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ANALYSIS OF INTERNATIONAL PORTFOLIO FLOWS BY GRAVITY MODEL: THE CASE OF TURKEY

Year 2017, Volume: 35 Issue: 2, 49 - 70, 30.06.2017

Nalan Işık Metin Yıldırım

https://doi.org/10.17065/huniibf.324764
Cited By: 1

Abstract

In
recent years, with the increase in portfolio flows on a global scale, Turkey
has become one of the countries attracting international portfolio flows. In
this context, the study aimed to investigate the international portfolio flows
in Turkey and the factors affecting these flows. For this, portfolio flows
between Turkey and selected thirty-two countries between 2001 and 2014 were
analyzed by panel data method using gravity model. According to the estimation
results, the gross domestic product of selected thirty-two countries, the ratio
of market capitalization to gross domestic product and secure internet
providers positively affect bilateral portfolio flows. However, the same
variables for Turkey were not found statistically significant. The effect of
the distance factor was negative in accordance with the literature. Moreover,
the presence of bank branches in Turkey in these countries positively
influenced portfolio flows between Turkey and the selected thirty-two
countries, but no evidence of the impact of the 2007-2008 global financial
crisis was reached.

Keywords

International portfolio flows Turkey gravity model panel data analysis

References

  • Aggarwall, R., C. Kearney, B. Lucey (2012), “Gravity, Culture in Foreign Portfolio Investment”, Journal of Banking & Finance, 36, 525-538.
  • Aksaraylı, M., Ö. Tuncay (2009), “Kısa Vadeli Sermaye Girişi Modellemesi: Türkiye Örneği”, Dokuz Eylül Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 24(1), 105-122.
  • Anderson, J. (1979), “A Theoretical Foundation for the Gravity Equation”, American Economic Review, 69, 106-116. Arrow, K.J., F.H. Hahn (1971), General Competitive Analysis, San Francisco: Holden Day.
  • Aviat, A., Coerdacier, N. (2007), “The Geography of Trade in Goods and Asset Holding”, Journal of International Economics, 71(1), 22-51.
  • Bergstrand, J.H. (1985), “The Gravity Equation in International Trade: Some Microeconomic Foundations and Empirical Evidence”, Review of Economics and Statistics, 67(3), 474-481.
  • Berkel, B. (2006), “The EMU and German Cross Border Portfolio Flows”, Mannheim Research Institute for the Economics of Aging Working Papers, , Mannheim: MADOC publication.
  • Chitu, L., B. Eichengreen, A., Mehl (2012), “History, Gravity, İnternational Finance”, European Central Bank Working Papers Series, 1466, 37p, https://www.ecb.europa.eu/pub/pdf/ scpwps/ecbwp1466.pdf?2bf8e2c7c123abfec03185ee8d7844cc, (E.T.: 02. 03.2016).
  • Choi,C., D.E. Rhee, Y. Oh (2014), “Information and Capital Flows Revisited: The Internet as a Determinant of Transaction in Financial Assets”, Economic Modelling, 40, 191-198.
  • Deardorf, A.V. (1995), “Determinants of Bilateral Trade: Does Gravity Work in a Neoclassical World?”, NBER Working Papers, No: 5377, Cambridge: University of Chicago Press.
  • Devereux, M.B., G.W. Smith (1994), "International Risk Sharing and Economic Growth", International Economic Review, 35(4), 535-550.
  • Doğru, B. (2012), “ABD ve AB Bölgesindeki Bir Finansal Krizin Türkiye’ye Etkileri”, Dumlupınar Üniversitesi Sosyal Bilimler Dergisi, 33, 112-123.
  • Eichengreen, B. (2000), “Taming Capital Flows”, World Development, 28(6), 1105-1116.
  • Flavin, T.J., M.J. Hurley, F. Rousseau (2002), “Explaning Stock Market Correlation: A Gravity Model Approach”, The Manchester School Supplement, 70, 87-106.
