SavedAdd your journal

Journals / Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi / 2026 / Cilt: 43 Sayı: 2

Capital Flight Hysteresis and Its Determinants: The Case of Türkiye

Sermaye Kaçışında Histerezis ve Belirleyicileri: Türkiye Örneği

Koray Yıldırım(ÇUKUROVA ÜNİVERSİTESİ)0000-0002-2524-1746
Harun Bal(ÇUKUROVA ÜNİVERSİTESİ)0000-0003-0878-8253
Pages
396–413
Publication Date
2025-06-25
🏛️Bibliographic metadata and full text access for this article are provided via DergiPark.
DergiPark Record ↗
✨

AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

However, the fact that real effective exchange rate-driven capital flight shows long-run spillover effects is a striking finding on the nature of capital flight and hysteresis.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:Hysteresis behaviour in capital flight emerges as a permanent and resilient form of temporary shocks in capital flows.
📊
Key Findings & Data:In our study, smooth transition structural break test and Hatemi-J (2012 and 2016) asymmetric causality tests are used for analyses.
💡
Conclusion & Impact:However, the fact that real effective exchange rate-driven capital flight shows long-run spillover effects is a striking finding on the nature of capital flight and hysteresis.
🔬Design:Araştırma Makalesi
📍Scope:2012 Verileri
⚙️Variables:Sermaye Akışları · Sermaye Kaçışları · Histerezis

Abstract

Hysteresis behaviour in capital flight emerges as a permanent and resilient form of temporary shocks in capital flows. In our study, smooth transition structural break test and Hatemi-J (2012 and 2016) asymmetric causality tests are used for analyses. The findings obtained from the structural break test indicate the presence of a structural break and hysteresis. In the analyses designed to determine the determinants of capital flows, the use of some selected variables considered important was preferred. As empirical and theoretical determinants of capital flows; banking and other sectors indebtedness ratio, inflation rate, real effective exchange rate, VIX volatility index and real interest rate variables were used. Within the framework of the analyses, the existence of an asymmetric relationship between the real effective exchange rate and capital flight was found, whereas this validity was not observed in other variables. When the capital flight hysteresis is evaluated within the scope of push-pull factors, it is observed that it is affected by real effective exchange rate developments. The expected structural movement in capital flight is short-term. The empirical literature also supports this to a large extent. However, the fact that real effective exchange rate-driven capital flight shows long-run spillover effects is a striking finding on the nature of capital flight and hysteresis.

Özet

Sermaye kaçışında histerezis davranış sermaye akışlarında meydana gelen geçici şokların kalıcı ve dirençli formu olarak ortaya çıkmaktadır. Çalışmamızda yumuşak geçişli (smooth transition) yapısal kırılma testi ve Hatemi-J (2012 ve 2016) asimetrik nedensellik testleri analizler için kullanılmıştır. Yapısal kırılma testinden elde dilen bulgular yapısal kırılmanın varlığı ile histerezise işaret etmektedir. Sermaye akışlarının belirleyicilerinin tespiti amacıyla dizayn edilen analizde ise önemli görülen bazı seçilmiş değişkenlerin kullanımı tercih edilmiştir. Sermaye akışları üzerinde ampirik ve teorik belirleyicileri olarak; bankacılık ve diğer sektörler borçluluk oranı, enflasyon oranı, reel efektif döviz kuru, VIX volatilite endeksi ve reel faiz oranı değişkenleri kullanılmıştır. Analizler çerçevesinde Reel efektif döviz kuru ve sermaye kaçışları arasında asimetrik ilişkinin varlığı tespit edilmiş, buna karşın diğer değişkenlerde bu geçerlilik görülememiştir. Sermaye kaçışı histerezisi, itici-çekici faktörler kapsamında değerlendirildiğinde reel efektif döviz kuru gelişmelerinden etkilendiği görülmektedir. Sermaye kaçışında beklenen yapısal hareket kısa dönemlidir. Ampirik literatür de büyük oranda bunu desteklemektedir. Ancak reel efektif döviz kuru kaynaklı sermaye kaçışlarının uzun döneme yayılım etkileri göstermesi, sermaye kaçışlarının doğası ve histerezis üzerine çarpıcı bir bulgudur.

🔖

Cite This Article

Yıldırım, K., Bal, H. (2025). Capital Flight Hysteresis and Its Determinants: The Case of Türkiye. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, Cilt: 43 Sayı: 2, 396–413. https://doi.org/10.17065/huniibf.1523729

📄 Full Text PDF Viewer

📄

PDF görüntüleyici hazırlanıyor...

