The Analysis of the Short-term Capital Movements by Using the VAR Model: The Case of Turkey

This paper investigates the relations among short-term capital inflows, government deficit, interest rate differentials, real exchange rate and some accounts of the balance of payments in Turkey in 1990s by using the vector autoregression (VAR) technique. The dynamic behaviours of each variable due to random shocks given to short-term foreign liabilities are captured by impulse response functions, and the portion of variance in the prediction for each variable in the system that is attributable to its own innovations and to shocks to other variables in the system is analysed by variance decomposition method. It is found that the policy of high interest-low exchange rate (hot money) is the main reason for the short-term capital inflows in Turkey, and we propose some main controls on capital inflows to limit some of the macroeconomic repercussions of these inflows

The interaction of the banking sector risks with financial fragility: the case of Turkey

Çalışmanın amacı; Türkiye’de, 1990-2014 dönemi için, yıllık zaman serisi verileri kullanımıyla bankacılık sektörü riskleri ile finansal kırılganlık arasındaki etkileşimi ortaya koymaktır. Çalışmada, değişkenler arasındaki dinamik ilişkileri ortaya koymak üzere VAR modeli uygulanmıştır. Model’de, faiz riski (IR),likidite riski (LR), döviz kuru riski (ER), kredi riski (CR)ve finansal kırılganlık endeksi (FFI) olmak üzere 5 değişken kullanılmıştır. Finansal kırılganlık endeksindeki değişimin, birinci dönemde 100%’ü kendisi tarafından açıklanmaktadır. Ancak ikinci dönem sonrasında FFI, Likidite Riski ve Kur Riski tarafından açıklanmaktadır (sırasıyla %40 ve %11). Ayrıca kur riski ve faiz riski, yaklaşık %30 oranında finansal kırılganlık endeksi tarafından açıklanmaktadır. Etki tepki fonksiyonları ile varyans ayrıştırma analiz bulguları ortaya koymaktadır ki; likidite riski, kredi riski ve kur finansal kırılganlık üzerinde daha etkilidir. Ayrıca, Türkiye’de kriz dönemlerinde likidite riski ön plana çıkmaktadır

Exchange rate volatility and capital inflows: role of financial development

There is vast literature examining the impact of exchange rate volatility on various macroeconomic aggregates such as economic growth, trade flows, domestic investment, and more recently capital flows. However, these studies have ignored the role of financial development while examining the impact of exchange rate volatility on capital flows. This study aims to analyze the impact of exchange rate volatility on capital inflows towards developing countries by incorporating the role of financial development over the time period 1980–2013. In this regard, the behavior of two types of capital flows is examined: physical capital inflows measured as foreign direct investment, and financial inflows quantified through remittance inflows. The empirical investigation comprises the direct as well as indirect effect of exchange rate volatility on capital inflows. The study employs dynamic system GMM estimation technique to empirically estimate the effect of exchange rate volatility on capital inflows. The empirical results of the study identify that exchange rate volatility dampens both physical and financial inflows towards developing countries. The indirect impact of exchange rate volatility through financial development, however, turns out positive and statistically significant. This finding reflects that financial development helps in reduc- ing the harmful impact of exchange rate volatility on capital inflows. Hence, the study concludes that a developed financial system is an important channel through which developing countries may improve capital inflows in the long run.info:eu-repo/semantics/publishedVersio

