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The Role of Capital Flows in the International Transmission of US Monetary Policy: The Case of Turkey

Yıl 2025, Cilt: 10 Sayı: 2, 502 - 528, 30.06.2025

Nuri Çağrı Akar , Cemil Varlık

https://doi.org/10.30784/epfad.1579707

Öz

This article aims to examine the impacts of US monetary policy (MP) changes on the Turkish economy. A Structural Vector Autoregressive (SVAR) model is estimated for the period 2002:01–2017:12, during which a flexible exchange rate regime was adopted in the Turkish economy. According to the impulse-response analysis, the Turkish interest rate responds positively and significantly to the US Effective Federal Funds Rate (EFFR). This result shows that the Central Bank of the Republic of Turkey’s (CBRT) MP follows the FED's MP, consistent with the dilemma hypothesis of Rey (2015). The analysis also demonstrates that both the EFFR and the VIX have a negative impact on net total capital inflows to the Turkish economy. The impulse-responses for the three components of net capital inflows indicate important conclusions. Firstly, neither EFFR nor VIX has a significant impact on Net Foreign Direct Investment (NFDI) inflows. Secondly, Net Portfolio Investments (NPI) respond significantly to the VIX but not to the EFFR. Thirdly, Net Other Investments (NOI) respond significantly to the EFFR but not to the VIX. These findings indicate that the NOI component plays a direct and major role in the emergence of the US MP’s spillover effects on the Turkish MP.

Anahtar Kelimeler

US Monetary Policy Spillovers Capital Flows Global Risk International Risk-taking

Kaynakça

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ABD Para Politikasının Uluslararası Aktarımında Sermaye Akımlarının Rolü: Türkiye Örneği

Yıl 2025, Cilt: 10 Sayı: 2, 502 - 528, 30.06.2025

Nuri Çağrı Akar , Cemil Varlık

https://doi.org/10.30784/epfad.1579707

Öz

Bu makale, ABD para politikasındaki değişikliklerin Türkiye ekonomisi üzerindeki etkilerini incelemeyi amaçlamaktadır. Türkiye ekonomisinde esnek döviz kuru rejiminin benimsendiği 2002:01–2017:12 dönemi için bir Yapısal Vektör Otoregresif (SVAR) model tahmin edilmektedir. Etki-tepki analizine göre, Türkiye faiz oranı, ABD Efektif Federal Fon Oranı'na (EFFR) pozitif ve anlamlı şekilde tepki vermektedir. Bu sonuç, Rey’in (2015) ikili açmaz hipoteziyle tutarlı biçimde, Türkiye Cumhuriyet Merkez Bankası'nın (TCMB) para politikasının FED'in para politikasını takip ettiğini göstermektedir. Analiz aynı zamanda hem EFFR'nin hem de VIX'in Türkiye ekonomisine yönelik net toplam sermaye girişleri üzerinde negatif etkiye sahip olduğunu kanıtlamaktadır. Net sermaye girişlerinin üç bileşeni için elde edilen etki-tepkiler, önemli sonuçlara işaret etmektedir. İlk olarak ne EFFR’nin ne de VIX'in Net Yabancı Doğrudan Yatırım (NFDI) girişleri üzerinde anlamlı bir etkisi bulunmamaktadır. İkinci olarak, Net Portföy Yatırımlarının (NPI) VIX'e tepkisi anlamlı iken, EFFR'ye tepkisi anlamlı değildir. Üçüncüsü, Net Diğer Yatırımların (NOI) EFFR'ye tepkisi anlamlı iken, VIX'e tepkisi anlamlı değildir. Bu bulgular, ABD para politikasının Türkiye para politikası üzerindeki yayılma etkilerinin ortaya çıkmasında, NOI bileşeninin doğrudan ve önemli bir rol oynadığını göstermektedir.

Anahtar Kelimeler

ABD Para Politikası Yayılmaları Sermaye Akımları Küresel Risk Uluslararası Risk-alma