References (75)

  1. Acharya, S., Bengui, J., Dogra, K., & Wee, S. L. (2022). Slow recoveries and unemployment traps: Monetary policy in a time of hysteresis. The Economic Journal, 132(646), 2007-2047. https://doi.org/10.1093/ej/ueac016
  2. Akduğan, U. (2020). Türkiye’de döviz kuru hareketleri ve kamu borcu ilişkisi. Karadeniz Sosyal Bilimler Dergisi, 12(22), 75-97. https://doi.org/10.38155/ksbd.665188
  3. Aksu, H., & Emsen, Ö. S. (2019). Enflasyon, Faiz ve Döviz Kuru İlişkileri: Türkiye İçin ARDL Analizleri İle Asimetrik Eş-Bütünleşme Araştırması (2003: 01-2017: 12). Ataturk University Journal of Economics & Administrative Sciences, 33(1), 69-90.
  4. Akyüz, Y. (2012). The boom in capital flows to developing countries: Will it go bust again? Ekonomi-tek, 1(1), 63-96.
  5. Alesina, A., & Tabellini, G. (1989). External debt, capital flight and political risk. Journal of International Economics, 27(3-4), 199-220. https://doi.org/10.1016/0022-1996(89)90052-4
  6. Bagnai, A., & Ospina, C. A. M. (2015). Long-and short-run price asymmetries and hysteresis in the Italian gasoline market. Energy Policy, 78, 41-50. https://doi.org/10.1016/j.enpol.2014.12.017
  7. Bhattacharya, R. (1999). Capital flight under uncertainty about domestic taxation and trade liberalization. Journal of Development Economics, 59(2), 365-387. https://doi.org/10.1016/S0304-3878(99)00017-6
  8. Brunnermeier, M. K., Nagel, S., & Pedersen, L. H. (2008). Carry trades and currency crashes. NBER Macroeconomics Annual, 23(1), 313-348. https://doi.org/10.1016/j.jfineco.2025.104075
  9. Caballero, R. J., & Krishnamurthy, A. (2009). Global imbalances and financial fragility. American Economic Review, 99(2), 584-588. https://www.aeaweb.org/articles?id=10.1257/aer.99.2.584
  10. Claessens, S., & Ghosh, S. R. (2013). Capital flow volatility and systemic risk in emerging markets: The policy toolkit. In Canito, O. and Ghosh, S (Eds.) Dealing with the challenges of macro financial linkages in emerging markets. World bank (pp 91-118). http://dx.doi.org/10.1596/978-1-4648-0002-3
  11. Collier, P., Hoeffler, A., & Pattillo, C. (2001). Flight capital as a portfolio choice. The World Bank Economic Review, 15(1), 55-80. https://doi.org/10.1093/wber/15.1.55
  12. Corsetti, G., Pesenti, P., & Roubini, N. (2001). Fundamental determinants of the Asian crisis: the role of financial fragility and external imbalances. In Regional and global capital flows: Macroeconomic causes and consequences (pp. 11-41). University of Chicago Press. Chapter pages in book: (p. 11 - 41) http://www.nber.org/chapters/c10730
  13. Crotty, J., & Epstein, G. (1999). A defense of capital controls in light of the Asian financial crisis. Journal of Economic Issues, 33(2), 427-433. https://doi.org/10.1080/00213624.1999.11506174
  14. Crystal, J. (1994). The politics of capital flight: exit and exchange rates in Latin America. Review of International Studies, 20(2), 131-147. https://doi.org/10.1017/S0260210500117851
  15. Cuddington, J. T. (1986). Capital flight: Estimates, issues, and explanations. No: 58. International Finance Section, Department of Economics, Princeton University.
  16. Dailami, M., & Leipziger, D. (1998). Infrastructure project finance and capital flows: A new perspective. World Development, 26(7), 1283-1298. https://doi.org/10.1016/S0305-750X(98)00054-0
  17. Dargay, J. M. (2001). The effect of income on car ownership: Evidence of asymmetry. Transportation Research Part A: Policy and Practice, 35(9), 807-821. https://doi.org/10.1016/S0965-8564(00)00018-5
  18. Davies, V. A. (2008). Postwar capital flight and inflation. Journal of Peace Research, 45(4), 519-537. https://doi.org/10.1177/0022343308091359
  19. Della Corte, P., Ramadorai, T., & Sarno, L. (2016). Volatility risk premia and exchange rate predictability. Journal of Financial Economics, 120(1), 21-40. https://doi.org/10.1016/j.jfineco.2016.02.015
  20. Dow, J., Han, J., & Sangiorgi, F. (2018). Why is capital slow moving? Liquidity hysteresis and the dynamics of limited arbitrage. The Journal of Finance, 73(1), 229-274.
  21. Edwards, S. (Ed.). (2008). Capital flows and the emerging economies: Theory, evidence, and controversies. University of Chicago Press.
  22. Eichengreen, B. J. (2004). Capital flows and crises. The MIT Press Cambridge, Massachusetts London, England. Epstein, G. A. (Ed.). (2005). Capital flight and capital controls in developing countries.
  23. Fedoseeva, S., & Werner, L. M. (2016). How linear is pricing-to-market? Empirical assessment of hysteresis and asymmetry of PTM. Empirical Economics, 50, 1065-1090. https://doi.org/10.1007/s00181-015-0957-4
