BibTex RIS Kaynak Göster

DALGALANMA SONRASI TÜRKİYE EKONOMİSİ İÇİN PORTFÖY AKIMLARININ MODELLENMESİ

Yıl 2008, Cilt: 23 Sayı: 1 - Cilt: 23 Sayı: 1, 23 - 34, 25.07.2016

Öz

In this paper, a structurally identified vector autoregressive (SVAR) model is constructed to examine the determinants of the portfolio-based capital flows for the Turkish economy. Our estimation results using data from the post-floating period reveal that the “push” factors based on the external developments for the Turkish economy have a dominant role to explain the behavior of the portfolio flows. Furthermore, the domestic real interest rates as a main “pull” factor are found in a negative dynamic relationship with the portfolio flows and such a finding is attributed to that the dynamic course of the portfolio flows should not be related to the excess return possibilities of the real interest structure, but rather they shold be related to the risk considerations of the economic agents, resulted from the negative fundamentals of the economy associated with high risk premiums.

Kaynakça

  • AGENOR, P.-R., MCDERMOTT, C.J. 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), 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.
  • BLANCHARD, O.J. and D. QUAH (1989), “The Dynamic Effects of Aggregate Demand and Supply Disturbances”, American Economic Review, 79, 655-73.
  • CALVO, G.A., LEIDERMAN, L. and C.M. REINHART (1993), “Capital Flows and Real Exchange Rate Appreciation in Latin America: The Role of External Factors”, IMF Staff Papers, 40(1), 108-51.
  • CBRT (2005), Monetary Policy Report, 2005-I.
  • CBRT (2006), Inflation Report, 2006-IV.
  • CELASUN, O., DENİZER, C., and D. He(1999), “Capital Inflows, Macroeconomic Management, and the Financial System: The Turkish Case, 1989-97”, World Bank Working Paper, No. 2141.
  • CHUHAN, P., CLAESSENS, S., and N. MAMINGI (1993), “Equity and Bond Flows to Asia and Latin America: The Role of Global and Country Factors”, World Bank Policy Research Working Paper, WPS 1160, July.
  • 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.
  • DASGUPTA, D. and D. RATHA (2000), “What Factors Appear to Drive Private Capital Flows to Developing Countries? And How Does Official Lending Respond?”, World Bank Policy Research Working Paper, No. 2392.
  • FERNANDEZ-ARIAS, E. (1994), “The New Wave of Private Capital Inflows: Push or Pull?”, World Bank Policy Research Working Paper, No. 1312.
  • HERNANDEZ, L., MELLADOI, P. and R. VALDES (2001), “Determinants of Private Capital Flows in the 1970s and 1990s: Is There Evidence of Contagion?”, IMF Working Paper, 01/64.
  • INTERNATIONAL MONETARY FUND (2006), World Economic Outlook, September.
  • KIM, Y. (2000), “Causes of Capital Flows in Developing Countries”, Journal of International Money and Finance, 19, 235-53.
  • KİRMANOĞLU, H. And Ö. Özçiçek (1999), “The Effect of Short-Term Capital Inflow on the Turkish Economy”, Yapı Kredi Economic Review, 10(1), 27-34.
  • MISHRA, D., MODY, A., and A.P. Murshid (2001), “Private Capital Flows and Growth”, IMF Finance and Development, 38(2).
  • TAYLOR, M.P. and L. SARNO (1997), “Capital Flows to Developing Countries: Long- and Short-term Determinants”, World Bank Economic Review, 11(3), 451-70.
  • YING, Y.-H. and Y. KIM (2001), “An Empirical Analysis on Capital Flows: The Case of Korea and Mexico”, Southern Economic Journal, 67(4), 954-68.
  • ZIVOT, E. and D.W.K. ANDREWS (1992), “Further Evidence of Great Crash, the Oil Price Shock and the Unit Root Hypothesis”, Journal of Business and Economic Statistics, 10, 251-70.

MODELING PORTFOLIO FLOWS FOR THE POST-FLOATING TURKISH ECONOMY

Yıl 2008, Cilt: 23 Sayı: 1 - Cilt: 23 Sayı: 1, 23 - 34, 25.07.2016

Öz

In this paper, a structurally identified vector autoregressive (SVAR) model is constructed to examine the determinants of the portfolio-based capital flows for the Turkish economy. Our estimation results using data from the post-floating period reveal that the “push” factors based on the external developments for the Turkish economy have a dominant role to explain the behavior of the portfolio flows. Furthermore, the domestic real interest rates as a main “pull” factor are found in a negative dynamic relationship with the portfolio flows and such a finding is attributed to that the dynamic course of the portfolio flows should not be related to the excess return possibilities of the real interest structure, but rather they shold be related to the risk considerations of the economic agents, resulted from the negative fundamentals of the economy associated with high risk premiums.