Enflasyon hedeflemesi yapan ülkelerde cari işlemler dengesi belirleyicileri

Beginning with 1990s, “Inflation Targeting Discipline” emerged as a new monetary strategy. It is observed that there are some current account deficit increases in some economies of targeters. This observation led us to investigate the matter and therefore, to study on the relationship between the current account dynamics and the determinants of the current account deficit in those countries. The objective of this paper is to primarily find out the determinants of the current account balance by using yearly data related with the countries which apply inflation targeting regime within the period beginning from 1990 to 2006. The empirical work adopts the panel data analysis framework to capture the relationships among variables. In our model, as being the percentage of GDP, the current account balance (CAB) is the dependant variable and the real domestic GDP growth rate, the export/import coverage ratio, the degree of trade openness, the percentage change of the real exchange rate, the percentage of the government expenditure in the GDP and the real interest differentials are used as the explanatory variables.1990’ların başlarında yeni bir para politikası stratejisi olarak “Enflasyon Hedeflemesi” uygulanmaya başlanmıştır. hedefleyen bazı ülke ekonomilerinde cari işlemler açığı gözlemlenmektedir. Bu gözlem, bizi enflasyon hedeflemesi yapan ülkelerdeki cari işlemler hesabı dinamikleri ile cari işlemler açığı belirleyicileri arasındaki ilişkiyi incelemeye yöneltmiştir. Çalışmanın temel amacı, enflasyon hedeflemesi yapan ülkelerin 1990-2006 yılları arasında yıllık verileri yarımıyla cari işlemler denge belirleyicilerini tepit etmektir. Değişkenler arasındaki ilişkileri ortaya koymak için ampirik çalışmada panel veri analizi yöntemi kullanılmıştır. Modelde, cari şlemler dengesinin GSYİH’ya oranı bağımlı değişken olarak ve reel GSYİH büyüme oranı,,ihracatın ithalatı karşılama oranı, dışa açıklık düzeyi, reel döviz kurundaki yüzde değişme, kamu harcamalarının GSYİH’ya oranı ve reel faiz farklılıkları bağımsız değişkenler olarak kullanılmıştır

Sustainability of current account deficits in Turkey before and after inflation targeting regime

Bu çalışmanın amacı, Türkiye’de dönemler arası cari hesap modelinin geçerliliğini doğrusal olmayan zaman serisi tekniğine dayanan alternatif birim kök testlerini kullanarak analiz etmektir. Bu amaca yönelik olarak, cari işlemler dengesinin GSYİH’ya oranı değişkeni için 1987:1 ve 2012:1 dönemine ait çeyrek yıllık veriler analizde kullanılmaktadır. Bu çalışmadaki analiz sonucunda, dönemler arası cari hesap modelinin enflasyon hedeflemesi rejimi öncesi dönemde (1987:1-2001:4) geçerli olduğu, bunun aksine enflasyon hedeflemesi rejimi sonrası dönemde ise (2002:1-2012:1) geçersiz olduğu bulgusuna ulaşılmıştır. Diğer bir ifadeyle, enflasyon hedeflemesi rejimi öncesi dönem için Türkiye’de cari işlemler dengesi açıklarının sürdürülebilir nitelikte iken, enflasyon hedeflemesi rejimi sonrası dönemde ise sürdürülemez nitelikte olduğu sonucuna varılmıştır. Bu bulgular, politika yapıcının günümüzde cari işlemler dengesi açıklarına odaklanması gerektiğini ortaya koymaktadır.ABSTRACT The objective of this paper is to analyze validity of the intertemporal current account model by using alternative unit root tests based on nonlinear time series technique in Turkey. For this purpose, We used quarterly data for the ratio of current occount balance to GDP variable in 1987:1 2012:1 period. Through the empirical analysis in this study, it is found out that the intertemporal current account model is valid in the period before the inflation targeting regime (1987:1-2001:4). In contrast,it is not valid in the after before the inflation targeting regime ((2002:1-2012:1)). In other words, We conclude that current account deficits are unsustainable after the inflation targeting regime while this deficits are sustainable before it. These findings suggest that policymakers should focus on account balance deficits in toda

A glance to "2020-2022 economic programme targets" within the framework of current structure of Turkish economy

Macroeconomic stability means internal and external balance in a country occurs simultaneously. Internal equilibrium is defined as price stability in a narrow sense, and full employment with price stability in a broad sense. Basic macroeconomic indicators of internal balance are inflation, growth, employment. The external balance refers to the balance of payments in the broad sense and the balance of the foreign trade in the narrow sense. In order to ensure macroeconomic stability in the economy, monetary, fiscal, foreign exchange and income policies are implemented. The success of these policies is measured by the level of realization of the targets on macroeconomic indicators. In this context, recently put forward "2020-2022 Economic Program Goals" to be considered under Turkey's overall economic situation constitutes the main purpose of the study. As a result of the evaluation, it can be said that the growth, inflation, public finance targets of the Program are likely to be realized, but the probability of realization of the unemployment and current balance targets will increase depending on the stability of the steps to be taken. Consequently, realization of these goals will also point out that Turkey enters to structural transformation process which is expected

