196108

Küresel Likidite Bolluğu Döneminde, Gelişen Piyasa Ekonomilerine Yönelik Kisa Vadeli Sermaye Hareketlerinin Belirleyicileri: Türkiye Örneği

Bu çalışmada 2008 finansal krizi sonrası ABD Merkez Bankası (FED) başta olmak üzere gelişmiş ülke merkez bankalarının uyguladıkları miktarsal gevşeme politikalarına bağlı olarak artan kısa vadeli sermaye hareketlerinin gelişen piyasa ekonomilerine doğru yön bulmasında belirleyici olan iten ve çeken faktörlerin analiz edilmesi amaçlanmıştır. Türkiye bu çalışmada örnek ülke olarak belirlenmiştir. 2008-2014 döneminin ele alındığı çalışmada aylık verilerden yararlanılmıştır. Değişkenler arasında kısa ve uzun dönem ilişkinin tahmin edilmesinde ARDL yönteminden ve Hata Düzeltme Modelinden yararlanılmıştır. Bağımsız değişkenlerden kaynaklı şokların sermaye hareketlerini açıklama gücünü yakalamak için ise VAR modeline dayalı Varyans Ayrıştırma Hesaplaması kullanılmıştır. Elde edilen sonuçlar, küresel ve ülkeye özgü faktörlerin Türkiye Ekonomisinde ani duruş riskini arttırdığını göstermektedir. Ayrıca Fed tarafından uygulanan politikaların Türkiye’ye yönelik sıcak para hareketlerinde önemli bir belirleyici olduğu yönünde bulgulara da ulaşılmıştır. Yani Fed tarafından uygulanan genişleyici politikalar küresel likidite artışına ve küresel risk iştahının düşmesine neden olarak sermaye girişini hızlandırmıştır diyebiliriz. Bu bulgular sermaye hareketlerinin olumsuz etkilerine karşı makro ihtiyati politika tedbirlerinin gerekliliğini de desteklemektedirler.

Anahtar Kelimeler:

