Yükselen Piyasa Ekonomilerinde Uluslararası Rezerv Birikimi: Küresel Faktörlerin Rolü

Öz

Bu çalışma, küresel likidite ve riskin yükselen piyasa ekonomilerinin rezerv birikiminde önemli bir etken olup olmadığını International Monetary Fund (IMF) tarafından yükselen piyasa ekonomisi olarak nitelendirilen 46 ülke ve 2000-2019 dönemi için incelemektedir. Panel veri teknikleri ve Lane & Milesi-Ferretti’ye (2022) ait External Wealth of Nations II veri tabanına ve küresel faktörler için çeşitli veri kaynaklarına dayanan geniş bir veriseti kullanılarak yapılan bu çalışma, ilk olarak küresel likidite ve uluslararası rezervler arasında pozitif yönlü bir ilişki olduğunu göstermektedir. İkinci olarak finansal faktörlerin artan etkisini dikkate alarak sermaye girişleri, sermaye kontrolleri ve küresel faktörlerin ortak etkilerini test etmekte ve ülkelerin (i) küresel likiditenin bol olduğu dönemlerde dış yükümlülükler arttıkça ve (ii) yüksek güven kaybının olduğu dönemlerde sermaye kontrol politikası sıkılaştıkça daha fazla rezerv biriktirme eğiliminde olduklarına dair kanıtlar sunmaktadır. Son olarak bu çalışma, hangi tür sermaye girişinin uluslararası rezervler üzerinde daha etkili olduğunu ve rezerv birikiminin belirleyenlerinin örneklem dönemi içinde değişip değişmediğini sorgulamaktadır. Sonuçlar, ülkelerin doğrudan yabancı yatırım girişlerine (DYY) diğer sermaye giriş türlerinden daha fazla tepki verdiğini ve küresel likidite ve riskin etkilerinin 2008-2019 döneminde daha belirgin olduğunu ortaya koymaktadır.

Anahtar Kelimeler

• Uluslararası rezervler
• küresel likidite
• küresel risk
• yükselen piyasa ekonomileri

International Reserve Accumulation in Emerging Market Economies: The Role of Global Factors

Öz

This study examines whether global liquidity and risk matter for the international reserve accumulation in 46 countries characterized as Emerging Market Economies (EMEs) by the International Monetary Fund (IMF) from 2000 to 2019. By using panel data techniques and a broad dataset based on Lane and Milesi-Ferretti's (2022) External Wealth of Nations II database and various data sources for global factors, this paper first shows that global liquidity is positively associated with international reserve holdings. Second, in consideration of greater reliance on financial factors, it tests the joint effects of capital inflows, capital controls, and global factors and provides evidence that countries tend to accumulate larger international reserves as (i) external liabilities grow in periods of abundant global liquidity and (ii) capital control policy tightens in periods of high confidence loss. Finally, this work questions which type of capital inflow has a greater impact on international reserve holdings and whether the drivers of reserve accumulation evolved over the sample period. The results suggest that countries respond to FDI inflows more than other inflows, and the impacts of global liquidity and risk become more apparent between 2008 and 2019.

Anahtar Kelimeler

• international reserves
• global liquidity
• global risk
• emerging market economies

Kaynakça

1. Aizenman, J. & Marion, N. (2003). The high demand for international reserves in the Far East: What is going on?. Journal of the Japanese and International Economies, 17(3), 370-400.
2. Aizenman, J. & Lee, J. (2007). International reserves: precautionary versus mercantilist views, theory and evidence. Open Economies Review, 18, 191-214.
3. Aizenman, J., Lee, Y. & Rhee, Y. (2007). International reserves management and capital mobility in a volatile world: Policy considerations and a case study of Korea. Journal of the Japanese and International Economies, 21(1), 1-15.
4. Aizenman, J. & Sun, Y. (2012). The financial crisis and sizable international reserves depletion: From ‘fear of floating’ to the ‘fear of losing international reserves’?. International Review of Economics & Finance, 24, 250-269.
5. Aizenman, J. Cheung, Y. W. & Ito, H. (2015). International reserves before and after the global crisis: Is there no end to hoarding?. Journal of International Money and Finance, 52, 102-126.
6. Arslan, Y. & Cantú, C. (2019). The size of foreign exchange reserves. BIS paper, (104a).
7. Avdjiev, S. Hardy, B., Kalemli-Özcan, Ş. & Servén, L. (2022). Gross capital flows by banks, corporates, and sovereigns. Journal of the European Economic Association, 20(5), 2098-2135.
8. Blanchard, O. J., Adler, G. & de Carvalho Filho, I. (2015). Can foreign exchange intervention stem exchange rate pressures from global capital flow shocks?.

