Capital flows under global uncertainties: evidence from Turkey

Oğuzhan Çepni; Mehmet Selman Çolak; Yavuz Selim Hacıhasanoğlu; Muhammed Hasan Yılmaz

doi:10.1016/j.bir.2020.09.009

Capital flows under global uncertainties: evidence from Turkey

Oğuzhan Çepni, Mehmet Selman Çolak, Yavuz Selim Hacıhasanoğlu, Muhammed Hasan Yılmaz

Finance (Business School)

Research output: Contribution to journal › Article › peer-review

Abstract

This paper investigates the effects of global economic uncertainty and trade policy–related uncertainty in the US in predicting the bond and equity flows to Turkey during the period from January 2008 to November 2019. We use the time-varying Granger-causality test to assess the ability of economic policy uncertainty and capital flows to forecast Turkish equity and bond markets using fund-level data on bond and equity inflows compiled by the Emerging Portfolio Fund Research (EPFR) global database. Although we found no evidence of causality in the standard Granger-causality test, the time-varying robust causality test detects significant episodes that imply a causal relationship between capital flows and uncertainty indexes, especially during the global financial crisis and the election of the Trump administration.

Original language	English
Pages (from-to)	175-185
Number of pages	11
Journal	Borsa Istanbul Review
Volume	21
Issue number	2
Early online date	6 Oct 2020
DOIs	https://doi.org/10.1016/j.bir.2020.09.009
Publication status	Published - Jun 2021

Keywords

Capital flows
Global economic policy uncertainty
Time-varying multivariate causality
Trade policy uncertainty in the United States

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Çepni_2020_BSR_Capitalflows_CC
Copyright © 2020, Borsa Istanbul Anonim Sirketi. Production and hosting by Elsevier B.V. This is an open access article under the CC BY-NC-ND license (http://creativecommons.org/licenses/by-nc-nd/4.0/).
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Cite this

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abstract = "This paper investigates the effects of global economic uncertainty and trade policy–related uncertainty in the US in predicting the bond and equity flows to Turkey during the period from January 2008 to November 2019. We use the time-varying Granger-causality test to assess the ability of economic policy uncertainty and capital flows to forecast Turkish equity and bond markets using fund-level data on bond and equity inflows compiled by the Emerging Portfolio Fund Research (EPFR) global database. Although we found no evidence of causality in the standard Granger-causality test, the time-varying robust causality test detects significant episodes that imply a causal relationship between capital flows and uncertainty indexes, especially during the global financial crisis and the election of the Trump administration.",

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Capital flows under global uncertainties: evidence from Turkey

Abstract

Keywords

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