Erol BULUT, Baki DEMİREL, N. Çağrı AKAR

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2008 KRİZİ SONRASI FED’İN FAİZ ARTIRIMININ YÜKSELEN PİYASA EKONOMİLERİNDEKİ PORTFÖY YATIRIMLARI ÜZERİNE ETKİLERİ

Küreselleşme sonrası sermaye hareketlerinin mobilitesi artmıştır. Yükselen piyasa ekonomileri ekonomik büyüme için gerekli yatırımları yapabilmek amacıyla sermayeye ihtiyaç duymaktadır ve kendi sermaye birikimleri yetersiz kaldığı için sermaye ithal etmek zorundadırlar. Önemli yabancı sermaye hareketleri türlerinden biri olan portföy yatırımları (PY), bu noktada önemli bir rolesahiptir. Bu çalışmada, FED’in faiz artırımının yükselen piyasa ekonomilerindeki portföy yatırımları üzerine etkileri incelenmiştir. Çalışmada 2007:Q1 – 2015:Q4 dönemine ait veriler kullanılmıştır. 16 yükselen piyasa ekonomisindeki portföy yatırımları dinamik panel veri analizi olanArellano-Bond panel GMM tahmin yöntemi uygulanarak FED faizinin etkisi incelenmiştir. Yapılan testler sonucunda FED faizlerini yansıtan ABD 2 yıllık Hazine bonosu faizleri ile yükselen piyasalar portföy yatırımları arasında negatif ilişki tespit edilmiştir. Bulgulara göre EMBI+ ile PY’ler arasında aynı şekilde negatif bir ilişki saptanmıştır. Ülke riskini gösteren EMBI+ arttıkça sermaye çıkışı yükselmiştir. Çalışmada küresel risk iştahını ve oynaklık endeksini gösteren VIX ile PY’ler arasında negatif bir ilişki çıkmıştır. Sonuç olarak FED faiz artışı, EMBI+’daki artış ve VIX’te meydana gelen artışlar yükselen piyasalardan PY çıkışlarına yol açmıştır.
Anahtar Kelimeler:

Portföy Yatırımları, Sermaye Hareketleri, Panel Veri Analizi

IMPACTS OF FED’S HIKING INTEREST RATES ON PORTFOLIO INVESTMENTS IN EMERGING MARKETS ECONOMIES AFTER THE 2008 CRISIS

ABSTRACT       After the globalization, the mobility of capital flows has increased. Emerging Markets Economies (EMEs) need capital for investments to provide economic growth and because of their own capital accumulations are inadequate they have to import capital. One of the major capital movements is portfolio investments have significant role in this point. In this paper, impacts of FED’s hiking interest rates on portfolio investments in EM economies have been examined. In this study 2007: Q1 – 2015: Q4 data period was used. Impacts of FED’s interest rate on portfolio investments of 16 EM countries have been analysed by using dynamic panel data system which is called “Arellano-Bond” panel GMM estimation method. According to the tests results; between USA 2 years treasury bonds yields, which are reflecting FED interest rate, and portfolio investments of EM have been found a negative effect. There is also negative effect has been found between EMBI+ and portfolio investments. When EMBI+ which is benchmark of country default risk has increased capital outflows have risen. Between VIX which shows global risk appetite and volatility index and portfolio investments there have been also ascertained negative relationship. In conclusion, hiking of FED interest rates, rise of EMBI+ and rise of VIX have been led to rise of portfolio outflows from EMEs.
Keywords:

Portfolio Investments, Capital Flows, Panel Data Models,

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Gazi İktisat ve İşletme Dergisi-Cover
  • Yayın Aralığı: Yılda 3 Sayı
  • Başlangıç: 2015
  • Yayıncı: Aydın KARAPINAR
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