A Structural VAR Analysis of the Determinants of Capital Flows Into Turkey
AbstractSince 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.
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Bibliographic InfoPaper provided by Research and Monetary Policy Department, Central Bank of the Republic of Turkey in its series Working Papers with number 0605.
Date of creation: 2006
Date of revision:
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Capital Flows; Push and Pull Factors; Structural Vector Autoregression;
Find related papers by 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
- F32 - International Economics - - International Finance - - - Current Account Adjustment; Short-term Capital Movements
This paper has been announced in the following NEP Reports:
- NEP-ALL-2006-11-18 (All new papers)
- NEP-CWA-2006-11-18 (Central & Western Asia)
- NEP-MAC-2006-11-18 (Macroeconomics)
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