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Korumasız Faiz Parite Kuramı ve 2005-2014 Dönemi Portföy Yatırımlarını Türkiye’ye Çeken Finansal Faktörlerin Tespiti

Yıl 2018, Cilt 14, Sayı 29, 247 - 268, 19.07.2019

Öz

2001 krizi sonrasında dalgalı kur rejimine geçen ve kriz sonrası yapısal reformlara hız veren Türkiye, 2014 sonuna kadar artan küresel likidite ve sermaye yatırımlarından faydalanmıştır. Bu çalışmada yurtdışı faktörlerin sermaye yatırımları üzerindeki etkisinin nispeten az olduğu 2005-2014 döneminde, yurtiçi baskın finansal faktörün tespiti amaçlanmaktadır. Ülke risk priminin göstergesi olan CDS, yapılan VAR analizi sonucunda ödemeler dengesi bilançosunda yer alan portföy yükümlülükleri üzerinde en baskın faktör olmakta iken döviz kuru ise en baskın ikinci faktör olarak gözlemlenmektedir. Portföy yükümlülükleri üzerinde faiz oranı yerine döviz kurunun bu derece etkili olmasının sebepleri araştırıldığında ise; 2005-2014 yılları arasında artan cari işlemler açığı ve düşen tasarruf oranları göze çarpmaktadır. Bu durum da katma değerli üretimin Türkiye için, dış finansmana erişiminde zora girdiği son yıllarda ne derece önemli olduğunu göstermektedir. 

Kaynakça

  • Agénor, P. R., McDermott, C. J. ve Üçer, E. M. (1997). Fiscal Imbalances, Capital Inflows, and The Real Exchange Rate: The case of Turkey, IMF Working Paper, No. 97/1.
  • Alper, C. E. ve Saglam, İ. (2001). The Transmission of a Sudden Capital Outflow: Evidence from Turkey, Eastern European Economics, C. XXXIX, No. 2, March-April 2001, pp. 29-48.
  • Arbatli, E. (2011). EconomicPolicies and FDI Inflows to Emerging Market Economies, IMF Working Paper, No: WP/11/192.
  • Aysan, Ahmet F., Fendoğlu, S. ve Kılınç, M. (2014). Managing Short-Term Capital Flows in New Central Banking: Unconventional Monetary Policy Framework in Turkey, TCMB Working Paper, No:14/03.
  • Blaszkiewicz-Schwartzman, M. ve Öz, S. (2012). External Vulnerability and Crises: The Role of Capital Flows and Sudden Reversals-The Case of Turkey, Economic Research Forum(ERF) Research Report Series, No. ERF-RR/12-01.
  • Calvo, G. A., (1998). Capital Flows and Capital Market Crises: The Simple Economics of Sudden Stops, Journal of Applied Economics, C.I, No.I, pp. 35-54.
  • Calvo, G. A., L. Leiderman ve C. M.Reinhart. (1996). Inflows of Capital to Developing Countries in the 1990s., Journal of Economic Perspectives, C. X, No. 2, 1996, pp. 123-139.
  • Celasun, O., C. Denizer ve D. He. (1999). Capital Flows, Macroeconomic Management and the Financial System: Turkey, 1989-97, The World Bank, Policy Research Working Papers, No. 2141.
  • Chuhan, P., Claessens, S. ve Mamingi, N. (1993). Equity and Bond Flows to Asia and Latin America, The World Bank, Policy Research Working Papers, No. 1160. Copeland, Laurence S. (2005). Exchange Rates and International Finance, 4. bs., Great Britain, Pearson Education Limited.
  • Çulha, A.A. (2006). A Structural VAR Analysis of the Determinants of Capital Flows Into Turkey, Central Bank Review 2, Ekim 2006, s. 11-35.
  • Dasgupta, D. ve D. Ratha. (2000). What Factors Appear to Drive Private Capital Flows to Developing Countries? And How Does Official Lending Respond?, The World Bank, Policy Research Working Papers, No. 2392.
  • Ehlers, Torsten ve Takáts, Előd (2013). Capital Flow Dynamics and FX Intervention, BIS Papers, No.73, October 2013, pp. 25-38.
  • Ellsberg, D. (1961). Risk, Ambiguity, and the Savage Axioms, The Quarterly Journal of Economics, Vol. 75, No. 4, 1961, pp. 643-669.
  • Felices, Guillermo ve Orskaug, Bjorn (2008). Estimating the Determinants of Capital Flows to Emerging Market Economies: A Maximum Likelihood Disequilibrium Approach, Bank of England Working Papers, No. 354.
  • Fernandez-Arias, E. (1996). The New Wave of PrivateCapital Inflows: Push or Pull?, Journal of Development Economics, Vol. XLVIII.
  • Fernandez-Arias, E. ve P. Montiel. (1996). The Surge in Capital Inflows to Developing Countries: An Analytical Overview. The World Bank Economic Review, Vol. X, No. 1.
  • Frankel, J. A. ve Okongwu, C. (1995). Liberalized Portfolio Capital Inflows In emerging Markets: Sterilization, Expectations, and the Incompleteness of Interest Rate Covergence, NBER Working Paper Series, No. 5156.
  • Fratzscher, Marcel. (2011). Capital Flows, Push versus Pull Factors and the Global Financial Crisis, NBER Working Paper, No. 17357.
  • Hernandez, L., P. Mellado ve R. Valdes. (2001). Determinants of Private Capital Flows in the 1970s and 1990s: Is There Evidence of Contagion?, IMF Working Paper, No. 01/64.
  • Hoggarth, G. ve Sterne G. (1997). Capital Flows: Causes, Consequences and Policy Responses, Handbooks in Central Banking, CCBS, Bank of England, No.14.
  • Korap, L. (2010). Identification of ‘Pull’ & ‘Push’ Factors for the Portfolio Flows: SVAR Evidence From the Turkish Economy, Munich Personal RePEc Archieve Papers-MPRA, No. 24275.
  • Krugman, Paul R. ve Obstfeld, Maurice (2003). International Economics, 6. bs., Boston, Pearson Addison Wesley.
  • Lopez-Mejia, A. (1999). Large Capital Flows: A Survey of the Causes, Consequences, and Policy Responses, IMF Working Paper, No. 99/17.
  • Mishkin, Frederic S. (2006). The Economics of Money, Banking, and Financial Markets, 8.bs., Boston, Addison-Wesley.
  • Mody, A., M. P. Taylor ve J. Y. Kim, (2001). Modeling Fundamentals for Forecasting Capital Flows to Emerging Markets, International Journal of Finance and Economics: 6, pp. 201-216.
  • Schadler, S., Carkovic, M., Bennett, A. ve R. Kahn. (1993). Recent Experiences with Surges in Capital Inflows, IMF Occasional Paper, No. 108.