Kaynakça

  • Ahmed, S. and Zlate, A. (2014). Capital flows to emerging market economies: A brave new world? Journal of International Money and Finance, 48, 221-248. https://doi.org/10.1016/j.jimonfin.2014.05.015
  • Aizenman, J., Chinn, M.D. and Ito, H. (2016). Monetary policy spillovers and the trilemma in the new normal: Periphery country sensitivity to core country conditions. Journal of International Money and Finance, 68, 298-330. https://doi.org/10.1016/j.jimonfin.2016.02.008
  • Akinci, O. and Queralto, A. (2018). Balance sheets, exchange rates, and international monetary spillovers (FED Staff Report No. 849). Retrieved from https://www.inet.econ.cam.ac.uk/events-files/2019/NEERA-march19/Akinci_Slides_March2019.pdf
  • Ananchotikul, N. and Zhang, L. (2014). Portfolio flows, global risk aversion and asset prices in emerging markets (IMF Working Paper No. 14/156). Retrieved from https://www.elibrary.imf.org/downloadpdf/journals/001/2014/156/article-A000-en.pdf
  • Anaya, P., Hachula, M. and Offermanns, C.J. (2017). Spillovers of US unconventional monetary policy to emerging markets: The role of capital flows. Journal of International Money and Finance, 73, 275-295. https://doi.org/10.1016/j.jimonfin.2017.02.008
  • Avdjiev, S., Hardy, B., Kalemli-Ozcan, Ş. and Servén, L. (2018). Gross capital flows by banks, corporates and sovereigns (NBER Working Paper Series No. 23116). Retrieved from https://doi.org/10.1093/jeea/jvac038
  • Baek, I.-M. (2006). Portfolio investment flows to Asia and Latin America: pull, push or market sentiment? Journal of Asian Economics, 17(2), 363–373. https://doi.org/10.1016/j.asieco.2006.02.007
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  • Di Giovanni, J., Kalemli-Ozcan, Ş., Ulu, M.F. and Baskaya, Y.S. (2022). International spillovers and local credit cycles. The Review of Economic Studies, 89(2), 733–773. https://doi.org/10.1093/restud/rdab044
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  • Epstein, B., Shapiro, A. F. and Gómez, A. G. (2019). Global financial risk, aggregate fluctuations, and unemployment dynamics. Journal of International Economics, 118, 351-418. https://doi.org/10.1016/j.jimonfin.2020.102221
  • Eterovic, D., Cassandra Sweet, C. and Eterovic, N. (2022). Asymmetric spillovers in emerging market monetary policy. International Review of Economics and Finance, 82, 650–662. https://doi.org/10.1016/j.iref.2022.08.005
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  • Fratzscher, M. (2012). Capital flows, push versus pull factors and the global financial crisis. Journal of International Economics, 88, 341–356. https://doi.org/10.1016/j.jinteco.2012.05.003
  • Fratzscher, M., Lo Duca, M. and Straub, R. (2016). ECB unconventional monetary policy: Market impact and international spillovers. IMF Economic Review, 64, 36-74. https://doi.org/10.1057/imfer.2016.5
  • Fratzscher, M., Lo Duca, M. and Straub, R. (2018). On the international spillovers of US quantitative easing. The Economic Journal, 128(608), 330-377. https://doi.org/10.1111/ecoj.12435
  • Gajewski, K., Jara, A., Kang, Y., Mok, J., Moreno, D. and Serwa, D. (2019). International spillovers of monetary policy: Lessons from Chile, Korea, and Poland. Journal of International Money and Finance, 90, 175–186. https://doi.org/10.1016/j.jimonfin.2018.08.009
  • Ganelli, G. and Tawk, N. (2019). Spillovers from Japan's unconventional monetary policy: A global VAR approach. Economic Modelling, 77, 147–163. https://doi.org/10.1016/j.econmod.2017.10.020
  • Georgiadis, G. and Jarociński, M. (2023). Global spillovers from multi-dimensional US monetary policy (ECB Working Paper No. 2881). Retrieved from http://dx.doi.org/10.2139/ssrn.4655582
  • Georgiadis, G. and Mehl, A. (2015). Trilemma, not dilemma: Financial globalisation and monetary policy effectiveness (Globalization and Monetary Policy Institute Working Paper No. 222). http://dx.doi.org/10.24149/gwp222
  • Georgiadis, G. and Zhu, F. (2021). Foreign-currency exposures and the financial channel of exchange rates: Eroding monetary policy autonomy in small open economies? Journal of International Money and Finance, 110, 102265. https://doi.org/10.1016/j.jimonfin.2020.102265
  • Ghosh, A.R., Qureshi, M.S., Kim, J.I. and Zalduendo, J. (2014). Surges. Journal of International Economics, 92(2), 266–285. https://doi.org/10.1016/j.jinteco.2013.12.007
