PORTFÖY AKIMLARI İÇİN “ÇEKEN” & “İTEN” ETKENLERİN TANIMLANMASI: TÜRKİYE EKONOMİSİNDEN SVAR BULGULARI

Öz

Bu çalışmada portföy temelli sermaye akımlarının belirleyicileri Türkiye ekonomisi için incelenmiştir. Yapısal vektör otoregresyon yöntemi izlenerek elde edilen sonuçlar Türkiye ekonomisi için dışsal gelişmelere dayalı ‘iten’ etkenlerin portföy akımlarının davranışı açıklamakta belirleyici bir işleve sahip olduğunu ortaya koymaktadır. Ayrıca, başlıca ‘çeken’ etkenlerden biri olarak yurt içi reel faiz oranı portföy akımları ile negatif bir dinamik ilişki içerisinde bulunmuştur. Bu sonuç portföy akımlarınının dinamik gelişme yolunun Türkiye ekonomisinin reel faiz yapısının aşırı getiri olanaklarıyla ilişkilendirilmemesi gerekliliğine atfedilmiştir

Anahtar Kelimeler

• Portföy Akımları, SVAR Çözümlemesi, Türkiye Ekonomisi

IDENTIFICATION OF ‘PULL’ & ‘PUSH’ FACTORS FOR THE PORTFOLIO FLOWS: SVAR EVIDENCE FROM THE TURKISH ECONOMY

Öz

In this paper, the determinants of the portfolio based capital flows are examined for the Turkish economy. Following the structural vector autoregression methodology, the estimation results reveal that the ‘push’ factors based on the external developments for the Turkish economy have a dominant role in explaining the behavior of the portfolio flows. Further, the domestic real interest rate as one of the main ‘pull’ factors has been found in a negative dynamic relationship with the portfolio flows. This result 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 of the Turkish economy.

Anahtar Kelimeler

• Portfolio Flows, SVAR Analysis, Turkish Economy

Kaynakça

1. AGENOR, P.R., MCDERMOTT, C.J., ÜÇER, E.M. (1997). Fiscal imbalances, capital inflows, and the real exchange rate: the case of Turkey. IMF Working Paper, No. 987/1.
2. AKÇORAOĞLU, A. (2000). International capital movements, external imbalances and economic growth: the case of Turkey. Yapı Kredi Economic Review, vol. 11, no. 2, pp. 21-36.
3. ALPER, C.E., SAĞLAM, İ. (2001). The transmission of a sudden capital outflow: evidence from Turkey. Eastern European Economics, vol. 39, no. 2, pp. 29-48.
4. AMISANO, G., GIANNINI, C. (1997). Topics in structural VAR econometrics. 2nd edition, Berlin: Springer-Verlag.
5. BAEK, I.M. (2006). Portfolio investment flows to Asia and Latin America: pull, push or market sentiment?. Journal of Asian Economics, vol. 17, pp. 363-73.
6. BERUMENT, H., DİNÇER, N. (2004). Do capital flows improve macroeconomic performance in emerging markets? the Turkish experience. Emerging Markets Finance and Trade, vol. 40, no. 4, pp. 20-32.
7. BİÇER, G. and YELDAN, A.E. (2002). Patterns of financial capital flows and accumulation in the post-1990 Turkish economy. Canadian Journal of Development Studies, vol. 24, no. 2, pp. 250-65.
8. CALVO, G.A., LEIDERMAN, L., REINHART, C.M. (1993). Capital flows and real exchange rate appreciation in Latin America: the role of external factors. IMF Staff Papers, vol. 40, no. 1, 108-51.

9. CENTRAL BANK OF THE REPUBLIC OF TURKEY (2006). Inflation report, no. 2006-IV.
10. CELASUN, O., DENİZER, C., HE, D. (1999). Capital inflows, macroeconomic management, and the financial system: the Turkish case, 1989-97. World Bank Working Paper, no. 2141.
11. CHUHAN, P., CLAESSENS, S., MAMINGI, N. (1993). Equity and bond flows to Asia and Latin America: the role of global and country factors. World Bank Policy Research Working Paper, no.WPS 1160, July.
12. 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.
13. DASGUPTA, D., RATHA, D. (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.
14. FERNANDEZ-ARIAS, E. (1994). The new wave of private capital inflows: push or pull?. World Bank Policy Research Working Paper, no. 1312.
15. HALL, P. (1992). The bootsrap and edgeworth expansion. New York: Springer.
16. HERNANDEZ, L., MELLADOI, P., VALDES, R. (2001). Determinants of private capital flows in the 1970s and 1990s: is there evidence of contagion?. IMF Working Paper, no. 01/64.
17. INTERNATIONAL MONETARY FUND (2006). World economic outlook. September.
18. INTERNATIONAL MONETARY FUND (2008). World economic outlook. October.
19. KIM, Y. (2000). Causes of capital flows in developing countries. Journal of International Money and Finance, vol. 19, pp. 235-53.
20. KIRMANOĞLU, H., ÖZÇİÇEK, Ö. (1999). The effect of short-term capital inflow on the Turkish economy. Yapı Kredi Economic Review, vol. 10, no. 1, pp. 27-34.
21. MISHRA, D., MODY, A., MURSHID, A.P. (2001). Private capital flows and growth. IMF Finance and Development, vol. 38, no. 2.
22. MONTIEL, P., REINHART, C.M. (2000). The dynamics of capital movements to emerging economies during the 1990s. In: S. GRIFFITH-JONES and M. MONTES (eds.), Short- term Capital Movement and Balance of Payments Crises, Oxford: Oxford University Press, pp. 3-28.
23. SIMS, C.A. (1980). Macroeconomics and reality. Econometrica, vol. 48, no. 1, Jan., pp.1-48.
24. SIMS, C.A., STOCK, A., WATSON, M.W. (1990). Inference in linear times series models with some unit roots. Econometrica, vol. 58, no. 1, pp. 113-44.
25. TAYLOR, M.P., SARNO, L. (1997). Capital flows to developing countries: long- and short- term determinants. World Bank Economic Review, vol. 11, no. 3, pp. 451-70.
26. YING, Y.-H., KIM, Y. (2001). An empirical analysis on capital flows: the case of Korea and Mexico. Southern Economic Journal, vol. 67, no. 4, pp. 954- 68.