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EXOGENOUS CHARACTERISTICS OF SHORT-TERM CAPITAL FLOWS: CAN THEY BE UNDER CONTROL EVIDENCE FROM TURKEY

Yıl 2007, Sayı: 1, 1 - 16, 23.09.2013

Öz

Çalışmamızda kısa dönemli sermaye hareketlerinin Türkiye ekonomisi koşullarında 'çekiş içerikli' olarak adlandırılabilecek reel efektif döviz kuru, ticaret dengesi, reel gelir büyüme süreci, yurtiçi enflasyon ve reel faiz yapısı gibi temel bazı makroekonomik göstergeler ile olan dinamik etkileşim süreci araştırılmaya çalışılmaktadır. Sınırlandırılmamış çağdaş vektör ardışık bağlanım (VAB) tahmin yöntemleri kullanılmak suretiyle elde ettiğimiz tahmin sonuçları kısa dönemli sermaye hareketlerinin 'çekiş içerikli' olarak tanımlanan faktörler üzerinde önemli bir etkiye sahip olduğunu göstermiş, bu doğrultuda sermaye girişlerinin reel efektif döviz kurunun değerlenmesine yol açtığı ve ticaret dengesini kötiileştirdiği, reel gelir büyüme sürecini teşvik ettiği ve reel faiz oranlarının azalmasına yol açtığı gözlenmiştir. Ancak 'çekiş içerikli' faktörlerin sermaye hareketleri üzerinde anlamlı bir etkisi bulunamamıştır.


Anahtar Kelimeler: Sermaye Hareketleri, VAB (Vektör Ardışık Bağlanım) Modellemesi, Türkiye Ekonomisi

 

                          ABSTRACT


In our paper, we give an essay trying to explore whether short-term capital flows can affect and/or be affected by some primary domestic macroeconomic indicators called 'pull' factors such as real effective exchange rate, balance of trade, real income growth process, domestic inflation and real interest structure for the case of Turkish economy. Our estimation results employing some contemporaneous estimation techniques of unrestricted dynamic vector autoregression (VAR) models reveal that short-term capital flows have in fact an important role on the 'pull' factors in the sense that inflows appreciate the real effective exchange rate and in turn deteriorate the trade balance, encourage the real income growth, and decrease the real interest rates. But we could not find any significant effects of the 'pull' factors on the capital flows.


