Effects of Capital Flows on Carry Trade Activities: The Case of Turkey

Year 2019, Volume: 27 Issue: 42, 51 - 66, 31.10.2019

Aydanur Gacener-atış , Deniz Erer

https://doi.org/10.17233/sosyoekonomi.2019.04.03

Cited By: 1

Abstract

Carry trade is described as the capital flow coming into a country based on interest rate differential. A negative change in capital flow affects carry trade activities negatively, which in turn distorts particually the exchange rate and the financial stability of a country. In order to examine the effects of capital flows on carry trade in Turkey for different states of its economy (e.g. contraction or expansion) between January 2005 and April 2018, Markov Switching Vector Autoregressive Model (MSVAR) is employed. According to the findings, an increase in capital flows in the previous period enhances carry trade activity in the current period when expansion regime is in effect. However, for the contraction regime, no evidence is found toward a significant relationship between carry trade and capital flows. Moreover, it is seen that exchange rate uncertainty is considered as an important risk factor by investors in contraction periods when risk aversion levels of investors are high.

Keywords

Carry Trade, Capital Flows, MSVAR, Economic Cycle

Sermaye Akımlarının Ara Kazanç Ticareti Faaliyetlerine Etkileri: Türkiye Örneği

Abstract

Ara kazanç ticareti, bir ülkeye faiz oranı farkına bağlı olarak giren sermaye akımlarıdır. Bu akımlardaki olumsuz gelişmeler, ara kazanç ticaretinin ani bir şekilde tersine dönmesine neden olmakta; bu ise başta döviz kurları olmak üzere finansal istikrarı olumsuz yönde etkilemektedir. Bu doğrultuda, çalışmada, Türkiye’de Ocak 2005-Nisan 2018 döneminde gerçekleşen sermaye akımlarının ara kazanç ticareti faaliyeti üzerindeki etkileri, Markov Rejim Değişimi Vektör Otoregresif Model (MSVAR) yöntemi kullanılarak ekonominin genişleme ve daralma gibi farklı ekonomik konjonktürleri için belirlenmiş ve ekonomik rejimler arasındaki fark ortaya konulmuştur. Çalışmanın bulgularına göre, ekonomi genişleme döneminde iken, bir önceki dönem sermaye akımlarında meydana gelen artışın cari dönemde ara kazanç ticareti faaliyetini artırdığı; ekonomi daralma döneminde iken, sermaye akımlarının ara kazanç ticareti faaliyeti üzerinde anlamlı bir etkisinin olmadığı bulgusuna ulaşılmıştır. Ayrıca, yatırımcıların riskten kaçınma düzeylerinin yüksek olduğu ekonomik daralma dönemlerinde, döviz kuru belirsizliğinin önemli bir risk unsuru olarak algılandığı sonucuna ulaşılmıştır.

Keywords

Ara Kazanç Ticareti, Sermaye Akımları, Ekonomik Konjonktür, MSVAR

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