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AN ECONOMETRIC ESSAY FOR THE ASYMMETRIC VOLATILITY CONTENT OF THE PORTFOLIO FLOWS: EGARCH EVIDENCE FROM THE TURKISH ECONOMY

Year 2010, Issue: 1, 103 - 109, 20.01.2012

Abstract

Bu çalışmada, portföy akımları üzerinde gözlemlenen volatilitenin bilgi içeriğinin Türkiye ekonomisi için ekonometrik olarak incelenmesine çalışılmaktadır. EGARCH tahmin yöntemini kullanan bulgularımız portföy akımları üzerindeki volatilite şoklarının oldukça kalıcı bir yapıda bulunduğunu ve modelden çıkarılan haber etkisinin net portföy akımlarının koşullu varyansının geçmiş negatif şoklara eşit büyüklükteki pozitif değişimlere göre daha fazla tepki göstermesi şeklinde oldukça kalıcı bir yapıda olduğunu ortaya koymaktadır. Böyle bir sonuç inceleme dönemi içerisinde net portföy akımlarındaki beklenmedik bir azalmanın beklenmedik bir artıştan kaynaklanan belirsizlik ile karşılaştırıldığında daha yüksek bir belirsizlik düzeyine yol açmasına ve politika yapıcıların özellikle büyük çaplı portföy çıkışlarına maruz kalındığında ekonomideki artan belirsizlikler karşısında ihtiyatlı olmaları gerekliliğine atfedilmiştir. 

References

  • AGENOR, P.-R., C.J. MCDERMOTT, and E.M. ÜÇER; (1997), “Fiscal Imbalances, Capital Inflows, and the Real Exchange Rate: The Case of Turkey”, IMF Working Paper, No. 987/1.
  • AKÇORAOĞLU, A.; (2000), “International Capital Movements, External Imbalances and Economic Growth: The Case of Turkey”, Yapı Kredi Economic Review, 11/2, pp. 21-36.
  • ALPER, C.E. and İ. SAĞLAM; (2002), “The Transmission of a Sudden Capital Outflow: Evidence from Turkey”, Eastern European Economics, 39/2, 29-48.
  • BİÇER, G. and A.E. Yeldan; (2002), “Patterns of Financial Capital Flows and Accumulation in the Post-1990 Turkish Economy”, Canadian Journal of Development Studies, 24/2, 250-65.
  • BOLLERSLEV, T.; (1986), “Generalized Autoregressive Conditional Heteroskedasticity”, Journal of Econometrics, 31, 307-27.
  • BOLLERSLEV, T. and J.M. WOOLDRIDGE; (1992), “Quasi-maximum Likelihood Estimation and Inference in Dynamic Models with Time Varying Covariances”, Econometric Reviews, 11, 143-72.
  • CBRT; (2006), Inflation Report, No. 2006-IV.
  • CELASUN, O., C. DENİZER, and D. HE; (1999), “Capital Inflows, Macroeconomic Management, and the Financial System: The Turkish case, 1989-97”, World Bank Working Paper, No. 2141.
  • ÇULHA, A.; (2006), “A Structural VAR Analysis of the Determinants of Capital Flows into Turkey”, CBRT Research and Monetary Policy Department Working Paper, No. 06/05.
  • DING, Z., C.W.J. GRANGER, and R.F. ENGLE; (1993), “A Long Memory Property of Stock Market Returns and a New Model”, Journal of Empirical Finance, 1, 83-106.
  • ENDERS, W.; (2004), Applied Econometric Time Series, 2.ed., John Wiley & Sons, Inc.
  • ENGLE, R.F.; (1982), “Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of U.K. Inflation”, Econometrica, 50, 987-1008.
  • ENGLE, R.F., D.M. LILIEN, and R.P. ROBINS; (1987), “Estimating Time Varying Risk Premia in the Term Structure: The ARCH-M Model”, Econometrica, 55, 391-407.
  • GLOSTEN, L.R., R. JAGANATHAN, and D. RUNKLE; (1993), “On the Relation between the Expected Value and the Volatility of the Normal Excess Return on Stocks”, Journal of Finance, 48, 1779-1801.
  • INTERNATIONAL MONETARY FUND; (2006), World Economic Outlook, September.
  • INTERNATIONAL MONETARY FUND; (2008), World Economic Outlook, October.
  • KİRMANOĞLU, H. and Ö. ÖZÇİÇEK; (1999), “The Effect of Short-term Capital Inflow on the Turkish Economy”, Yapı Kredi Economic Review, 10/1, 27-34.
  • NELSON, D.B.; (1991), “Conditional Heteroskedas- ticity in Asset Returns: A New Approach”, Econometrica, 59/2, March, 347-70.
  • ZAKOIAN, J.M;. (1994), “Threshold Heteroskedastic Models”, Journal of Economic Dynamics and Control, 18, 931-44.