Key Words: Capital Flows, VAR Modelling, Turkish Economy

Kaynakça

  • Agenor, Pierre-Richard, McDermott, C . John and Üçer, E . Murat (1997), "Fiscal Imbalances, Capital Inflows, and the Real Exchange Rate: The Case of Turkey", IMF Working Paper, 987/1.
  • Bahmani-Oskooee, Mohsen (1991), "Is There a Longı R u n Relation Between the Trade Balance and the Real Effective Exchange Rate of L D C s ? " , Economic Letters, 36,403-407.
  • Bahmani-Oskooee, Mohsen (2001), "Nominal and Real Effective Exchange Rates of Middle Eastern Countries and Their Trade Performance", Applied Economics, 33, 103-111.
  • Berument, Hakan and P a ş a o ğ u l l a n , Mehmet (2003), "Effects of the Real Exchange Rate on Output and Inflation: Evidence from Turkey", The Developing Economies, 41/4,401-435.
  • Berument, Hakan and Dinçer, Nergiz (2004), "Do Capital Flows Improve Macroeconomic Performance in Emerging Markets? T h e Turkish Experience", Emerging Markets Finance and Trade, 40/4, 20-32.
  • Biçer, Gül and Yeldan, A . Erinç (2002), 'Tatterns of Financial Capital Flows and Accumulation in the Post-1990 Turkish Economy", Canadian Journal of Development Studies, 24/2, June, 250-265.
  • Calvo, Guillermo A . , Leiderman, Leonardo and Reinhart, Carmen M . (1993), "Capital Flows
  • Exogenous Characteristics Of Short-Term Capital Flows: Can They Be Under Control Evidence From Turkey 15 and Real Exchange Rate Appreciation in Latin America: The Role of External Factors", IMF StaffPapers, 40/1, March, 108-151.
  • Celasun, Oya, Denizer, Cevdet, and He, Dong (1999), "Capital Inflows, Macroeconomic Management, and the Financial System: The Turkish Case, 1989-97", World Bank Working Paper, No. 2141.
  • Chen, Zhaohui and Khan, Mohsin S. (1997), "Patterns of Capital Flows to Emerging Markets: A Theoretical Perspective", IMF Working Paper, WP/97/13, January.
  • Chuhan, Punam, Claessens, Stijn, and Mamingi, Nlandu (1993), "Equity and Bond Flows to Asia and Latin America: The Role of Global and Country Factors", World Bank Policy Research Working Paper, W P S 1160, July.
  • Çulha, A l i (2006), " A Structural V A R Analysis of the Determinants of Capital Flows into Turkey", CBRT Research and Monetary Policy Department Working Paper, No. 06/05.
  • Dasgupta, Dipak and Ratha, Dilip (2000), "What Factors Appear to Drive Private Capital Flows to Developing Countries? And How Does Official Lending Respond?", World Bank Policy Research Working Paper, No. 2392.
  • Fernandez-Arias, Eduardo (1994), ' T h e New Wave of Private Capital Inflows: Push or Pull?", World Bank Policy Research Working Paper, June, No. 1312.
  • Greene, William H . (2000), Econometric Analysis, Prentice-Hall, Inc.
  • Guitián, Manuel (1998), ' T h e Challenge of Managing Global Capital Flows", IMF Finance and Development 35/2.
  • Hernández, Leonardo, Melladoi Pamela, and V a l d é s , Rodrigo (2001), "Determinants of Private Capital Flows in the 1970s and 1990s: Is There Evidence of Contagion?", IMF Working Paper, 01/64, May.
  • International Monetary Fund (2006), World Economic Outlook, September.
  • Insel, A y s u and Sungur, Nesrin (2003), "Semaye Akımlarının Temel Makroekonomik Göstergeler Üzerindeki Etkileri: Türkiye Örneği: 1989:111- 1999:IV", Turkish Economic Association Discussion Paper, 2003/8.
  • Johnston, Jack and Dinardo, John (1997), Econometric Methods, The McGraw-Hill Companies, Inc.
  • Kaminsky, Graciela L . , Reinhart, Carmen M . , and Vegh, Carlos A . (2004), "When It Rains, It Pours: Procyclical Capital Flows and Policies", in M . Gertler and K . S. Rogoff (eds.), NBER Macroeconomics Annual, Cambridge, Mass: M I T Press, 11-53.
  • K i m , Yoonbai (2000), "Causes of Capital Flows in Developing Countries", Journal of International Money and Finance, 19, 235ı 253.
  • Kirmanoglu, Hasan and Ozcicek, Omer (1999), "The Effect of Short-Term Capital Inflow on the Turkish Economy", Yapi Kredi Economic Review, 10/1,27-34.
  • Lopez-Mejia, Alejandro (1999), "Large Capital Flows: A Survey of the Causes, Consequences, and Policy Responses", IMF Working Paper, WP/99/17, February.
  • Mishra, Deepak, Mody, Ashoka, and Murshid, Antu Panini (2001), 'Private Capital F l o w s and Growth", IMF Finance and Development, 38/2.
  • Mody, Ashoka and. Murshid, Antu Panini (2002), "Growing up with Capital Flows", IMF Working Paper, WP/02/75, April.
  • Montiel, Peter and Reinhart, Carmen M . (2000), ' T h e Dynamics of Capital Movements to Emerging Economies During the 1990s", in S. Griffith- Jones and M . Montes (eds.), Short-term Capital Movement and Balance of Payments Crises, Oxford: Oxford University Press, 3-28.
  • Pesaran, M . Hashem and Shin, Yongcheol (1998), "Impulse Response Analysis in Linear Multivariate Models", Economics Letters, 58, 17-29.
  • QMS (2004), EViews 5 User's Guide, April.
  • Saatçioglu, Cem and Korap, L è v e n t (2006), "Determinants of Turkish Inflation", Turkish Economic Association Discussion Paper, 2006/7.
  • Sims, Christopher A (1980), "Macroeconomics and Reality", Econometrica, 48/1, 1-48. or, Mark P. and Sarno, Lucio (1997), "Capital
  • Flows to Developing Countries: L o n g - and
  • Short-Term Determinants", World Bank
  • Economic Review, 11/3,451-470.
  • Y i n g , Yung-Hsiang and K i m , Yoonbai (2001), "An Empirical Analysis on Capital Flows: T h e Case of Korea and Mexico", Southern Economic Journal, 67/4, April, 954-968.
Yıl 2007, Sayı: 1, 1 - 16, 23.09.2013