  • Galstyan, V., P.R. Lane (2013), “Bilateral Portfolio Dynamics During the Global Financial Crisis”, European Economic Review, 57, 63-74.
  • Güneş, S. (2007), “Uluslararası Sermaye Hareketlerini Etkileyen Faktörler: Türkiye Örneği”, Sosyoekonomi, 5(5), 11-32.
  • Huang, J.C., A. Ateş (2006), “Measuring Emerging Stock Market Correlations Utilizing The Gravity Model” , Journal of Economics and Economic Education Research, 7(3), 71-86.
  • http://bddk.org.tr (E.T.: 12.01.2016)
  • http://cpis.imf.org/ (E.T.: 24.01.2016)
  • http://www.data.worldbank.org (E.T.: 25.012016)
  • http://www.mapcrow.info (E.T.: 18.01.2016)
  • IMF Survey Magazine: Policy (14 Ocak 2016), Financial Leviathans Under Review in 2016, http://www.imf.org/external/pubs/ft/survey/so/2016/POL011416A.htm, (22.01.2016).
  • Kansu, A., C.M. Baydur (2008), “Faiz Düzeyinin Döviz Krizini Önlemedeki Rolü: Türkiye Şubat 2001 Krizinin Değerlendirilmesi”, Gazi Üniversitesi, İktisadi ve İdari Bilimler Fakültesi Dergisi, 10(1), 1-23.
  • Kugler, M., O. Levintal, H. Rappaport (2013), “Migration and Cross-Border Financial Flows”, Institute for the Study of Labor (IZA), IZA Discussion Paper, No. 7548, 32p., http://hdl.handle.net/10419/90017, (01.02.2016).
  • Lane, P.R., G.M. Milessi-Ferretti (2008), “International Investment Patterns”, The Review of Economics and Statistics, 90(3), 538-549.
  • Lee, H.H., H.S. Huh, W.J. Kim (2012), “Cross-Border Portfolio Investment in the APEC Region”, Japan and the World Economy, 24, 44-56.
  • Linnamann, H. (1966), An Econometric Study of International Trade Flows, Amsterdam: North Holland Publishing Company.
  • McKinnon, R.I. (1973), Money&Capital in Economic Development, Washington D.C.: The Brookings Institution Mankiw, G. (2010), Makro Ekonomi, (Çev. Ö.Faruk Çolak), Ankara: Efil Yayınevi.
  • Martin, P., H. Rey (2004), “Financial Super Market: size Matters for Asset Trade”, Journal of International Economics, 64(2), 335-361. Milessi-Ferretti, G. M., Tille, C. (2011), “The Great Retrenchment: International Capital Flows During the Global Financial Crisis”, Economic Policy, 26(66), 289-346.
  • Okowa,Y., V.E. Wincoop (2010), “Gravity in International Finance”, Hong Kong Institute for Monetary Research, Working Paper, No.07/2010, 61p.
  • Obstfeld, M. (1994), "Risk-Taking, Global Diversification, and Growth", American Economic Review, 84 (5), 1310-1329.
  • Pazarlıoğlu, M.Vedat, E. Gülay (2007), “Net Portföy Yatırımları İle Reel Faiz Oranı Arasındaki İlişki: Türkiye Örneği – 1992:1 – 2005:4”, Dokuz Eylül Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 9(2), 201-221.
  • Portes, R., H. Rey (1998), “The Euro and International Equity Flows”, Journal, of Japanese and International Economics, 12(4), 406-423.
  • Portes, R., H. Rey (2005), “The Determinants of Cross-Border Equity Flows” Journal of International Economics, 65(2), 269-296.
  • Rosati, S., S.Secola (2006), “Explaining Cross-Border Large-Value Payment Flows: Evidence from TARGET and EURO1 data”, Journal of Banking&Finance, 30(6), 783-796.
  • Sachs, J., A. Tornell, A. Velasco (1996), “Financial crises in emerging markets: the lessons from 1995,” National Bureau of Economic Research, No. 5576, 65p.
  • Shaw, E.S. (1973), Financial Deepening in Economic Developement, Inc, New York: Oxford University Press. Tatoğlu, F.Y. (2013), Panel Veri Ekonometrisi Stata Uygulamalı, İstanbul: Beta.
  • Tinbergen, J. (1962), An Analysis of World Trade Flows, New York: The Twentieth Century Fund, 262-293.
  • The World Bank (2016), Global Economic Prospects Spillover Amid Weak Growth, World Bank Group, Washington, 86, http://www.worldbank.org/, (E.T.: 22.01.2016).