Kaynakça

  • AGENOR, P.-R., MCDERMOTT, C.J. 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), 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.
  • BLANCHARD, O.J. and D. QUAH (1989), “The Dynamic Effects of Aggregate Demand and Supply Disturbances”, American Economic Review, 79, 655-73.
  • CALVO, G.A., LEIDERMAN, L. and C.M. REINHART (1993), “Capital Flows and Real Exchange Rate Appreciation in Latin America: The Role of External Factors”, IMF Staff Papers, 40(1), 108-51.
  • CBRT (2005), Monetary Policy Report, 2005-I.
  • CBRT (2006), Inflation Report, 2006-IV.
  • CELASUN, O., DENİZER, C., and D. He(1999), “Capital Inflows, Macroeconomic Management, and the Financial System: The Turkish Case, 1989-97”, World Bank Working Paper, No. 2141.
  • CHUHAN, P., CLAESSENS, S., and N. MAMINGI (1993), “Equity and Bond Flows to Asia and Latin America: The Role of Global and Country Factors”, World Bank Policy Research Working Paper, WPS 1160, July.
  • 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.
  • DASGUPTA, D. and D. RATHA (2000), “What Factors Appear to Drive Private Capital Flows to Developing Countries? And How Does Official Lending Respond?”, World Bank Policy Research Working Paper, No. 2392.
  • FERNANDEZ-ARIAS, E. (1994), “The New Wave of Private Capital Inflows: Push or Pull?”, World Bank Policy Research Working Paper, No. 1312.
  • HERNANDEZ, L., MELLADOI, P. and R. VALDES (2001), “Determinants of Private Capital Flows in the 1970s and 1990s: Is There Evidence of Contagion?”, IMF Working Paper, 01/64.
  • INTERNATIONAL MONETARY FUND (2006), World Economic Outlook, September.
  • KIM, Y. (2000), “Causes of Capital Flows in Developing Countries”, Journal of International Money and Finance, 19, 235-53.
  • KİRMANOĞLU, H. And Ö. Özçiçek (1999), “The Effect of Short-Term Capital Inflow on the Turkish Economy”, Yapı Kredi Economic Review, 10(1), 27-34.
  • MISHRA, D., MODY, A., and A.P. Murshid (2001), “Private Capital Flows and Growth”, IMF Finance and Development, 38(2).
  • TAYLOR, M.P. and L. SARNO (1997), “Capital Flows to Developing Countries: Long- and Short-term Determinants”, World Bank Economic Review, 11(3), 451-70.
  • YING, Y.-H. and Y. KIM (2001), “An Empirical Analysis on Capital Flows: The Case of Korea and Mexico”, Southern Economic Journal, 67(4), 954-68.
  • ZIVOT, E. and D.W.K. ANDREWS (1992), “Further Evidence of Great Crash, the Oil Price Shock and the Unit Root Hypothesis”, Journal of Business and Economic Statistics, 10, 251-70.
Toplam 21 adet kaynakça vardır.

Ayrıntılar

Diğer ID JA38FD73UV
Bölüm Makaleler
Yazarlar

Cem Saatçioğlu Bu kişi benim

Levent Korap Bu kişi benim

Yayımlanma Tarihi 25 Temmuz 2016
Yayımlandığı Sayı Yıl 2008 Cilt: 23 Sayı: 1 - Cilt: 23 Sayı: 1

Kaynak Göster

APA Saatçioğlu, C., & Korap, L. (2016). DALGALANMA SONRASI TÜRKİYE EKONOMİSİ İÇİN PORTFÖY AKIMLARININ MODELLENMESİ. Dokuz Eylül Üniversitesi İktisadi İdari Bilimler Fakültesi Dergisi, 23(1), 23-34.
AMA Saatçioğlu C, Korap L. DALGALANMA SONRASI TÜRKİYE EKONOMİSİ İÇİN PORTFÖY AKIMLARININ MODELLENMESİ. Dokuz Eylül Üniversitesi İktisadi İdari Bilimler Fakültesi Dergisi. Temmuz 2016;23(1):23-34.
Chicago Saatçioğlu, Cem, ve Levent Korap. “DALGALANMA SONRASI TÜRKİYE EKONOMİSİ İÇİN PORTFÖY AKIMLARININ MODELLENMESİ”. Dokuz Eylül Üniversitesi İktisadi İdari Bilimler Fakültesi Dergisi 23, sy. 1 (Temmuz 2016): 23-34.
EndNote Saatçioğlu C, Korap L (01 Temmuz 2016) DALGALANMA SONRASI TÜRKİYE EKONOMİSİ İÇİN PORTFÖY AKIMLARININ MODELLENMESİ. Dokuz Eylül Üniversitesi İktisadi İdari Bilimler Fakültesi Dergisi 23 1 23–34.
IEEE C. Saatçioğlu ve L. Korap, “DALGALANMA SONRASI TÜRKİYE EKONOMİSİ İÇİN PORTFÖY AKIMLARININ MODELLENMESİ”, Dokuz Eylül Üniversitesi İktisadi İdari Bilimler Fakültesi Dergisi, c. 23, sy. 1, ss. 23–34, 2016.
ISNAD Saatçioğlu, Cem - Korap, Levent. “DALGALANMA SONRASI TÜRKİYE EKONOMİSİ İÇİN PORTFÖY AKIMLARININ MODELLENMESİ”. Dokuz Eylül Üniversitesi İktisadi İdari Bilimler Fakültesi Dergisi 23/1 (Temmuz 2016), 23-34.
JAMA Saatçioğlu C, Korap L. DALGALANMA SONRASI TÜRKİYE EKONOMİSİ İÇİN PORTFÖY AKIMLARININ MODELLENMESİ. Dokuz Eylül Üniversitesi İktisadi İdari Bilimler Fakültesi Dergisi. 2016;23:23–34.
MLA Saatçioğlu, Cem ve Levent Korap. “DALGALANMA SONRASI TÜRKİYE EKONOMİSİ İÇİN PORTFÖY AKIMLARININ MODELLENMESİ”. Dokuz Eylül Üniversitesi İktisadi İdari Bilimler Fakültesi Dergisi, c. 23, sy. 1, 2016, ss. 23-34.
Vancouver Saatçioğlu C, Korap L. DALGALANMA SONRASI TÜRKİYE EKONOMİSİ İÇİN PORTFÖY AKIMLARININ MODELLENMESİ. Dokuz Eylül Üniversitesi İktisadi İdari Bilimler Fakültesi Dergisi. 2016;23(1):23-34.