ANALYSIS OF INTERNATIONAL PORTFOLIO FLOWS BY GRAVITY MODEL: THE CASE OF TURKEY

Öz

In recent years, with the increase in portfolio flows on a global scale, Turkey has become one of the countries attracting international portfolio flows. In this context, the study aimed to investigate the international portfolio flows in Turkey and the factors affecting these flows. For this, portfolio flows between Turkey and selected thirty-two countries between 2001 and 2014 were analyzed by panel data method using gravity model. According to the estimation results, the gross domestic product of selected thirty-two countries, the ratio of market capitalization to gross domestic product and secure internet providers positively affect bilateral portfolio flows. However, the same variables for Turkey were not found statistically significant. The effect of the distance factor was negative in accordance with the literature. Moreover, the presence of bank branches in Turkey in these countries positively influenced portfolio flows between Turkey and the selected thirty-two countries, but no evidence of the impact of the 2007-2008 global financial crisis was reached.

Anahtar Kelimeler

• International portfolio flows,Turkey,gravity model,panel data analysis

ULUSLARARASI PORTFÖY AKIMLARININ ÇEKİM MODELİ İLE ANALİZİ: TÜRKİYE ÖRNEĞİ

Öz

Son dönemlerde küresel ölçekte portföy akımlarının artmasıyla Türkiye de uluslararası portföy akımlarını çeken ülkeler arasına girmiştir. Bu bağlamda çalışma, Türkiye’deki uluslararası portföy akımları ile bu akımları etkileyen faktörlerin araştırılmasını hedeflemiştir.  Bunun için 2001-2014 yılları arasında Türkiye ile seçilmiş otuz iki ülke arasındaki portföy akımları, çekim modeli kullanılarak panel veri yöntemi ile analiz edilmiştir. Tahmin sonuçlarına göre, seçilmiş otuz iki ülkenin gayrisafi yurtiçi hâsılaları, piyasa kapitalizasyonlarının gayrisafi yurt içi hasılaya oranları ve güvenli internet sunucuları, iki taraflı portföy akımlarını olumlu etkilemektedir. Buna karşın Türkiye’ye ait aynı değişkenler istatistiksel olarak anlamlı bulunamamıştır. Uzaklık faktörünün etkisi, literatüre uygun olarak olumsuz saptanmıştır. Ayrıca, bu ülkelerin Türkiye’de banka şubelerinin bulunması, Türkiye ile seçilmiş otuz iki ülke arasındaki portföy akımlarını pozitif etkilerken, 2007-2008 küresel finans krizinin etkisine dair bir kanıta ulaşılamamıştır.

Anahtar Kelimeler

• Uluslararası portföy akımları,Türkiye,çekim modeli,panel veri analizi

Kaynakça

1. Aggarwall, R., C. Kearney, B. Lucey (2012), “Gravity, Culture in Foreign Portfolio Investment”, Journal of Banking & Finance, 36, 525-538.
2. Aksaraylı, M., Ö. Tuncay (2009), “Kısa Vadeli Sermaye Girişi Modellemesi: Türkiye Örneği”, Dokuz Eylül Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 24(1), 105-122.
3. Anderson, J. (1979), “A Theoretical Foundation for the Gravity Equation”, American Economic Review, 69, 106-116. Arrow, K.J., F.H. Hahn (1971), General Competitive Analysis, San Francisco: Holden Day.
4. Aviat, A., Coerdacier, N. (2007), “The Geography of Trade in Goods and Asset Holding”, Journal of International Economics, 71(1), 22-51.
5. Bergstrand, J.H. (1985), “The Gravity Equation in International Trade: Some Microeconomic Foundations and Empirical Evidence”, Review of Economics and Statistics, 67(3), 474-481.
6. Berkel, B. (2006), “The EMU and German Cross Border Portfolio Flows”, Mannheim Research Institute for the Economics of Aging Working Papers, , Mannheim: MADOC publication.
7. Chitu, L., B. Eichengreen, A., Mehl (2012), “History, Gravity, İnternational Finance”, European Central Bank Working Papers Series, 1466, 37p, https://www.ecb.europa.eu/pub/pdf/ scpwps/ecbwp1466.pdf?2bf8e2c7c123abfec03185ee8d7844cc, (E.T.: 02. 03.2016).
8. Choi,C., D.E. Rhee, Y. Oh (2014), “Information and Capital Flows Revisited: The Internet as a Determinant of Transaction in Financial Assets”, Economic Modelling, 40, 191-198.