ULUSLARARASI PORTFÖY AKIMLARININ ÇEKİM MODELİ İLE ANALİZİ: TÜRKİYE ÖRNEĞİ

Year 2017, Volume: 35 Issue: 2, 49 - 70, 30.06.2017

Nalan Işık Metin Yıldırım

https://doi.org/10.17065/huniibf.324764
Cited By: 1

Abstract

Son
dönemlerde küresel ölçekte portföy akımlarının artmasıyla Türkiye de
uluslararası portföy akımlarını çeken ülkeler arasına girmiştir. Bu bağlamda
çalışma, Türkiye’deki uluslararası portföy akımları ile bu akımları etkileyen
faktörlerin araştırılmasını hedeflemiştir. 
Bunun için 2001-2014 yılları arasında Türkiye ile seçilmiş otuz iki ülke
arasındaki portföy akımları, çekim modeli kullanılarak panel veri yöntemi ile
analiz edilmiştir. Tahmin sonuçlarına göre, seçilmiş otuz iki ülkenin gayrisafi
yurtiçi hâsılaları, piyasa kapitalizasyonlarının gayrisafi yurt içi hasılaya
oranları ve güvenli internet sunucuları, iki taraflı portföy akımlarını olumlu
etkilemektedir. Buna karşın Türkiye’ye ait aynı değişkenler istatistiksel
olarak anlamlı bulunamamıştır. Uzaklık faktörünün etkisi, literatüre uygun
olarak olumsuz saptanmıştır. Ayrıca, bu ülkelerin Türkiye’de banka şubelerinin
bulunması, Türkiye ile seçilmiş otuz iki ülke arasındaki portföy akımlarını
pozitif etkilerken, 2007-2008 küresel finans krizinin etkisine dair bir kanıta
ulaşılamamıştır.

