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

Hasan Hüseyin Yıldırım Bahadır İldokuz

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. 

Anahtar Kelimeler

Korumasız Faiz Parite Kuramı, Portföy Yatırımları, Faiz Oranı, Döviz Kuru, Ülke Risk Primi-CDS

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

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. 

Anahtar Kelimeler

covered Interest Rate Parity, Portfolio Investment, Interest Rate, Exchange Rate, Country Risk Premium-CDS

Kaynakça

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