Sermaye Akımları, İten ve Çeken Faktörler, ARDL Yöntemi, VAR Modeli

PDF

___

Ahmed, S., Coulibaly, B. and Zlate, A. (2015) International Financial Spillovers to Emerging Market Economies: How Important Are Economic Fundamentals? International Finance Discussion Papers. 1135. Board of Governors of the Federal Reserve System (U.S.). Apr 2015.
Ahmed, S., Zlate, A. (2013). Capital Flows to Emerging Market Economies: A Brave New World? International Finance Discussion Papers. Board of Governors of the Federal Reserve System. 108.
Aizenman, J., Chinn, M., D., and Ito, H. (2016). Monetary Policy Spillovers and The Trilemma in The New Normal: Periphery Country Sensitivity to Core Country Conditions. Journal of International Money and Finance 68.pp. 298-330.
Aizenman, J., Binici, M., Hutchison, M., M. (2014). The Transmission of Federal Reserve Tapering News to Emerging Financial Markets. NBER Working Papers. 19980. National Bureau of Economic Research, Inc, Mar 2014.
Ananchotikul, N., Zhang, L. (2014). Portfolio Flows, Global Risk Aversion and Asset Prices in Emerging Markets. IMF Working Paper. No: 14(156). Asia and Pacific Department. August 2014.
Avdjiev, S., Hale, G. (2018). U.S. monetary Policy and Fluctuations of International Bank Lending. BIS Working Papers. No. 730. Monetary and Economic Department June 2018.
Avdjiev, S., Gambacorta, L., Goldberg, L. and Schiaffi, S. (2017). The Shifting Drivers of Global Liquidity. BIS Working Papers. No 644. June.
Avdjiev, S., Du, W., Koch, C., and Shin, H., S. (2016). The Dollar, Bank Leverage and The Deviation from Covered Interest Parity. BIS Working Papers. No. 592. November 2016.
Bilgili,F., Halıcı-Tüllüce, N.S., Doğan, İ. (2012). The Determinants of FDI in Turkey: A Markov Regime-Switching Approach. Economic Modelling. 29. pp. 1161-1169.
Bruno, V., and H. S. Shin, S. (2015a). Cross-Border Banking and Global Liquidity. Review of Economic Studies. Vol. 82, pp. 535-564.
Bruno, V., Shin, H., S. (2015b). Capital Flows and The Risk-Taking Channel of Monetary Policy. Journal of Monetary Economics. Vol. 71. pp. 119-132.
Bruno, V., Shin, H. S. (2013). Assessing Macroprudential Policies Case of Korea. NBER Working Paper. 19084. May 2013.
Caceres, C., Guzzo, V., and Segoviano, M. (2010). Sovereign Spreads: Global Risk Aversion, Contagion or Fundamentals? IMF Working Papers. No. 10(120).
Calvo, G. A., Leiderman, L., and Reinhart. C. M. (1996). Inflows of Capital to Developing Countries in the 1990s. The Journal of Economic Perspectives. 10 (2). pp123-139.
Calvo, G. A., Leiderman, L., and Reinhart. C. M. (1993). Capital Inflows and Real Exchange Rate Appreciation in Latin America: The Role of External Factors. Staff Papers (International Monetary Fund). 40 (1). pp. 108-151.
Cardarelli, R., Elekdag S., Kose M. A. (2009). Capital Inflows: Macroeconomic Implications and Policy Responses. IMF (International Monetary Fund) Working Paper, No. 40. Asia and Pacific Department and Research Department, March.
Cavallino, P., Sandri D. (2018). The Expansionary Lower Bound: Contractionary Monetary Easing and the Trilemma. IMF Working Paper. WP.18.(236). Western Hemisphere Department. November 2018.
Comelli, P.(2015). Institute for Capacity Development Estimation and Out-of-Sample Prediction of Sudden Stops: Do Regions of Emerging Markets Behave Differently From Each Other? IMF Working Paper. WP.5(138). June 2015.
Çulha, A.A. (2006). Structural VAR Analysis of the Determinants of Capital Flows into Turkey. Central Bank Review. http://www.tcmb.gov.tr/research/review
Dickey, D., Fuller, W. (1981). Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root. Econometrica. 49(4). pp.1057-1072.
Edwards, S. (2015). Monetary Policy Independence under Flexible Exchange Rates: An Illusion? The World Economy. 38 (5). pp. 773-787.
Erdal, F., Tatoğlu, E. (2002). Locatıonal Determınants Of Foreıgn Dırect Investment In An Emergıng Market Economy: Evıdence From Turkey. Multinational Business Review, 10(1).
Fernandez-Arias, E. (1996). The New Wave of Private Capital Inflows: Push or Pull? Journal of Development Economics. 48 (2) pp. 389-418.
Forbes, K.J., Warnock, F.E. (2012).“Capital Flow Waves: Surges,Stops, Flight, and Retrenchment. Journal of International Economics. 88 (2012). pp. 235–51.
Fratzscher, M. (2012). Capital Ows, Push Versus Pull Factors and The Global Financial Crisis. Journal of International Economics. 88(2). pp. 341-356.
Galati, G., Heath., A., McGuire, P. (2007). Evidence of Carry Trade Activity. BIS Quarterly Review. International Banking and Financial Market Developments in Special Features, September 2007. pp.27-41 (Basel: Bank for International Settlements, September 2007).
Ghosh. A., R., Qureshi, M., S., Kim, J., and Zalduendo, J. (2014). Surges. Journal of International Economics, 92(2) pp. 266-285.
Goldberg, L.S. (2013). Banking Globalization, Transmission, and Monetary Policy Autonomy. Federal Reserve Bank of New York Staff Reports, No. 640. September 2013.