AN ECONOMETRIC ESSAY FOR THE ASYMMETRIC VOLATILITY CONTENT OF THE PORTFOLIO FLOWS: EGARCH EVIDENCE FROM THE TURKISH ECONOMY

Year 2010, Issue: 1, 103 - 109, 20.01.2012

Abstract

In this paper, the information content of the volatility observed on portfolio flows is tried to be econometrically examined for the Turkish economy. Our findings employing EGARCH estimation methodology reveal that the volatility shocks on the portfolio flows seem to be of a quite persistent form and that the news impact extracted from the model is asymmetric such that the conditional variance of the net portfolio flows reacts more to past negative shocks than to positive innovations of the equal size. Such a result has been attributed to that inside the period under investigation an unanticipated decrease in net portfolio flows would lead to a higher level of uncertainty when compared with the uncertainty resulted from an unanticipated increase and that policy makers ought to be prudent against the increasing uncertainties in the economy especially if large portfolio outflows are to be experienced.

References

  • AGENOR, P.-R., C.J. MCDERMOTT, and E.M. ÜÇER; (1997), “Fiscal Imbalances, Capital Inflows, and the Real Exchange Rate: The Case of Turkey”, IMF Working Paper, No. 987/1.
  • AKÇORAOĞLU, A.; (2000), “International Capital Movements, External Imbalances and Economic Growth: The Case of Turkey”, Yapı Kredi Economic Review, 11/2, pp. 21-36.
  • ALPER, C.E. and İ. SAĞLAM; (2002), “The Transmission of a Sudden Capital Outflow: Evidence from Turkey”, Eastern European Economics, 39/2, 29-48.
  • BİÇER, G. and A.E. Yeldan; (2002), “Patterns of Financial Capital Flows and Accumulation in the Post-1990 Turkish Economy”, Canadian Journal of Development Studies, 24/2, 250-65.
  • BOLLERSLEV, T.; (1986), “Generalized Autoregressive Conditional Heteroskedasticity”, Journal of Econometrics, 31, 307-27.
  • BOLLERSLEV, T. and J.M. WOOLDRIDGE; (1992), “Quasi-maximum Likelihood Estimation and Inference in Dynamic Models with Time Varying Covariances”, Econometric Reviews, 11, 143-72.
  • CBRT; (2006), Inflation Report, No. 2006-IV.
  • CELASUN, O., C. DENİZER, and D. HE; (1999), “Capital Inflows, Macroeconomic Management, and the Financial System: The Turkish case, 1989-97”, World Bank Working Paper, No. 2141.
  • ÇULHA, A.; (2006), “A Structural VAR Analysis of the Determinants of Capital Flows into Turkey”, CBRT Research and Monetary Policy Department Working Paper, No. 06/05.
  • DING, Z., C.W.J. GRANGER, and R.F. ENGLE; (1993), “A Long Memory Property of Stock Market Returns and a New Model”, Journal of Empirical Finance, 1, 83-106.
  • ENDERS, W.; (2004), Applied Econometric Time Series, 2.ed., John Wiley & Sons, Inc.
  • ENGLE, R.F.; (1982), “Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of U.K. Inflation”, Econometrica, 50, 987-1008.
  • ENGLE, R.F., D.M. LILIEN, and R.P. ROBINS; (1987), “Estimating Time Varying Risk Premia in the Term Structure: The ARCH-M Model”, Econometrica, 55, 391-407.
  • GLOSTEN, L.R., R. JAGANATHAN, and D. RUNKLE; (1993), “On the Relation between the Expected Value and the Volatility of the Normal Excess Return on Stocks”, Journal of Finance, 48, 1779-1801.
  • INTERNATIONAL MONETARY FUND; (2006), World Economic Outlook, September.
  • INTERNATIONAL MONETARY FUND; (2008), World Economic Outlook, October.
  • KİRMANOĞLU, H. and Ö. ÖZÇİÇEK; (1999), “The Effect of Short-term Capital Inflow on the Turkish Economy”, Yapı Kredi Economic Review, 10/1, 27-34.
  • NELSON, D.B.; (1991), “Conditional Heteroskedas- ticity in Asset Returns: A New Approach”, Econometrica, 59/2, March, 347-70.
  • ZAKOIAN, J.M;. (1994), “Threshold Heteroskedastic Models”, Journal of Economic Dynamics and Control, 18, 931-44.
There are 19 citations in total.

