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A Structural VAR Analysis of the Determinants of Capital Flows into Turkey

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  • Ali Askin Culha

Abstract

Since the beginning of 1990s, Turkey has been exposed to large amounts of capital flows with significant effects on the economic performance. This study examines the determinants of capital flows into Turkey in the traditional 'push-pull' factors approach. To this end, a structural vector autoregression (SVAR) model has been employed and impulse-response and variance decomposition functions have been produced covering the period from 1992:01 to 2005:12. The same analysis has also been carried out for the two sub-periods 1992:01-2001:12 and 2002:01-2005:12 to inspect if there exists a change in the roles of push and pull factors before and after the 2001 economic crisis. The empirical evidence suggests that the relative roles of some of the factors have changed considerably in the post crisis period and pull factors are in general dominant over push factors in determining capital flows into Turkey.

Suggested Citation

  • Ali Askin Culha, 2006. "A Structural VAR Analysis of the Determinants of Capital Flows into Turkey," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 6(2), pages 11-35.
    • Handle: RePEc:tcb:cebare:v:6:y:2006:i:2:p:11-35
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    References listed on IDEAS

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    Cited by:

    1. Milena Lipovina-Božoviæ & Maja Ivanoviæ, 2018. "Capital flows in Montenegro: SVAR model," Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics, University of Rijeka, Faculty of Economics and Business, vol. 36(2), pages 647-675.
    2. Insukindro INSUKINDRO & Arti ADJI & Aryo ALIYUDANTO, 2016. "Analysis of the Unanticipated Factors in Portfolio Inflows to Indonesia: A SVAR Approach: 2001-2012," Journal of Economics Library, KSP Journals, vol. 3(2), pages 327-341, June.
    3. Coskun, Yener, 2010. "An Analysis of the Strenghts and Weaknesses of the Turkish Real Estate Market," MPRA Paper 28361, University Library of Munich, Germany.
    4. Sumru Altug & Erhan Uluceviz, 2011. "Leading Indicators of Real Activity and Inflation for Turkey, 2001-2010," Koç University-TUSIAD Economic Research Forum Working Papers 1134, Koc University-TUSIAD Economic Research Forum.
    5. Fiskara Indawan & Sri Fitriani & Meily Ika Permata & Indriani Karlina, 2013. "Capital Flows in Indonesia: the Behavior, the Role, and Its Optimality Uses for the Economy," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 15(3), pages 23-54, January.

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    More about this item

    Keywords

    Capital Flows; Push and Pull Factors; Structural Vector Autoregression;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • F32 - International Economics - - International Finance - - - Current Account Adjustment; Short-term Capital Movements

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