Uncovered Interest Rate Parity and Determining The Financial Factors Which Pull The Portfolio Investment to Turkey During The 2005-2014

Yıl 2018, Cilt 14, Sayı 29, 247 - 268, 19.07.2019

Öz

Following the financial crisis of 2001, Turkey started to implement floating exchange rate regime and attracted significant amount of portfolio flows until the end of 2014 due to the structural economic reforms. In 2005-2014 period, external factors affecting the portfolio flows were relatively insignificant compared to the domestic factors and this paper aims to investigate the dominant economic variable of local economy on portfolio flows. According to the VAR analysis, the dominant economic variables on domestic economy are country risk premium-CDS and USD/TRY exchange rate respectively. The reasons behind the fact that exchange rate is more dominant than interest rate as an economic variable, can be listed as increasing current account deficits and decreasing saving ratios which stresses the importance of value-added production for Turkey. 

Kaynakça

  • Agénor, P. R., McDermott, C. J. ve Üçer, E. M. (1997). Fiscal Imbalances, Capital Inflows, and The Real Exchange Rate: The case of Turkey, IMF Working Paper, No. 97/1.
  • Alper, C. E. ve Saglam, İ. (2001). The Transmission of a Sudden Capital Outflow: Evidence from Turkey, Eastern European Economics, C. XXXIX, No. 2, March-April 2001, pp. 29-48.
  • Arbatli, E. (2011). EconomicPolicies and FDI Inflows to Emerging Market Economies, IMF Working Paper, No: WP/11/192.
  • Aysan, Ahmet F., Fendoğlu, S. ve Kılınç, M. (2014). Managing Short-Term Capital Flows in New Central Banking: Unconventional Monetary Policy Framework in Turkey, TCMB Working Paper, No:14/03.
  • Blaszkiewicz-Schwartzman, M. ve Öz, S. (2012). External Vulnerability and Crises: The Role of Capital Flows and Sudden Reversals-The Case of Turkey, Economic Research Forum(ERF) Research Report Series, No. ERF-RR/12-01.
  • Calvo, G. A., (1998). Capital Flows and Capital Market Crises: The Simple Economics of Sudden Stops, Journal of Applied Economics, C.I, No.I, pp. 35-54.
  • Calvo, G. A., L. Leiderman ve C. M.Reinhart. (1996). Inflows of Capital to Developing Countries in the 1990s., Journal of Economic Perspectives, C. X, No. 2, 1996, pp. 123-139.
  • Celasun, O., C. Denizer ve D. He. (1999). Capital Flows, Macroeconomic Management and the Financial System: Turkey, 1989-97, The World Bank, Policy Research Working Papers, No. 2141.
  • Chuhan, P., Claessens, S. ve Mamingi, N. (1993). Equity and Bond Flows to Asia and Latin America, The World Bank, Policy Research Working Papers, No. 1160. Copeland, Laurence S. (2005). Exchange Rates and International Finance, 4. bs., Great Britain, Pearson Education Limited.
  • Çulha, A.A. (2006). A Structural VAR Analysis of the Determinants of Capital Flows Into Turkey, Central Bank Review 2, Ekim 2006, s. 11-35.
  • Dasgupta, D. ve D. Ratha. (2000). What Factors Appear to Drive Private Capital Flows to Developing Countries? And How Does Official Lending Respond?, The World Bank, Policy Research Working Papers, No. 2392.
