Türkiye’de Yabancı Portföy Yatırımları ve Döviz Kuru Volatilitesi Arasındaki Simetrik ve Asimetrik Nedensellik İlişkisi
Symmetrical and Asymmetrical Causality Relationship between Foreign Portfolio Investments and Exchange Rate Volatility in Türkiye

Author(s): Deniz Sevinc, Aylin Koca
Subject(s): Economy, National Economy, Economic policy, Economic development
Published by: Özgür Yayın Dağıtım Ltd. Şti.
Keywords: Turkey; Foreign Portfolio Investments; Exchange Rate Volatility;
Summary/Abstract: The primary objective of this study is to empirically examine the causal relationship between foreign portfolio investments and exchange rate volatility in the Turkish economy. This study uses quarterly data covering the period from 1994Q1 to 2021Q2. To determine exchange rate volatility, the study employs the GARCH(1,1) model and estimates the conditional variance series using the real effective exchange rate series. The results of the bootstrap Toda-Yamamoto analysis indicate a causality relationship from foreign portfolio investments to exchange rate volatility. The Hatemi-J method is utilized to conduct asymmetric causality analysis between the variables, and the findings suggest no asymmetric causality relationship between exchange rate volatility and foreign portfolio investments. Based on the empirical evidence, this study concludes that foreign portfolio investments significantly impact exchange rate volatility. Therefore, appropriate policies concerning portfolio investments are necessary to reduce the volatility in the exchange rate.

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