Öz

Kaynakça

  • Agenor, Pierre-Richard, McDermott, C . John and Üçer, E . Murat (1997), "Fiscal Imbalances, Capital Inflows, and the Real Exchange Rate: The Case of Turkey", IMF Working Paper, 987/1.
  • Bahmani-Oskooee, Mohsen (1991), "Is There a Longı R u n Relation Between the Trade Balance and the Real Effective Exchange Rate of L D C s ? " , Economic Letters, 36,403-407.
  • Bahmani-Oskooee, Mohsen (2001), "Nominal and Real Effective Exchange Rates of Middle Eastern Countries and Their Trade Performance", Applied Economics, 33, 103-111.
  • Berument, Hakan and P a ş a o ğ u l l a n , Mehmet (2003), "Effects of the Real Exchange Rate on Output and Inflation: Evidence from Turkey", The Developing Economies, 41/4,401-435.
  • Berument, Hakan and Dinçer, Nergiz (2004), "Do Capital Flows Improve Macroeconomic Performance in Emerging Markets? T h e Turkish Experience", Emerging Markets Finance and Trade, 40/4, 20-32.
  • Biçer, Gül and Yeldan, A . Erinç (2002), 'Tatterns of Financial Capital Flows and Accumulation in the Post-1990 Turkish Economy", Canadian Journal of Development Studies, 24/2, June, 250-265.
  • Calvo, Guillermo A . , Leiderman, Leonardo and Reinhart, Carmen M . (1993), "Capital Flows
  • Exogenous Characteristics Of Short-Term Capital Flows: Can They Be Under Control Evidence From Turkey 15 and Real Exchange Rate Appreciation in Latin America: The Role of External Factors", IMF StaffPapers, 40/1, March, 108-151.
  • Celasun, Oya, Denizer, Cevdet, and He, Dong (1999), "Capital Inflows, Macroeconomic Management, and the Financial System: The Turkish Case, 1989-97", World Bank Working Paper, No. 2141.
  • Chen, Zhaohui and Khan, Mohsin S. (1997), "Patterns of Capital Flows to Emerging Markets: A Theoretical Perspective", IMF Working Paper, WP/97/13, January.
  • Chuhan, Punam, Claessens, Stijn, and Mamingi, Nlandu (1993), "Equity and Bond Flows to Asia and Latin America: The Role of Global and Country Factors", World Bank Policy Research Working Paper, W P S 1160, July.
  • Çulha, A l i (2006), " A Structural V A R Analysis of the Determinants of Capital Flows into Turkey", CBRT Research and Monetary Policy Department Working Paper, No. 06/05.
  • Dasgupta, Dipak and Ratha, Dilip (2000), "What Factors Appear to Drive Private Capital Flows to Developing Countries? And How Does Official Lending Respond?", World Bank Policy Research Working Paper, No. 2392.
  • Fernandez-Arias, Eduardo (1994), ' T h e New Wave of Private Capital Inflows: Push or Pull?", World Bank Policy Research Working Paper, June, No. 1312.
  • Greene, William H . (2000), Econometric Analysis, Prentice-Hall, Inc.
  • Guitián, Manuel (1998), ' T h e Challenge of Managing Global Capital Flows", IMF Finance and Development 35/2.
  • Hernández, Leonardo, Melladoi Pamela, and V a l d é s , Rodrigo (2001), "Determinants of Private Capital Flows in the 1970s and 1990s: Is There Evidence of Contagion?", IMF Working Paper, 01/64, May.
  • International Monetary Fund (2006), World Economic Outlook, September.
  • Insel, A y s u and Sungur, Nesrin (2003), "Semaye Akımlarının Temel Makroekonomik Göstergeler Üzerindeki Etkileri: Türkiye Örneği: 1989:111- 1999:IV", Turkish Economic Association Discussion Paper, 2003/8.
  • Johnston, Jack and Dinardo, John (1997), Econometric Methods, The McGraw-Hill Companies, Inc.
  • Kaminsky, Graciela L . , Reinhart, Carmen M . , and Vegh, Carlos A . (2004), "When It Rains, It Pours: Procyclical Capital Flows and Policies", in M . Gertler and K . S. Rogoff (eds.), NBER Macroeconomics Annual, Cambridge, Mass: M I T Press, 11-53.
  • K i m , Yoonbai (2000), "Causes of Capital Flows in Developing Countries", Journal of International Money and Finance, 19, 235ı 253.
  • Kirmanoglu, Hasan and Ozcicek, Omer (1999), "The Effect of Short-Term Capital Inflow on the Turkish Economy", Yapi Kredi Economic Review, 10/1,27-34.
  • Lopez-Mejia, Alejandro (1999), "Large Capital Flows: A Survey of the Causes, Consequences, and Policy Responses", IMF Working Paper, WP/99/17, February.
  • Mishra, Deepak, Mody, Ashoka, and Murshid, Antu Panini (2001), 'Private Capital F l o w s and Growth", IMF Finance and Development, 38/2.
  • Mody, Ashoka and. Murshid, Antu Panini (2002), "Growing up with Capital Flows", IMF Working Paper, WP/02/75, April.
  • Montiel, Peter and Reinhart, Carmen M . (2000), ' T h e Dynamics of Capital Movements to Emerging Economies During the 1990s", in S. Griffith- Jones and M . Montes (eds.), Short-term Capital Movement and Balance of Payments Crises, Oxford: Oxford University Press, 3-28.
  • Pesaran, M . Hashem and Shin, Yongcheol (1998), "Impulse Response Analysis in Linear Multivariate Models", Economics Letters, 58, 17-29.
  • QMS (2004), EViews 5 User's Guide, April.
  • Saatçioglu, Cem and Korap, L è v e n t (2006), "Determinants of Turkish Inflation", Turkish Economic Association Discussion Paper, 2006/7.
  • Sims, Christopher A (1980), "Macroeconomics and Reality", Econometrica, 48/1, 1-48. or, Mark P. and Sarno, Lucio (1997), "Capital
  • Flows to Developing Countries: L o n g - and
  • Short-Term Determinants", World Bank
  • Economic Review, 11/3,451-470.
  • Y i n g , Yung-Hsiang and K i m , Yoonbai (2001), "An Empirical Analysis on Capital Flows: T h e Case of Korea and Mexico", Southern Economic Journal, 67/4, April, 954-968.
Toplam 35 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Bölüm Makaleler
Yazarlar

