CURRENT ACCOUNT IMBALANCE AND FOREIGN CAPITAL INFLOWS IN TURKEY: WHAT CAUSES WHAT?

Öz

Turkish economy suffers from chronic current account deficit for many years due to insufficient savings and dependency on import energy and intermediate goods. In order to close the deficit, many developing countries need foreign capital. This is also the case for the Turkish economy. In the pre-financial liberalization period, the direction of causality would be expected from current account balance to foreign capital. After the liberalization, on the other hand, the direction of causality has become an intensively debated issue. This study aims to determine the direction of the causality between current account and financial account using Toda-Yamamoto causality and Hatemi-J asymmetric causality tests. The data cover the period of 2002:01-2017:12. Evidence from the asymmetric causality test shows that the negative shocks of the portfolio investment Granger causes both the negative and the positive shocks of the current account balance in Turkey.

Anahtar Kelimeler

• ADF unit roots,Toda-Yamamoto approach,Asymmetric causality,Foreign capital inflows,Financial liberalization

TÜRKİYE’DE CARİ AÇIK VE YABANCI SERMAYE ARASINDAKİ NEDENSELLİK İLİŞKİSİ

Öz

Türkiye ekonomisi yetersiz iç tasarruflar ve enerji ve ara malı ithalatına olan bağımlılığı nedeniyle uzun yıllar boyunca kronik cari açık sorunuyla karşı karşıya kalmıştır. Çoğu gelişmekte olan ülkede olduğu gibi Türkiye’de de cari açığın finansmanı için yabancı sermayeye ihtiyaç duyulmaktadır. Finansal serbestleşme öncesi dönemde iki değişken arasındaki nedenselliğin yönünün cari dengeden yabancı sermayeye doğru olması beklenebilirdi. Ancak, finansal serbestleşme sonrasında sözü edilen nedenselliğin yönü çokça tartışılan bir konu haline gelmiştir. Bu çalışmanın amacı cari işlemler hesabı ile alt kalemler bazında finans hesabı arasındaki olası nedensellik ilişkisini Toda-Yamamoto nedensellik ve Hatemi-J asimetrik nedensellik testleri ile incelemektir. Bunun için aylık olarak derlenen veri seti Ocak 2002 ile Aralık 2017 dönemini kapsamaktadır. Asimetrik nedensellik testinden elde edilen sonuçlara göre finans hesabı içerisinde yer alan portföy yatırımlarının negatif şokları cari dengenin hem negatif hem de pozitif şoklarının Granger nedeni olmuştur.

Anahtar Kelimeler

• ADF birim kök testi,Toda-Yamamoto yaklaşımı,Asimetrik nedensellik,Yabancı sermaye girişi,Finansal serbestleşme

Kaynakça

1. Akbas, Yusuf E., Lebe, Fuat and Uluyol, Osman. 2014. “Analyzing The Relationship Among The GDP - Current Account Deficit and Short Term Capital Flows: The Case of Emerging Markets.” Journal of Management and Economics 21 (2):293-303.
2. Calvo, Guillermo A., Leiderman, Leonardo and Reinhart, Carmen M. 1994. “Inflows of Capital to Developing Countries in the 1990s: Causes and Effects.” IDB Working Paper No. 246. Available at SSRN:https://ssrn.com/abstract=1815929 or http://dx.doi.org/10.2139/ssrn.1815929.
3. Chowdhury, Abdur and Mavratos, George. 2006. “FDI and Growth: What Causes What?” The World Economy 29 (1):9-19.
4. Dickey, David A. and Fuller, Wayne A. 1981. “Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root.” Econometrica 49 (4):1057-1072.
5. Erden, Lütfi and Cagatay, Oktay. 2011. “The Relationship between Current and Capital Accounts in Turkey.” Hacettepe University Journal of Economics and Administrative Sciences 29 (2): 49-67.
6. Fry, Maxwell. J., Claessens, Stijn, Burridge, Peter and Blanchet, Marie-Christine. 1995. “Foreign Direct Investment, Other Capital Flows and Current Account Deficit: What Causes What?” Policy Research Working Paper No. 1527, World Bank.
7. Ghosh, Atish R. and Ostry, Jonathan D. 1995. “The Current Account in Developing Countries: A Perspective from the Consumption-Smoothing Approach.” The World Bank Economic Review 9 (2):305-333.
8. Giles, David E. A. 1996. “Causality between the Measured and Underground Economies in New Zealand.” Applied Economics Letters 4:63-67.

9. Granger, Clive W. 1969. “Investigating Causal Relations by econometric Models and Cross-Spectral Methods.” Econometrica 37 (3):424-438.
10. Hatemi-J, Abdulnasser. 2003. “A New Method to Choose Optimal Lag Order in Stable and Unstable VAR Models.” Applied Economics Letters 10 (3):135-137.
11. Hatemi-J, Abdulnasser. 2012. “Asymmetric Generalized Impulse Response and Variance Decomposition with an Application.” Munich Personal RePEc Archive 31700:1-8.
12. Kesgingöz, Hayrettin and Karatas, Ali R. 2016. “Foreign Direct Investment and Current Account Deficit with Relations and Policy Recommendations for the Current Account Deficit.” Journal of the Human and Social Science Researches 5 (3):597-610.
13. Lane, Philip R. and Milesi-Ferretti, Gian M. 2002. “Long-Term Capital Movements.” National Bureau of Economic Research Working Paper No. 8366. Available at URL: http://www.nber.org/chapters/c11064.
14. Obstfeld, Maurice and Rogoff, Kenneth. 1996. Foundations of International Macroeconomics. Cambridge: The MIT Press.
15. Sarisoy Guerin, Selen. 2004. “The Relationship between Capital Flows and Current Account: Volatility and Causality.” Available at SSRN: https://ssrn.com/abstract=2018195orhttp://dx.doi.org/10.2139/ssrn.2018195.
16. Sims, Christopher A. 1980. “Macroeconomics and Reality.” Econometrica 48 (1):1-48.
17. Toda, Hiro Y. and Yamamoto, Taku. 1995. “Statistical Inference in Vector Autoregression with Possibly Integrated Processes.” Journal of Econometrics 66 (1): 225-250.
18. Wolde-Rufael, Yemane. 2004. “Disaggregated industrial energy consumption and GDP: the case of Shanghai, 1952–1999.” Energy Economics 26 (1): 69-75.
19. Wong, Chorng-Huey and Carranza, Luis. 1999. “Policy Responses to External Imbalances in Emerging Market Economies: Further Empirical Results.” IMF Staff Papers 46 (2): 225-237.
20. Yan, Ho-don and Yang, Cheng-lang. 2008. “Foreign Capital Inflows and the Current Account Imbalance: Which Causality Direction?” Journal of Economic Integration 23 (2):434-461.
21. Zafir, Ceran Z. and Sezgin, Funda H. 2012. “Analysis of the Effects of Foreign Direct Investment on the Financing of Current Account Deficits in Turkey.” International Journal of Business and Social Science 3 (10):68-78.