9. Deardorf, A.V. (1995), “Determinants of Bilateral Trade: Does Gravity Work in a Neoclassical World?”, NBER Working Papers, No: 5377, Cambridge: University of Chicago Press.
10. Devereux, M.B., G.W. Smith (1994), "International Risk Sharing and Economic Growth", International Economic Review, 35(4), 535-550.
11. Doğru, B. (2012), “ABD ve AB Bölgesindeki Bir Finansal Krizin Türkiye’ye Etkileri”, Dumlupınar Üniversitesi Sosyal Bilimler Dergisi, 33, 112-123.
12. Eichengreen, B. (2000), “Taming Capital Flows”, World Development, 28(6), 1105-1116.
13. Flavin, T.J., M.J. Hurley, F. Rousseau (2002), “Explaning Stock Market Correlation: A Gravity Model Approach”, The Manchester School Supplement, 70, 87-106.
14. Galstyan, V., P.R. Lane (2013), “Bilateral Portfolio Dynamics During the Global Financial Crisis”, European Economic Review, 57, 63-74.
15. Güneş, S. (2007), “Uluslararası Sermaye Hareketlerini Etkileyen Faktörler: Türkiye Örneği”, Sosyoekonomi, 5(5), 11-32.
16. Huang, J.C., A. Ateş (2006), “Measuring Emerging Stock Market Correlations Utilizing The Gravity Model” , Journal of Economics and Economic Education Research, 7(3), 71-86.
17. http://bddk.org.tr (E.T.: 12.01.2016)
18. http://cpis.imf.org/ (E.T.: 24.01.2016)
19. http://www.data.worldbank.org (E.T.: 25.012016)
20. http://www.mapcrow.info (E.T.: 18.01.2016)
21. IMF Survey Magazine: Policy (14 Ocak 2016), Financial Leviathans Under Review in 2016, http://www.imf.org/external/pubs/ft/survey/so/2016/POL011416A.htm, (22.01.2016).
22. Kansu, A., C.M. Baydur (2008), “Faiz Düzeyinin Döviz Krizini Önlemedeki Rolü: Türkiye Şubat 2001 Krizinin Değerlendirilmesi”, Gazi Üniversitesi, İktisadi ve İdari Bilimler Fakültesi Dergisi, 10(1), 1-23.
23. Kugler, M., O. Levintal, H. Rappaport (2013), “Migration and Cross-Border Financial Flows”, Institute for the Study of Labor (IZA), IZA Discussion Paper, No. 7548, 32p., http://hdl.handle.net/10419/90017, (01.02.2016).
24. Lane, P.R., G.M. Milessi-Ferretti (2008), “International Investment Patterns”, The Review of Economics and Statistics, 90(3), 538-549.
25. Lee, H.H., H.S. Huh, W.J. Kim (2012), “Cross-Border Portfolio Investment in the APEC Region”, Japan and the World Economy, 24, 44-56.
26. Linnamann, H. (1966), An Econometric Study of International Trade Flows, Amsterdam: North Holland Publishing Company.
27. McKinnon, R.I. (1973), Money&Capital in Economic Development, Washington D.C.: The Brookings Institution Mankiw, G. (2010), Makro Ekonomi, (Çev. Ö.Faruk Çolak), Ankara: Efil Yayınevi.
28. Martin, P., H. Rey (2004), “Financial Super Market: size Matters for Asset Trade”, Journal of International Economics, 64(2), 335-361. Milessi-Ferretti, G. M., Tille, C. (2011), “The Great Retrenchment: International Capital Flows During the Global Financial Crisis”, Economic Policy, 26(66), 289-346.
29. Okowa,Y., V.E. Wincoop (2010), “Gravity in International Finance”, Hong Kong Institute for Monetary Research, Working Paper, No.07/2010, 61p.
30. Obstfeld, M. (1994), "Risk-Taking, Global Diversification, and Growth", American Economic Review, 84 (5), 1310-1329.
31. Pazarlıoğlu, M.Vedat, E. Gülay (2007), “Net Portföy Yatırımları İle Reel Faiz Oranı Arasındaki İlişki: Türkiye Örneği – 1992:1 – 2005:4”, Dokuz Eylül Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 9(2), 201-221.
32. Portes, R., H. Rey (1998), “The Euro and International Equity Flows”, Journal, of Japanese and International Economics, 12(4), 406-423.
33. Portes, R., H. Rey (2005), “The Determinants of Cross-Border Equity Flows” Journal of International Economics, 65(2), 269-296.
34. Rosati, S., S.Secola (2006), “Explaining Cross-Border Large-Value Payment Flows: Evidence from TARGET and EURO1 data”, Journal of Banking&Finance, 30(6), 783-796.
35. Sachs, J., A. Tornell, A. Velasco (1996), “Financial crises in emerging markets: the lessons from 1995,” National Bureau of Economic Research, No. 5576, 65p.
36. Shaw, E.S. (1973), Financial Deepening in Economic Developement, Inc, New York: Oxford University Press. Tatoğlu, F.Y. (2013), Panel Veri Ekonometrisi Stata Uygulamalı, İstanbul: Beta.
37. Tinbergen, J. (1962), An Analysis of World Trade Flows, New York: The Twentieth Century Fund, 262-293.
38. The World Bank (2016), Global Economic Prospects Spillover Amid Weak Growth, World Bank Group, Washington, 86, http://www.worldbank.org/, (E.T.: 22.01.2016).