Capital flows under global uncertainties: Evidence from Turkey
| Autor: | Muhammed Hasan Yilmaz, Yavuz Selim Hacihasanoglu, Mehmet Selman Colak, Oguzhan Cepni |
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| Přispěvatelé: | University of St Andrews. School of Management |
| Jazyk: | angličtina |
| Rok vydání: | 2021 |
| Předmět: |
Macroeconomics
Turkish Global economic policy uncertainty HB 0502 economics and business Economics 050207 economics Capital flows C32 General Environmental Science E32 HB Economic Theory 050208 finance Time-varying multivariate causality Economic uncertainty Bond 05 social sciences Equity (finance) Trade policy uncertainty in the United States 3rd-DAS NIS language.human_language Financial crisis HG1-9999 language General Earth and Planetary Sciences Portfolio Bond market Finance |
| Zdroj: | Borsa Istanbul Review, Vol 21, Iss 2, Pp 175-185 (2021) |
| ISSN: | 2214-8450 |
| Popis: | 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. Publisher PDF |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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