  • Ghosh, M.A.R., Qureshi, M. and Sugawara, N. (2014). Regulating capital flows at both ends: Does it work? Retrieved from https://abfer.org/media/abfer-events-2017/specialty-conference/1-4sc201701-008-regulating_capital_flows_at_both_ends_does_it_work-9jan2017.pdf
  • Gilchrist, S., Wei, B., Yue, V.Z. and Zakrajšek, E. (2022). Sovereign risk and financial risk. Journal of International Economics, 136, 103603. https://doi.org/10.1016/j.jinteco.2022.103603
  • Gilchrist, S., Yue, V.Z. and Zakrajsek, E. (2019). US monetary policy and international bond markets (NBER Working Paper No. 26012). https://doi.org/10.1111/jmcb.12667
  • Goldberg, L. (2013). Banking globalization, transmission, and monetary policy autonomy. Sveriges Riksbank Economic Review, 3, 161–93. http://dx.doi.org/10.2139/ssrn.2335460
  • Gourinchas, P.O. and Obstfeld, M. (2012). Stories of the twentieth century for the twenty-first. American Economic Journal: Macroeconomics, 4(1), 226–265. https://doi.org/10.1257/mac.4.1.226
  • Gülşen, E. and Özmen, E. (2020). Monetary policy trilemma, inflation targeting and global financial crisis. International Journal of Finance and Economics, 25(2), 286-296. https://doi.org/10.1002/ijfe.1752
  • Habib, M.M. and Venditti, F. (2019). The global capital flows cycle: Structural drivers and transmission channels (ECB Working Paper Series No. 2280). http://dx.doi.org/10.2139/ssrn.3389245
  • Han, X. and Wei, S. J. (2018). International transmissions of monetary shocks: Between a trilemma and a dilemma. Journal of International Economics, 110, 205-219. https://doi.org/10.1016/j.jinteco.2017.11.005
  • Herrmann, S. and Mihaljek, D. (2013). The determinants of cross-border bank flows to emerging markets. Economics of Transition, 21(3), 479–508. https://doi.org/10.1111/ecot.12019
  • Herwartz, H. and Roestel, J. (2017). Mundell’s trilemma: Policy trade-offs within the middle ground. Journal of International Money and Finance, 75, 1-13. https://doi.org/10.1016/j.jimonfin.2017.04.002
  • Hofmann, B., Shim, I. and Shin, H.S. (2020). Bond risk premia and the exchange rate. Journal of Money, Credit and Banking, 52(S2), 497-520. https://doi.org/10.1111/jmcb.12760
  • Hofmann, B. and Takáts, E. (2015). International monetary spillovers (BIS Quarterly Review). Retrieved from https://www.bis.org/publ/qtrpdf/r_qt1509i.htm
  • Jeanneau, S. and Micu, M. (2002). Determinants of international bank lending to emerging market countries (BIS Working Paper No. 112). http://dx.doi.org/10.2139/ssrn.846316
  • Jordà, Ò., Schularick, M., Taylor, A.M. and Ward, F. (2018). Global financial cycles and risk premiums (NBER Working Paper Series No. w24677). https://doi.org/10.3386/w24677
  • Kalemli-Özcan, Ş. (2019). U.S. monetary policy and international risk spillovers (NBER Working Paper Series No. 26297). https://doi.org/10.3386/w26297
  • Klein, M.W. and Shambaugh, J.C. (2015). Rounding the corners of the policy trilemma: Sources of monetary policy autonomy. American Economic Journal: Macroeconomics, 7(4), 33-66. https://doi.org/10.1257/mac.20130237
  • Koepke, R. (2018). Fed policy expectations and portfolio flows to emerging markets. Journal of International Financial Markets, Institutions and Money, 55, 170-194. https://doi.org/10.1016/j.intfin.2018.03.003
  • Koepke, R. (2019). What drives capital flows to emerging markets? A survey of the empirical literature. Journal of Economic Surveys, 33(2), 516–540. https://doi.org/10.1111/joes.12273
  • Koop, G., Pesaran, M.H. and Potter, S.M. (1996). Impulse response analysis in nonlinear multivariate models. Journal of Econometrics, 74(1), 119-147. https://doi.org/10.1016/0304-4076(95)01753-4
  • Lee, S. and Bowdler, C. (2022). International spillovers from US monetary policy: Evidence from Asian bank-level data. Journal of International Money and Finance, 127, 102677. https://doi.org/10.1016/j.jimonfin.2022.102677
  • Ligonniere, S. (2018). Trilemma, dilemma and global players. Journal of International Money and Finance, 85, 20-39. https://doi.org/10.1016/j.jimonfin.2018.03.001
  • Lütkepohl, H. (2005). New introduction to multiple time series analysis. Berlin: Springer.
  • Milesi-Ferretti, G.-M. and Tille, C. (2011). The great retrenchment: International capital flows during the global financial crisis. Economic Policy, 26(66), 289–346. https://doi.org/10.1111/j.1468-0327.2011.00263.x