9. Broner, F., Didier, T., Erce, A. & Schmukler, S. L. (2013). Gross capital flows: Dynamics and crises. Journal of Monetary Economics, 60(1), 113-133.
10. Bussière, M., Cheng, G., Chinn, M. D. & Lisack, N. (2015). For a few dollars more: Reserves and growth in times of crises. Journal of International Money and Finance, 52, 127-145.
11. Cabezas, L. & De Gregorio, J. (2019). Accumulation of reserves in emerging and developing countries: mercantilism versus insurance. Review of World Economics, 155, 819-857.
12. Cheung, Y. W. & Ito, H. (2009). A cross-country empirical analysis of international reserves. International Economic Journal, 23(4), 447-481.
13. Dominguez, K. M. (2010, January). International reserves and underdeveloped capital markets. NBER International Seminar on Macroeconomics (Vol. 6, No. 1, pp. 193-221). Chicago, IL: The University of Chicago Press.
14. Dooley, M. P., Folkerts‐Landau, D. & Garber, P. (2004). The revived Bretton Woods system. International Journal of Finance & Economics, 9(4), 307-313.
15. Driscoll, J. C. & Kraay, A. C. (1998). Consistent covariance matrix estimation with spatially dependent panel data. Review of Economics and Statistics, 80(4), 549-560.
16. Duttagupta, R. & Pazarbasioglu, C. (2021). Miles to go. Finance & Development, International Monetary Fund.
17. Federal Reserve Bank of Atlanta (2024). Wu-Xia Shadow Federal Funds Rate. Center for Quantitative Economic Research.
18. Fernández, A., Klein, M., Rebucci, A. & Schindler, M. & Uribe, M. (2016). Capital control measures: A new dataset. IMF Economic Review, 64, 548-574.
19. Forbes, K. J. & Warnock, F. E. (2012). Capital flow waves: Surges, stops, flight, and retrenchment. Journal of International Economics, 88(2), 235-251.
20. Frenkel, J. A. & Jovanovic, B. (1981). Optimal international reserves: a stochastic framework. The Economic Journal, 91(362), 507-514.
21. Ghosh, A. R., Ostry, J. D. & Qureshi, M. S. (2016). When do capital inflow surges end in tears?. American Economic Review, 106(5), 581-585.
22. Goldberg, L. S. (2023). Global liquidity: Drivers, volatility and toolkits (No. w31355). National Bureau of Economic Research.
23. Han, B., Kim, D. & Yun, Y. (2023). International reserve accumulation: Balancing private inflows with public outflows. Bank of Korea WP, 6.
24. Heller, H. R. (1966). Optimal international reserves. The Economic Journal, 76(302), 296-311.
25. Ingves, S. (2014, May). Global liquidity regulation, supervision and risk management. Keynote address to the DNB seminar “Liquidity risk management–the LCR and beyond”, Amsterdam (Vol. 15).
26. International Monetary Fund (2013). Assessing reserve adequacy – further considerations. IMF Policy Papers, November.
27. International Monetary Fund (2015). Assessing reserve adequacy-specific proposals. IMF Policy Papers, April.
28. International Monetary Fund (2024a). World Economic Outlook, 2024, April.
29. International Monetary Fund (2024b). The International Liquidity Statistics of International Financial Statistics (IFS) database.
30. Jeanne, O. (2007). International reserves in emerging market countries: too much of a good thing?. Brookings Papers on Economic Activity, 2007(1), 1-79.
31. Jeanne, O. (2016). The macroprudential role of international reserves. American Economic Review, 106(5), 570-573.
32. Jeanne, O. & Rancière, R. (2011). The optimal level of international reserves for emerging market countries: A new formula and some applications. The Economic Journal, 121(555), 905-930.
33. Jeanne, O. & Sandri, D. (2023). Global financial cycle and liquidity management. Journal of International Economics, 146, 103736.