International Monetary Fund, (2011). World Economic and Financial Surveys World Economic Outlook: Tensions from the Two-Speed Recovery: Unemployment, Commodities, and Capital Flows. in Chapter 4. International Capital Flows: Reliable or Fickle?. April 2011, pp.125-163(Washington: International Monetary Fund, April 2011).
International Monetary Fund (2010). Central Banking Lessons from the Crisis. Prepared by the Monetary and Capital Markets Department (Washington DC: International Monetary Fund, May 27, 2010).
Johansen, S., Juselius, K. (1990). Maximum Likelihood Estimation and Inference on Cointegration-with Application to the Demand for Money. Oxford Bulletin Of Economics and Statistics. 52(2). pp.169-210.
Kim, S. (2001). International transmission of U.S. monetary policy shocks: Evidence from VAR's. Journal of Monetary Economics. 48 (2). pp. 339-372.
Koepke, R. (2015). What Drives Capital Flows to Emerging Markets? MPRA Paper. 62770. University Library of Munich, Germany.
Koralp, L. (2010). Identificatıon Of ‘Pull’ & ‘Push’ Factors For The Portfolio Flows: Svar Evidence From The Turkish Economy. Doğuş Üniversitesi Dergisi. 11(2). pp. 223-232.
Koyuncu, F. T. (2010). Türkiye’de Seçilmiş Makroekonomik Değişkenlerin Doğrudan Yabancı Sermaye Yatırımları Üzerindeki Etkisinin Yapısal VAR Analizi: 1990-2009 Dönemi. Ekonomi Bilimleri Dergisi. 2 (1). pp. 55-62.
Manganelli S., Wolswijk, G. (2007). Market Discipline, Financial Integration and Fiscal Rules: What Drives Spreads in the Euro Area Government Bond Market? ECB Working Papers. No. 745.
Milesi-Ferretti, G. M., Tille, C. (2011). The Great Retrenchment: International Capital Flows During the GFC. Economic Policy, Vol. 26. No. 66, pp. 285-342.
Miranda-Agrippino, S., Rey, H. (2015). World Asset Markets and the Global Financial Cycle. NBER Working Paper. No. 21722. Cambridge MA.
Mohanty, M., S. (2014). The Transmission of Unconventional Monetary Policy to The Emerging Markets-An Overview. BIS Papers. No 78.
Pesaran, M. H., Shin, Y., and Smith, R.J. (2001). Bound Testing Approaches to the Analysis of Level Relationsihips. http://www.econ.cam.ac.uk/faculty/pesaran/pss1r1.pdf
Pastor, L., Veronesi, P. (2013). Political Uncertainty and Risk Premia. Journal of Financial Economics. No: 110 (3). pp. 520-545.
Rajan, G. R. (2010). Bernanke Must End Era of Ultra-Low Rates. Financial Times (July 28). http://www.ft.com/cms/s/0/2a19a706-9a7a-11df-87fd-00144feab49a.html
Rey, H. (2015). Dilemma Not Trilemma: The Global Financial Cycle and Monetary Policy Independence. NBER Working Paper Series. 21162. Cambridge, Mass.: National Bureau of Economic Research, May (revised February 2018), www.nber.org/papers/w21162.
Rose, Andrew K. (2014). Surprising Similarities: Recent Monetary Regimes of Small Economies. Journal of International Money and Finance. 49. Part A. pp. 5-27.
Rozada, M. G., Levy Yeyati, E. (2006). Global Factors and Emerging Market Spreads. Inter-American Development Bank Research Department Working Paper. No.552. May. 2006.
Shin, H.S. (2013). The Second Phase of Global Liquidity and Its Impact on Emerging Economies. Speech at the Federal Reserve Bank of San Francisco. November 7. 2013. http://www.princeton.edu/~hsshin/www/FRBSF_2013.pdf
Shrestha, M. B., Chowdhury, K. (2009). ARDL Approach to Testing the Financial Liberalisation Hypothesis. University of Wollongong Economics of Working Paper Series. http://www.uow.edu.au/commerce/econ/wpapers.html
Sun, G., Li, W. (2017). Monetary Policy, Exchange Rate and Capital Flow —— From “Equilateral Triangle” to “Scalene Triangle”. The People‟s Bank of China Working Paper Series. 2017(3).
Sun, G. (2010). Thoughts about Impossible Trinity. China Finance 40 Forum. 20th Roundtable Discussion on “Route Choice of RMB Exchange Rate Reform”, Beijing, January 24th, 2010.
Swarnali, A. H. (2017). The Drivers of Capital Flows in Emerging Markets Post Global Financial Crisis. IMF Working Paper. 17(52). Strategy, Policy and Review Department
Swarnali, A. H. (2015). If the Fed Acts, How do You React? The Liftoff Effect on Capital Flows. IMF Working Paper. 15(256). Strategy, Policy and Review Department December 2015.
Takáts, E, Vela, A. (2014). International Monetary Policy Transmission. BIS Papers. No.78. pp. 25–44.
Taylor, John B. (2013). International Monetary Policy Coordination: Past, Present and Future. BIS Working Papers. No 437.
Turner, P. (2014), The Global Long-Term Interest Rate, Financial Risk and Policy Choices in EME’. BIS Working Paper. No. 441, Monetary and Economic Department, February2014.
Weel’s Fargo (2017). Is the Yield Curve Enough to Predict Recessions?. by John E. Silva, Azhar Iqbal, E, Harry Pershing. Special Commentary. September 17.
Wu, G., Lu, J. (2016). Global Risk Aversion and Capital Flows: An Analysis of Cause of Dilemma. Journal of Financial Research (in Chinese). 11. pp. 1-14.
Yapraklı, S. (2006). Türkiye’de Doğrudan Yabancı Yatırımların Ekonomik Belirleyicileri Üzerine Ekonometrik Bir Analiz. D.E.Ü.İ.İ.B.F. Dergisi. 21(2). pp. 23-48.
Zhang, L., Zoli, E. (2014). Leaning Against the Wind: Macroprudential Policy in Asia. IMF Working Paper, 14 (22). February 2014.