  • Ehlers, Torsten ve Takáts, Előd (2013). Capital Flow Dynamics and FX Intervention, BIS Papers, No.73, October 2013, pp. 25-38.
  • Ellsberg, D. (1961). Risk, Ambiguity, and the Savage Axioms, The Quarterly Journal of Economics, Vol. 75, No. 4, 1961, pp. 643-669.
  • Felices, Guillermo ve Orskaug, Bjorn (2008). Estimating the Determinants of Capital Flows to Emerging Market Economies: A Maximum Likelihood Disequilibrium Approach, Bank of England Working Papers, No. 354.
  • Fernandez-Arias, E. (1996). The New Wave of PrivateCapital Inflows: Push or Pull?, Journal of Development Economics, Vol. XLVIII.
  • Fernandez-Arias, E. ve P. Montiel. (1996). The Surge in Capital Inflows to Developing Countries: An Analytical Overview. The World Bank Economic Review, Vol. X, No. 1.
  • Frankel, J. A. ve Okongwu, C. (1995). Liberalized Portfolio Capital Inflows In emerging Markets: Sterilization, Expectations, and the Incompleteness of Interest Rate Covergence, NBER Working Paper Series, No. 5156.
  • Fratzscher, Marcel. (2011). Capital Flows, Push versus Pull Factors and the Global Financial Crisis, NBER Working Paper, No. 17357.
  • Hernandez, L., P. Mellado ve R. Valdes. (2001). Determinants of Private Capital Flows in the 1970s and 1990s: Is There Evidence of Contagion?, IMF Working Paper, No. 01/64.
  • Hoggarth, G. ve Sterne G. (1997). Capital Flows: Causes, Consequences and Policy Responses, Handbooks in Central Banking, CCBS, Bank of England, No.14.
  • Korap, L. (2010). Identification of ‘Pull’ & ‘Push’ Factors for the Portfolio Flows: SVAR Evidence From the Turkish Economy, Munich Personal RePEc Archieve Papers-MPRA, No. 24275.
  • Krugman, Paul R. ve Obstfeld, Maurice (2003). International Economics, 6. bs., Boston, Pearson Addison Wesley.
  • Lopez-Mejia, A. (1999). Large Capital Flows: A Survey of the Causes, Consequences, and Policy Responses, IMF Working Paper, No. 99/17.
  • Mishkin, Frederic S. (2006). The Economics of Money, Banking, and Financial Markets, 8.bs., Boston, Addison-Wesley.
  • Mody, A., M. P. Taylor ve J. Y. Kim, (2001). Modeling Fundamentals for Forecasting Capital Flows to Emerging Markets, International Journal of Finance and Economics: 6, pp. 201-216.
  • Schadler, S., Carkovic, M., Bennett, A. ve R. Kahn. (1993). Recent Experiences with Surges in Capital Inflows, IMF Occasional Paper, No. 108.

Ayrıntılar

Birincil Dil Türkçe
Bölüm Makaleler
Yazarlar

Hasan Hüseyin YILDIRIM> (Sorumlu Yazar)
BALIKESİR ÜNİVERSİTESİ
0000-0002-5840-8418
Türkiye


Bahadır İLDOKUZ>
Türkiye Emlak Katılım Bankası
Türkiye

Yayımlanma Tarihi 19 Temmuz 2019
Başvuru Tarihi 26 Şubat 2019
Kabul Tarihi 5 Mart 2019
Yayınlandığı Sayı Yıl 2018, Cilt 14, Sayı 29

Kaynak Göster

APA Yıldırım, H. H. & İldokuz, B. (2019). Korumasız Faiz Parite Kuramı ve 2005-2014 Dönemi Portföy Yatırımlarını Türkiye’ye Çeken Finansal Faktörlerin Tespiti . Ekoist: Journal of Econometrics and Statistics , 14 (29) , 247-268 . Retrieved from https://dergipark.org.tr/tr/pub/ekoist/issue/47194/594222