34. Jurado, K., Ludvigson, S. C. & Ng, S. (2015). Measuring uncertainty. American Economic Review, 105(3), 1177-1216.
35. Kilci, E. N. (2019). Reserve adequacy in Turkey: a study on comparison of the reserves with imports and short-term external debt. Academic Review of Economics and Administrative Sciences, 12(4), 578-588.
36. Kilci, E. N. (2021). Gelişmekte olan ülkelerde optimal rezerv düzeyini değerlendirmeye yönelik yeni göstergeler: Türkiye üzerine ampirik bir analiz. Sosyoekonomi, 29(47), 407-429.
37. Koepke, R. (2019). What drives capital flows to emerging markets? A survey of the empirical literature. Journal of Economic Surveys, 33(2), 516-540.
38. Lane P. R. & Milesi-Ferretti G. M. (2022). The external wealth of nations database. https://www. brookings. edu/articles/the-external-wealthof-nations-database
39. Matsumoto, H. (2022). Foreign reserve accumulation, foreign direct investment, and economic growth. Review of Economic Dynamics, 43, 241-262.
40. Milesi-Ferretti, G. M. & Tille, C. (2011). The great retrenchment: international capital flows during the global financial crisis. Economic Policy, 26(66), 289-346.
41. Miranda-Agrippino, S. & Rey, H. (2015). World asset markets and the global financial cycle (Vol. 21722, pp. 1-68). Cambridge, MA: National Bureau of Economic Research.
42. Nebiye, S. & Yamak, N. (2014). Demand for international reserves in Turkey. Romanian Economic Journal, 17(52), 63-76.
43. Neumann, R. M., Penl, R. & Tanku, A. (2009). Volatility of capital flows and financial liberalization: Do specific flows respond differently?. International Review of Economics & Finance, 18(3), 488-501.
44. Obstfeld, M., Shambaugh, J. C. & Taylor, A. M. (2010). Financial stability, the trilemma, and international reserves. American Economic Journal: Macroeconomics, 2(2), 57-94.
45. Office of Financial Research. “OFR Financial Stress Index.” OFR, updated daily. https://www.financialresearch.gov/financial-stress-index/
46. Ozyildirim, S. & Yaman, B. (2005). Optimal versus adequate level of international reserves: evidence for Turkey. Applied Economics, 37(13), 1557-1569.
47. Patel, N. & Cavallino, P. (2019). FX intervention: goals, strategies, and tactics. BIS Paper, (104b).
48. Ra, H. R. (2007). Demand for international reserves: A case study for Korea. The Journal of the Korean Economy, 8(1), 147-175.
49. Rey, H. (2015). Dilemma not trilemma: the global financial cycle and monetary policy independence (No. w21162). National Bureau of Economic Research.
50. Sehgal, S. & Sharma, C. (2008). A study of adequacy, cost and determinants of international reserves in India. International Research Journal of Finance and Economics, 20(2), 75-90.
51. Schröder, M. (2017). Mercantilism and China's hunger for international reserves. China Economic Review, 42, 15-33.
52. Wang, M. (2019, November). Foreign direct investment and foreign reserve accumulation. Economic Fluctuations Colloquium and Monetary Colloquium (Vol. 8, pp. 1-61).
53. Wang, L. & Hueng, C. J. (2019). Domestic financial instability and foreign reserves accumulation in China. International Finance, 22(2), 124-137.
54. World Bank (2024). World Development Indicators (WDI) dataset.
55. Wu, J. C. & Xia, F. D. (2016). Measuring the macroeconomic impact of monetary policy at the zero lower bound. Journal of Money, Credit and Banking, 48(2-3), 253-291.
56. Wu, J. C. & Zhang, J. (2019). A shadow rate New Keynesian model. Journal of Economic Dynamics and Control, 107, 103728.
57. Zheng, Y. & Yi, J. (2007). China's rapid accumulation of foreign exchange reserves and its policy implications. China & World Economy, 15(1), 14-25.