelir büyüme süreci, yurtiçi enflasyon ve reel faiz yapısı gibi temel bazı makroekonomik göstergeler ile olan dinamik etkileşim süreci araştırılmaya çalışılmaktadır. Sınırlandırılmamış çağdaş vektör ardışık bağlanım (VAB) tahmin yöntemleri kullanılmak suretiyle elde ettiğimiz tahmin sonuçları kısa dönemli sermaye hareketlerinin 'çekiş içerikli' olarak tanımlanan faktörler üzerinde önemli bir etkiye sahip olduğunu göstermiş, bu doğrultuda sermaye girişlerinin reel efektif döviz kurunun değerlenmesine yol açtığı ve ticaret dengesini kötiileştirdiği, reel gelir büyüme sürecini teşvik ettiği ve reel faiz oranlarının azalmasına yol açtığı gözlenmiştir. Ancak 'çekiş içerikli' faktörlerin sermaye hareketleri üzerinde anlamlı bir etkisi bulunamamıştır.

Anahtar Kelimeler: Sermaye Hareketleri, VAB (Vektör Ardışık Bağlanım) Modellemesi, Türkiye Ekonomisi

 

                          ABSTRACT

In our paper, we give an essay trying to explore whether short-term capital flows can affect and/or be affected by some primary domestic macroeconomic indicators called 'pull' factors such as real effective exchange rate, balance of trade, real income growth process, domestic inflation and real interest structure for the case of Turkish economy. Our estimation results employing some contemporaneous estimation techniques of unrestricted dynamic vector autoregression (VAR) models reveal that short-term capital flows have in fact an important role on the 'pull' factors in the sense that inflows appreciate the real effective exchange rate and in turn deteriorate the trade balance, encourage the real income growth, and decrease the real interest rates. But we could not find any significant effects of the 'pull' factors on the capital flows.

Key Words: Capital Flows, VAR Modelling, Turkish Economy

Keywords

• Sermaye Hareketleri, VAB (Vektör Ardışık Bağlanım)

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