Keywords

Uluslararası portföy akımları Türkiye çekim modeli panel veri analizi

References

  • Aggarwall, R., C. Kearney, B. Lucey (2012), “Gravity, Culture in Foreign Portfolio Investment”, Journal of Banking & Finance, 36, 525-538.
  • Aksaraylı, M., Ö. Tuncay (2009), “Kısa Vadeli Sermaye Girişi Modellemesi: Türkiye Örneği”, Dokuz Eylül Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 24(1), 105-122.
  • Anderson, J. (1979), “A Theoretical Foundation for the Gravity Equation”, American Economic Review, 69, 106-116. Arrow, K.J., F.H. Hahn (1971), General Competitive Analysis, San Francisco: Holden Day.
  • Aviat, A., Coerdacier, N. (2007), “The Geography of Trade in Goods and Asset Holding”, Journal of International Economics, 71(1), 22-51.
  • Bergstrand, J.H. (1985), “The Gravity Equation in International Trade: Some Microeconomic Foundations and Empirical Evidence”, Review of Economics and Statistics, 67(3), 474-481.
  • Berkel, B. (2006), “The EMU and German Cross Border Portfolio Flows”, Mannheim Research Institute for the Economics of Aging Working Papers, , Mannheim: MADOC publication.
  • Chitu, L., B. Eichengreen, A., Mehl (2012), “History, Gravity, İnternational Finance”, European Central Bank Working Papers Series, 1466, 37p, https://www.ecb.europa.eu/pub/pdf/ scpwps/ecbwp1466.pdf?2bf8e2c7c123abfec03185ee8d7844cc, (E.T.: 02. 03.2016).
  • Choi,C., D.E. Rhee, Y. Oh (2014), “Information and Capital Flows Revisited: The Internet as a Determinant of Transaction in Financial Assets”, Economic Modelling, 40, 191-198.
  • Deardorf, A.V. (1995), “Determinants of Bilateral Trade: Does Gravity Work in a Neoclassical World?”, NBER Working Papers, No: 5377, Cambridge: University of Chicago Press.
  • Devereux, M.B., G.W. Smith (1994), "International Risk Sharing and Economic Growth", International Economic Review, 35(4), 535-550.
  • Doğru, B. (2012), “ABD ve AB Bölgesindeki Bir Finansal Krizin Türkiye’ye Etkileri”, Dumlupınar Üniversitesi Sosyal Bilimler Dergisi, 33, 112-123.
  • Eichengreen, B. (2000), “Taming Capital Flows”, World Development, 28(6), 1105-1116.
  • Flavin, T.J., M.J. Hurley, F. Rousseau (2002), “Explaning Stock Market Correlation: A Gravity Model Approach”, The Manchester School Supplement, 70, 87-106.
  • Galstyan, V., P.R. Lane (2013), “Bilateral Portfolio Dynamics During the Global Financial Crisis”, European Economic Review, 57, 63-74.
  • Güneş, S. (2007), “Uluslararası Sermaye Hareketlerini Etkileyen Faktörler: Türkiye Örneği”, Sosyoekonomi, 5(5), 11-32.
  • Huang, J.C., A. Ateş (2006), “Measuring Emerging Stock Market Correlations Utilizing The Gravity Model” , Journal of Economics and Economic Education Research, 7(3), 71-86.
  • http://bddk.org.tr (E.T.: 12.01.2016)
  • http://cpis.imf.org/ (E.T.: 24.01.2016)
  • http://www.data.worldbank.org (E.T.: 25.012016)
  • http://www.mapcrow.info (E.T.: 18.01.2016)
  • IMF Survey Magazine: Policy (14 Ocak 2016), Financial Leviathans Under Review in 2016, http://www.imf.org/external/pubs/ft/survey/so/2016/POL011416A.htm, (22.01.2016).
  • Kansu, A., C.M. Baydur (2008), “Faiz Düzeyinin Döviz Krizini Önlemedeki Rolü: Türkiye Şubat 2001 Krizinin Değerlendirilmesi”, Gazi Üniversitesi, İktisadi ve İdari Bilimler Fakültesi Dergisi, 10(1), 1-23.
  • Kugler, M., O. Levintal, H. Rappaport (2013), “Migration and Cross-Border Financial Flows”, Institute for the Study of Labor (IZA), IZA Discussion Paper, No. 7548, 32p., http://hdl.handle.net/10419/90017, (01.02.2016).
  • Lane, P.R., G.M. Milessi-Ferretti (2008), “International Investment Patterns”, The Review of Economics and Statistics, 90(3), 538-549.
  • Lee, H.H., H.S. Huh, W.J. Kim (2012), “Cross-Border Portfolio Investment in the APEC Region”, Japan and the World Economy, 24, 44-56.
  • Linnamann, H. (1966), An Econometric Study of International Trade Flows, Amsterdam: North Holland Publishing Company.
  • McKinnon, R.I. (1973), Money&Capital in Economic Development, Washington D.C.: The Brookings Institution Mankiw, G. (2010), Makro Ekonomi, (Çev. Ö.Faruk Çolak), Ankara: Efil Yayınevi.
  • Martin, P., H. Rey (2004), “Financial Super Market: size Matters for Asset Trade”, Journal of International Economics, 64(2), 335-361. Milessi-Ferretti, G. M., Tille, C. (2011), “The Great Retrenchment: International Capital Flows During the Global Financial Crisis”, Economic Policy, 26(66), 289-346.
  • Okowa,Y., V.E. Wincoop (2010), “Gravity in International Finance”, Hong Kong Institute for Monetary Research, Working Paper, No.07/2010, 61p.
  • Obstfeld, M. (1994), "Risk-Taking, Global Diversification, and Growth", American Economic Review, 84 (5), 1310-1329.
  • Pazarlıoğlu, M.Vedat, E. Gülay (2007), “Net Portföy Yatırımları İle Reel Faiz Oranı Arasındaki İlişki: Türkiye Örneği – 1992:1 – 2005:4”, Dokuz Eylül Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 9(2), 201-221.
  • Portes, R., H. Rey (1998), “The Euro and International Equity Flows”, Journal, of Japanese and International Economics, 12(4), 406-423.
  • Portes, R., H. Rey (2005), “The Determinants of Cross-Border Equity Flows” Journal of International Economics, 65(2), 269-296.
  • Rosati, S., S.Secola (2006), “Explaining Cross-Border Large-Value Payment Flows: Evidence from TARGET and EURO1 data”, Journal of Banking&Finance, 30(6), 783-796.
  • Sachs, J., A. Tornell, A. Velasco (1996), “Financial crises in emerging markets: the lessons from 1995,” National Bureau of Economic Research, No. 5576, 65p.
  • Shaw, E.S. (1973), Financial Deepening in Economic Developement, Inc, New York: Oxford University Press. Tatoğlu, F.Y. (2013), Panel Veri Ekonometrisi Stata Uygulamalı, İstanbul: Beta.
  • Tinbergen, J. (1962), An Analysis of World Trade Flows, New York: The Twentieth Century Fund, 262-293.
  • The World Bank (2016), Global Economic Prospects Spillover Amid Weak Growth, World Bank Group, Washington, 86, http://www.worldbank.org/, (E.T.: 22.01.2016).
There are 38 citations in total.