  • Miranda-Agrippino, S. and Rey, H. (2020). US monetary policy and the global financial cycle. Review of Economic Studies, 87(6), 2754–2776. https://doi.org/10.1093/restud/rdaa019
  • Montiel, P. and Reinhart, C.M. (1999). Do capital controls and macroeconomic policies influence the volume and composition of capital flows? Evidence from the 1990s. Journal of International Money and Finance, 18(4), 619–635. https://doi.org/10.1016/S0261-5606(99)00021-2
  • Morais, B., Peydró, J.L., Roldán-Peña, J. and Ruiz-Ortega, C. (2019). The international bank lending channel of monetary policy rates and QE: Credit supply, reach-for-yield, and real effects. The Journal of Finance, 74(1), 55-90. https://doi.org/10.1111/jofi.12735
  • Obstfeld, M. (2015). Trilemmas and trade-offs: living with financial globalisation (BIS Working Papers No. 480). Retrieved from https://www.bis.org/publ/work480.pdf https://doi.org/10.1142/9789811238628_0002
  • Obstfeld, M., Ostry, J.D. and Qureshi, M.S. (2019). A tie that binds: Revisiting the trilemma in emerging market economies. Review of Economics and Statistics, 101(2), 279-293. https://doi.org/10.1162/rest_a_00740
  • Obstfeld, M. and Rogoff, K. (1996). Foundations of international macroeconomics. Massachusetts: The MIT Press.
  • Obstfeld, M., Shambaugh, J.C. and Taylor, A.M. (2005). The trilemma in history: Tradeoffs among exchange rates, monetary policies, and capital mobility. Review of Economics and Statistics, 87(3), 423-438. https://doi.org/10.1162/0034653054638300
  • Obstfeld, M. and Taylor, A. M. (1998). The great depression as a watershed: International capital mobility over the long run (NBER Working Paper Series No. 5960). Retrieved from https://www.nber.org/papers/w5960
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  • Rey, H. (2015). Dilemma not trilemma: The global financial cycle and monetary policy independence (NBER Working Paper No. 21162). Retrieved from https://doi.org/10.3386/w21162
  • Rey, H. (2016). International channels of transmission of monetary policy and the Mundellian trilemma. IMF Economic Review, 64(1), 6-35. https://doi.org/10.1057/imfer.2016.4
  • Scheubel, B., Stracca, L. and Tille, C. (2019). The global financial cycle and capital flow episodes: A wobbly link? (ECB Working Paper Series No. 2337). http://dx.doi.org/10.2139/ssrn.3498205
  • Schmidt, J., Caccavaio, M., Carpinelli, L. and Marinelli, G. (2018). International spillovers of monetary policy: Evidence from France and Italy. Journal of International Money and Finance, 89, 50-66. https://doi.org/10.1016/j.jimonfin.2018.08.011
  • Takats, E. (2010). Was it credit supply? Cross-border bank lending to emerging market economies during the financial crisis. BIS Quarterly Review, 2, 49–56. Retrieved from https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1632304
  • Taylor, M.P. and Sarno, L. (1997). Capital flows to developing countries: long-and short-term determinants. The World Bank Economic Review, 11(3), 451-470. https://doi.org/10.1093/wber/11.3.451
  • Tian, S., Wang, D. and Wang, L. (2022). Spillover impact of the U.S. monetary policy shock on China's economy: Capital flow channel. Economic Research- Ekonomska Istraživanja, 36(2), 2108099. https://doi.org/10.1080/1331677X.2022.2108099
  • Tumala, M.M., Salisu, A.A., Atoi, N.V. and Yaaba, B.N. (2021). International monetary policy spillovers to emerging economies in Sub-Saharan Africa: A Global VAR analysis. Scientific African, 14, e00976. https://doi.org/10.1016/j.sciaf.2021.e00976
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  • Yildirim, Z. (2022). Global financial risk, the risk-taking channel, and monetary policy in emerging markets. Economic Modelling, 116, 106042. https://doi.org/10.1016/j.econmod.2022.106042
Toplam 93 adet kaynakça vardır.

Ayrıntılar

Birincil Dil İngilizce
Konular Para Politikası, Uluslararası Finans
Bölüm Makaleler
Yazarlar

Nuri Çağrı Akar 0000-0001-5648-8787

Cemil Varlık 0000-0001-9977-2876

Yayımlanma Tarihi 30 Haziran 2025
Gönderilme Tarihi 5 Kasım 2024
Kabul Tarihi 15 Nisan 2025
Yayımlandığı Sayı Yıl 2025 Cilt: 10 Sayı: 2

Kaynak Göster

APA Akar, N. Ç., & Varlık, C. (2025). The Role of Capital Flows in the International Transmission of US Monetary Policy: The Case of Turkey. Ekonomi Politika ve Finans Araştırmaları Dergisi, 10(2), 502-528. https://doi.org/10.30784/epfad.1579707
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