Details

Primary Language English
Journal Section Makaleler
Authors

Levent Korap This is me

Publication Date January 20, 2012
Published in Issue Year 2010 Issue: 1

Cite

APA Korap, L. (2012). AN ECONOMETRIC ESSAY FOR THE ASYMMETRIC VOLATILITY CONTENT OF THE PORTFOLIO FLOWS: EGARCH EVIDENCE FROM THE TURKISH ECONOMY. Sosyal Bilimler Dergisi(1), 103-109.
AMA Korap L. AN ECONOMETRIC ESSAY FOR THE ASYMMETRIC VOLATILITY CONTENT OF THE PORTFOLIO FLOWS: EGARCH EVIDENCE FROM THE TURKISH ECONOMY. Sosyal Bilimler Dergisi. January 2012;(1):103-109.
Chicago Korap, Levent. “AN ECONOMETRIC ESSAY FOR THE ASYMMETRIC VOLATILITY CONTENT OF THE PORTFOLIO FLOWS: EGARCH EVIDENCE FROM THE TURKISH ECONOMY”. Sosyal Bilimler Dergisi, no. 1 (January 2012): 103-9.
EndNote Korap L (January 1, 2012) AN ECONOMETRIC ESSAY FOR THE ASYMMETRIC VOLATILITY CONTENT OF THE PORTFOLIO FLOWS: EGARCH EVIDENCE FROM THE TURKISH ECONOMY. Sosyal Bilimler Dergisi 1 103–109.
IEEE L. Korap, “AN ECONOMETRIC ESSAY FOR THE ASYMMETRIC VOLATILITY CONTENT OF THE PORTFOLIO FLOWS: EGARCH EVIDENCE FROM THE TURKISH ECONOMY”, Sosyal Bilimler Dergisi, no. 1, pp. 103–109, January 2012.
ISNAD Korap, Levent. “AN ECONOMETRIC ESSAY FOR THE ASYMMETRIC VOLATILITY CONTENT OF THE PORTFOLIO FLOWS: EGARCH EVIDENCE FROM THE TURKISH ECONOMY”. Sosyal Bilimler Dergisi 1 (January 2012), 103-109.
JAMA Korap L. AN ECONOMETRIC ESSAY FOR THE ASYMMETRIC VOLATILITY CONTENT OF THE PORTFOLIO FLOWS: EGARCH EVIDENCE FROM THE TURKISH ECONOMY. Sosyal Bilimler Dergisi. 2012;:103–109.
MLA Korap, Levent. “AN ECONOMETRIC ESSAY FOR THE ASYMMETRIC VOLATILITY CONTENT OF THE PORTFOLIO FLOWS: EGARCH EVIDENCE FROM THE TURKISH ECONOMY”. Sosyal Bilimler Dergisi, no. 1, 2012, pp. 103-9.
Vancouver Korap L. AN ECONOMETRIC ESSAY FOR THE ASYMMETRIC VOLATILITY CONTENT OF THE PORTFOLIO FLOWS: EGARCH EVIDENCE FROM THE TURKISH ECONOMY. Sosyal Bilimler Dergisi. 2012(1):103-9.