Global Risk, Gross Portfolio Inflows, and Asset Prices: The Case of Turkey

Yıl 2022, Cilt: 24 Sayı: 42, 415 - 434, 27.06.2022

Cemil Varlık

Öz

In this article, using the data of the Turkish economy for the period 2003:Q1-2019:Q4, the dynamic relationships among global risk, gross portfolio inflows and asset prices are examined with a structural vector autoregressive model. The findings of impulse-response analysis show that the gross portfolio inflows and the Borsa İstanbul (BIST) 100 real return index give a negative and statistically significant response to a positive volatility index (VIX) shock in two quarters. A positive portfolio inflow shock, on the other hand, has a positive and significant effect on the real effective exchange rate and the Borsa İstanbul real return index for one quarter. In addition, the stock market return gives a positive and significant response to a real effective exchange rate shock for one quarter. These findings prove that gross portfolio inflows play an important role in transmitting the spillover effects of global risk shocks on asset prices in the Turkish economy.

Anahtar Kelimeler

Global Risk, Gross Portfolio Flows, Asset Prices, Exchange Rate.

Küresel Risk, Brüt Portföy Girişleri ve Aktif Fiyatları: Türkiye Örneği

Öz

Bu makalede Türkiye ekonomisinin 2003:Q1-2019:Q4 dönemine ait verileri kullanılarak küresel risk, brüt portföy girişleri ve aktif fiyatları arasındaki dinamik ilişki yapısal vektör otoregresif model yardımıyla incelenmektedir. Etki-tepki analizinin bulguları, pozitif volatilite endeksi (VIX) şokuna brüt portföy girişlerinin ve Borsa İstanbul (BIST) 100 reel getiri endeksinin iki çeyrek dönemde negatif ve istatistiksel olarak anlamlı tepki verdiğini göstermektedir. Pozitif bir portföy girişi şoku ise, reel efektif döviz kuru ve Borsa İstanbul reel getiri endeksi üzerinde bir çeyrek dönem pozitif ve anlamlı etki yaratmaktadır. İlave olarak, borsa getiri endeksi reel efektif döviz kuru şokuna bir çeyrek dönem pozitif ve anlamlı tepki vermektedir. Bu bulgular, küresel risk şoklarının Türkiye ekonomisinde aktif fiyatları üzerinde yarattığı yayılma etkilerinin aktarımında brüt portföy girişlerinin önemli bir rolü olduğunu ispatlamaktadır.

Anahtar Kelimeler

Küresel Risk, Brüt Portföy Akımları, Aktif Fiyatları, Döviz Kuru

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