Kısa Vadeli Sermaye Hareketleri Faiz Oranları ARDL Toda-Yamamoto Nedensellik Analizi Etki-Tepki Analizi Short-Term Capital Movements Interest Rates Toda-Yamomoto Causality Test Impulse-Response Analysis
Emerging market economies can increase their interest rates to obtain the capital they need from foreign countries in order to realize their economic development. However, short-term foreign movements that come to the country as a result of interest rates can cause devastating results as they can suddenly exit to other countries with higher interest rates. In this study, the relationships between short-term capital movements towards Turkey and the Central Bank policy interest rate, deposit interest rate and discount interest rate are empirically examined with quarterly data for the period 1991:4-2021:1. Empirical analyses were utilized by bound test, Autoregressive Distributed Lag (ARDL) model, Toda-Yamamoto causality test and impulse-response analysis. According to the results, interest rates affect short-term capital movements statistically significantly and positively in the short run and there is a unidirectional causal relationship from interest rates to capital movements. Additionally, capital movements gave significanty positive responses to interest rate shocks in the second period. Therefore, it is very important to reduce the short-term capital dependent structure determined as a result of the analysis in order to avoid the negative consequences of interest rate changes in the future.
Short-Term Capital Movements Interest Rates Toda-Yamomoto Causality Test Impulse-Response Analysis
Primary Language | Turkish |
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Journal Section | Articles |
Authors | |
Publication Date | December 27, 2022 |
Submission Date | December 5, 2021 |
Published in Issue | Year 2022 Volume: 40 Issue: 4 |
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