Özgür Aslan

H. Levent Korap Bu kişi benim

Yayımlanma Tarihi 23 Eylül 2013
Yayımlandığı Sayı Yıl 2007 Sayı: 1

Kaynak Göster

APA Aslan, Ö., & Korap, H. L. (2013). EXOGENOUS CHARACTERISTICS OF SHORT-TERM CAPITAL FLOWS: CAN THEY BE UNDER CONTROL EVIDENCE FROM TURKEY. Sosyal Bilimler Dergisi(1), 1-16.
AMA Aslan Ö, Korap HL. EXOGENOUS CHARACTERISTICS OF SHORT-TERM CAPITAL FLOWS: CAN THEY BE UNDER CONTROL EVIDENCE FROM TURKEY. Sosyal Bilimler Dergisi. Eylül 2013;(1):1-16.
Chicago Aslan, Özgür, ve H. Levent Korap. “EXOGENOUS CHARACTERISTICS OF SHORT-TERM CAPITAL FLOWS: CAN THEY BE UNDER CONTROL EVIDENCE FROM TURKEY”. Sosyal Bilimler Dergisi, sy. 1 (Eylül 2013): 1-16.
EndNote Aslan Ö, Korap HL (01 Eylül 2013) EXOGENOUS CHARACTERISTICS OF SHORT-TERM CAPITAL FLOWS: CAN THEY BE UNDER CONTROL EVIDENCE FROM TURKEY. Sosyal Bilimler Dergisi 1 1–16.
IEEE Ö. Aslan ve H. L. Korap, “EXOGENOUS CHARACTERISTICS OF SHORT-TERM CAPITAL FLOWS: CAN THEY BE UNDER CONTROL EVIDENCE FROM TURKEY”, Sosyal Bilimler Dergisi, sy. 1, ss. 1–16, Eylül 2013.
ISNAD Aslan, Özgür - Korap, H. Levent. “EXOGENOUS CHARACTERISTICS OF SHORT-TERM CAPITAL FLOWS: CAN THEY BE UNDER CONTROL EVIDENCE FROM TURKEY”. Sosyal Bilimler Dergisi 1 (Eylül 2013), 1-16.
JAMA Aslan Ö, Korap HL. EXOGENOUS CHARACTERISTICS OF SHORT-TERM CAPITAL FLOWS: CAN THEY BE UNDER CONTROL EVIDENCE FROM TURKEY. Sosyal Bilimler Dergisi. 2013;:1–16.
MLA Aslan, Özgür ve H. Levent Korap. “EXOGENOUS CHARACTERISTICS OF SHORT-TERM CAPITAL FLOWS: CAN THEY BE UNDER CONTROL EVIDENCE FROM TURKEY”. Sosyal Bilimler Dergisi, sy. 1, 2013, ss. 1-16.
Vancouver Aslan Ö, Korap HL. EXOGENOUS CHARACTERISTICS OF SHORT-TERM CAPITAL FLOWS: CAN THEY BE UNDER CONTROL EVIDENCE FROM TURKEY. Sosyal Bilimler Dergisi. 2013(1):1-16.