Details

Journal Section Articles
Authors

Nalan Işık

Metin Yıldırım

Publication Date June 30, 2017
Submission Date March 27, 2016
Published in Issue Year 2017 Volume: 35 Issue: 2

Cite

APA Işık, N., & Yıldırım, M. (2017). ULUSLARARASI PORTFÖY AKIMLARININ ÇEKİM MODELİ İLE ANALİZİ: TÜRKİYE ÖRNEĞİ. Hacettepe Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi, 35(2), 49-70. https://doi.org/10.17065/huniibf.324764
AMA Işık N, Yıldırım M. ULUSLARARASI PORTFÖY AKIMLARININ ÇEKİM MODELİ İLE ANALİZİ: TÜRKİYE ÖRNEĞİ. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi. June 2017;35(2):49-70. doi:10.17065/huniibf.324764
Chicago Işık, Nalan, and Metin Yıldırım. “ULUSLARARASI PORTFÖY AKIMLARININ ÇEKİM MODELİ İLE ANALİZİ: TÜRKİYE ÖRNEĞİ”. Hacettepe Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi 35, no. 2 (June 2017): 49-70. https://doi.org/10.17065/huniibf.324764.
EndNote Işık N, Yıldırım M (June 1, 2017) ULUSLARARASI PORTFÖY AKIMLARININ ÇEKİM MODELİ İLE ANALİZİ: TÜRKİYE ÖRNEĞİ. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi 35 2 49–70.
IEEE N. Işık and M. Yıldırım, “ULUSLARARASI PORTFÖY AKIMLARININ ÇEKİM MODELİ İLE ANALİZİ: TÜRKİYE ÖRNEĞİ”, Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, vol. 35, no. 2, pp. 49–70, 2017, doi: 10.17065/huniibf.324764.
ISNAD Işık, Nalan - Yıldırım, Metin. “ULUSLARARASI PORTFÖY AKIMLARININ ÇEKİM MODELİ İLE ANALİZİ: TÜRKİYE ÖRNEĞİ”. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi 35/2 (June 2017), 49-70. https://doi.org/10.17065/huniibf.324764.
JAMA Işık N, Yıldırım M. ULUSLARARASI PORTFÖY AKIMLARININ ÇEKİM MODELİ İLE ANALİZİ: TÜRKİYE ÖRNEĞİ. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi. 2017;35:49–70.
MLA Işık, Nalan and Metin Yıldırım. “ULUSLARARASI PORTFÖY AKIMLARININ ÇEKİM MODELİ İLE ANALİZİ: TÜRKİYE ÖRNEĞİ”. Hacettepe Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi, vol. 35, no. 2, 2017, pp. 49-70, doi:10.17065/huniibf.324764.
Vancouver Işık N, Yıldırım M. ULUSLARARASI PORTFÖY AKIMLARININ ÇEKİM MODELİ İLE ANALİZİ: TÜRKİYE ÖRNEĞİ. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi. 2017;35(2):49-70.

Cited By

BİLGİ MALİYETLERİNİN TÜRKİYE’NİN ULUSLARARASI HİSSE SENEDİ YATIRIMLARINA ETKİSİ
Nevşehir Hacı Bektaş Veli Üniversitesi SBE Dergisi
https://doi.org/10.30783/nevsosbilen.914926

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