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

Levent Korap

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. 

Keywords

Portföy Akımları, Bakışımsız Volatilite, EGARCH

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

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.

Keywords

Portfolio Flows, Asymmetric Volatility, EGARCH Modeling, Turkish Economy

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