Publication: Kısa süreli sermaye hareketleri ve temel makroekonomik değişkenler arasındaki ilişkilerin ekonometrik analizi
Abstract
Bu çalışmanın temel amacı, kısa süreli sermaye hareketleri ve temel makro ekonomik değişkenler arasındaki ilişkileri ekonometrik olarak araştırmaktır. Kısa süreli sermaye hareketleri, küreselleşme akımıyla oluşan mali piyasalardaki serbestleşmenin bir sonucudur. Kısa süreli sermaye hareketleri, mali piyasalar arasında, serbestleşme ve iletişim teknolojisinin sağladığı kolaylıklarla hızlı bir şekilde hareket edebilmektedir.. Kısa süreli sermaye hareketleri temel makro ekonomik göstergelerinde ve dengelerinde -çok kısa sürelerde çok büyük meblağlarla girip çıkabilmesiyle- istikrarsızlık yaratabilme potansiyeli bulunmaktadır. Tezin iktisat ayağı ile temel analiz yapıldıktan sonra, değişkenlere ait istatistiki veriler derlenerek, ekonometrik analize tabii tutulmuştur. Değişkenler için durağanlık, kointegrsayon, nedensellik ve VAR (vector autoregression) analizleri yapılmıştır. Hazine faizi, borsa indeksi, reel dolar kuru, para arzı, altın değişkenleri birinci mertebeden fark durağan bir eğilim gösterirlerken, kısa süreli sermaye hareketleri değişkeni, düzey seviyesinde durağandır. Kointegrasyon analizi yapıldığında ise sıcak para, reel kur ve hazine faizlerinin birlikte, kointegre (eş bütünlenen) olduklarını ve aynı şekilde, kısa süreli sermaye hareketleri , para arzı ve altın değişkenlerinin de kointegre olduklarını görüyoruz.. Bu durumda kointegre olan bu değişken setlerinin uzun dönemde birlikte hareket etme eğiliminde oldukları sonucuna ulaşmaktayız. Yaptığımız ikili ve çoklu nedensellik analizi sonuçlarından elde ettiğimiz bazı bulgular şunlardır: %5 hata payı ile kur ve faiz, kısa süreli sermaye hareketlerinin sebebidir; kısa süreli sermaye hareketleri ve faiz, kurun sebebidir; sermaye hareketleri ve reel dolar kuru hazine faizlerinin nedeni değildir; portföy yatırımları %5 hata payı ile borsa indeksinin nedenidir, fakat borsa indeksi portföy yatırımlarının nedeni değildir Değişkenler için yapılan var modeli tahminlerinde de değişkenler arasındaki etki tepki fonksiyonları ve varyans ayrıştırması analiz edilmiştir.
The main objective of this study is to investigate the relationships between short-term capital flows and main macroeconomic variables in terms of econometric. Short term capital flows have resulted from the liberalization in financial markets which has been occuring by globalization movement. Short term capital flows is able to move fastly through financial markets by the facilities from communication technology and liberalization. Short term capital movements have a potantial to unstabilize the main economic indicators and balances of countries by the result of inflowing and outflowing sharply in huge amounts in so little time. Having been completed economical analysis for the thesis, statical data by putting in order was anaylzed in terms of econometric. Stationarity, cointegration, causality and VAR (vector autoregression) analysis for variables collected was done. Time series of the interest rates of treasury bills, stock exchange index, reel exchange rate, money supply (m3y) and gold prices are stationary in first order, the time series of short term capital movemets is stationary in level order. When being analysed the cointegration relationship among the series, short term capital movements, real exchange rate and the interest rates of treasury bills are cointegrated and in the same way short term capital movements, money supply and golden prices series are cointegrated. In this case, we conclude that those variables sets cointegrated have a tendency to move together in long-run. Some results obtained from the analysis of double and multiple causality are that : At % 5 significance level, exchange rate and interest rate cause short-term capital movements; short capital movements and interest rate cause exchange rate; short term capital movements and exchange rate do not cause the interest rates; portfolio investments causes stock exchange index on the contrary stock exchange index does not. In VAR analysis for time series of variables collected, impulse-response functions and variance decomposition were analyzed.
The main objective of this study is to investigate the relationships between short-term capital flows and main macroeconomic variables in terms of econometric. Short term capital flows have resulted from the liberalization in financial markets which has been occuring by globalization movement. Short term capital flows is able to move fastly through financial markets by the facilities from communication technology and liberalization. Short term capital movements have a potantial to unstabilize the main economic indicators and balances of countries by the result of inflowing and outflowing sharply in huge amounts in so little time. Having been completed economical analysis for the thesis, statical data by putting in order was anaylzed in terms of econometric. Stationarity, cointegration, causality and VAR (vector autoregression) analysis for variables collected was done. Time series of the interest rates of treasury bills, stock exchange index, reel exchange rate, money supply (m3y) and gold prices are stationary in first order, the time series of short term capital movemets is stationary in level order. When being analysed the cointegration relationship among the series, short term capital movements, real exchange rate and the interest rates of treasury bills are cointegrated and in the same way short term capital movements, money supply and golden prices series are cointegrated. In this case, we conclude that those variables sets cointegrated have a tendency to move together in long-run. Some results obtained from the analysis of double and multiple causality are that : At % 5 significance level, exchange rate and interest rate cause short-term capital movements; short capital movements and interest rate cause exchange rate; short term capital movements and exchange rate do not cause the interest rates; portfolio investments causes stock exchange index on the contrary stock exchange index does not. In VAR analysis for time series of variables collected, impulse-response functions and variance decomposition were analyzed.