The analysis of the short-term capital movements by using the var model: The case of Turkey

This paper investigates the relations among short-term capital inflows, government deficit, interest rate differentials, real exchange rate and some accounts of the balance of payments in Turkey in 1990s by using the vector autoregression (VAR) technique. The dynamic behaviours of each variable due to random shocks given to short-term foreign liabilities are captured by impulse response functions, and the portion of variance in the prediction for each variable in the system that is attributable to its own innovations and to shocks to other variables in the system is analysed by variance decomposition method. It is found that the policy of high interest-low exchange rate (hot money) is the main reason for the short-term capital inflows in Turkey, and we propose some main controls on capital inflows to limit some of the macroeconomic repercussions of these inflows

Küresel finansal kriz ışığında Avrupa borç krizi ve kredi temerrüt swapları i̇lişkisi

Bu çalışmada 2008 finansal krizinin Avrupa Birliği’nin kamu borcuna etkisi ve Avrupa borç krizi ile kredi temerrüt swapları ilişkisi incelenmiştir. 2008 krizi karmaşık ve yüksek hacimli türev ürünleri kapsaması nedeniyle diğer krizlerden ayrılmaktadır. Türev piyasasında en çok alınıp satılan ürün olan kredi temerrüt swapları koruma satın alan tarafın referans varlık ile yükümlülüklerin yerine getirilememesine karşı koruma satan tarafa belirli vadelerle ödeme yaptığı sözleşmelerdir. Ülkelerin borçlarını geri ödeyememe riski ile kredi temerrüt swapları arasında pozitif bir ilişki vardır. Bu çalışmada 2004:Q1-2011:Q2 döneminde Avrupa Birliği üyesi 14 ülkenin kredi temerrüt swapları ile Kamu Borcu/GSYİH ilişkisi panel data analizi ile incelenmiştir. Ayrıca 2008 finansal krizinin etkisini görmek amacıyla bir “finansal kriz indeksi” hesaplanmış ve açıklayıcı değişken olarak modele dâhil edilmiştir. Sabit etki modelinin tahmin sonuçlarına göre Kamu Borcu/GSYİH oranındaki bir birimlik artışın CDS oranlarını 11,9 birim artırdığı, finansal kriz indeksindeki bir birimlik artışın ise CDS oranlarını 5,6 birim artırdığı sonucuna ulaşılmıştır

The economic determinants of foreign direct investment in developing countries and transition economies

The economic growth rates have dramatically increased in developing economies, such as in Latin American, Asian, and Eastern European countries, following the financial liberalisation attempt, especially during the 1990s. Foreign direct investment (FDI) has become an increasingly important element for economic development and integration of developing countries and transition economies in this period with the world economy. The main purpose of this study is to develop an empirical framework to estimate the economic determinants of FDI inflows by employing a panel data set of 17 developing countries and transition economies for the period of 1989:01-2006:04. In our model there are seven explanatory economic variables. They are, respectively, the previous period FDI (the pull factor for new FDI), GDP growth (measures market size), Wage (unit labour costs), Trade Rate (measures the openness of countries), the real interest rates (measures macroeconomic policy), inflation rate (as country risk and macroeconomic policy), and domestic investment (Business Climate). Hence, throughout the paper, only the economic determinants (being separated and apart from the other studies in the literature) of FDI inflows to developing countries and transition economies are studied. It is found out that the previous period FDI which is directly related to the host countries' economic resources is important as an economic determinant. Besides, it is also understood that the main determinants of FDI inflows are the inflation rate, the interest rate, the growth rate, and the trade (openness) rate and FDI inflows give power to the economies of host countries