Capital flows under global uncertainties : evidence from Turkey
Date
06/2021Keywords
Metadata
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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.
Citation
Çepni , O , Çolak , M S , Hacıhasanoğlu , Y S & Yılmaz , M H 2021 , ' Capital flows under global uncertainties : evidence from Turkey ' , Borsa Istanbul Review , vol. 21 , no. 2 , pp. 175-185 . https://doi.org/10.1016/j.bir.2020.09.009
Publication
Borsa Istanbul Review
Status
Peer reviewed
ISSN
2214-8450Type
Journal article
Rights
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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