  24. Forbes, K. J., & Warnock, F. E. (2012a). Capital flow waves: Surges, stops, flight, and retrenchment. Journal of international economics, 88(2), 235-251. https://doi.org/10.1016/j.jinteco.2012.03.006
  25. Forbes, K. J., & Warnock, F. E. (2012b). Debt-and equity-led capital flow episodes (NBER Working paper No. 18329). https://doi.org/10.3386/w18329
  26. Fratzscher, M. (2009). What explains global exchange rate movements during the financial crisis? Journal of International Money and Finance, 28(8), 1390-1407. https://doi.org/10.1016/j.jimonfin.2009.08.008
  27. Fratzscher, M. (2012). Capital flows, push versus pull factors and the global financial crisis. Journal of International Economics, 88(2), 341-356. https://doi.org/10.1016/j.jinteco.2012.05.003
  28. Federal Reserve Economic Data (FRED) (2024). Data. Retrieved on March 30 2024 from https://fred.stlouisfed.org/
  29. Furuoka, F. (2017). A new approach to testing unemployment hysteresis. Empirical Economics, 53(3), 1253-1280. https://doi.org/10.1007/s00181-016-1164-7
  30. Göcke, M. (2002). Various concepts of hysteresis applied in economics. Journal of Economic Surveys, 16(2), 167-188. https://doi.org/10.1111/1467-6419.00163
  31. Granger CW, Yoon G (2002) Hidden cointegration. University of California, Economics Working Paper, (2002–02). https://doi.org/10.2139/ssrn.313831
  32. Granger, C.W.J. (1969). Investigating Causal Relations by Econometric Models and Crossspectral Methods. Econometrica, 37 (3), 424-438. https://doi.org/10.2307/1912791
  33. Gu, X., & Huang, B. (2011). A new approach to capital flows: Theory and evidence. Economic Modelling, 28(3), 1050-1057. https://doi.org/10.1016/j.econmod.2010.11.023
  34. Harrigan, J., Mavrotas, G., & Yusop, Z. (2002). On the determinants of capital flight: A new approach. Journal of the Asia Pacific Economy, 7(2), 203-241. https://doi.org/10.1080/13547860220134824
  35. Hatemi-j, A. (2012). Asymmetric causality tests with an application. Empirical Economics, 43, 447-456. https://doi.org/10.1007/s00181-011-0484-x
  36. Hatemi-J, A., & El-Khatib, Y. (2016). An extension of the asymmetric causality tests for dealing with deterministic trend components. Applied Economics, 48(42), 4033-4041. https://doi.org/10.1080/00036846.2016.1150950
  37. Hein, E. (2006). Interest, debt and capital accumulation—a Kaleckian approach. International Review of Applied Economics, 20(3), 337-352. https://doi.org/10.1080/02692170600736128
  38. Igan, D., Kutan, A. M., & Mirzaei, A. (2020). The real effects of capital inflows in emerging markets. Journal of Banking & Finance, 119, 105933. https://doi.org/10.1016/j.jbankfin.2020.105933
  39. Ito, H., & Tran, P. (2023). Emerging market economies’ challenge: Managing the yield curve in a financially globalized world. Open Economies Review, 34(1), 171-194. https://doi.org/10.1007/s11079-021-09661-3
  40. Kant, C. (1996). Foreign direct investment and capital flight. Princeton Studies in international finance No:80 March, 1996
  41. Kara A. H., Sarıkaya Ç. (2021). Enflasyon Dinamiklerindeki Değişim: Döviz Kuru Geçişkenliği Güçleniyor Mu? (Koç University-TUSIAD Economic Research Forum Working Papers, No. 2121)
  42. Khan, M., & Haque, N. U. (1987). Capital flight from developing countries. Finance and Development, 24(1), 2-5.
  43. Kim, Y. (2000). Causes of capital flows in developing countries. Journal of International Money and Finance, 19(2), 235-253. https://doi.org/10.1016/S0261-5606(00)00001-2
  44. Kinda, T. (2008). Infrastructure and private capital flows in developing countries. Munich Personal RePEc Archive Paper, 19158.
  45. Koepke, R. (2019). What drives capital flows to emerging markets? A survey of the empirical literature. Journal of Economic Surveys, 33(2), 516-540. https://doi.org/10.1111/joes.12273
  46. Korinek, A. (2011). Hot money and serial financial crisis. IMF Economic Review, 59(2), 306-339. https://doi.org/10.1057/imfer.2011.10
  47. Krugman, P. R. (1989). Private capital flows to problem debtors. In Sachs jeffry (Ed.), Developing Country Debt and Economic Performance. University of Chicago Press. https://doi.org/10.7208/9780226733180
  48. Lee, C. C., & Chang, C. P. (2008). Unemployment hysteresis in OECD countries: Centurial time series evidence with structural breaks. Economic Modelling, 25(2), 312-325. https://doi.org/10.1016/j.econmod.2007.06.002
  49. Leybourne, S., Newbold, P., & Vougas, D. (1998). Unit roots and smooth transitions. Journal of Time Series Analysis, 19(1), 83-97. https://doi.org/10.1111/1467-9892.00078
  50. Loungani, P., Razin, A., & Yuen, C. W. (2001). Capital mobility and the output–inflation tradeoff. Journal of Development Economics, 64(1), 255-274. https://doi.org/10.1016/S0304-3878(00)00132-2
  51. Lucas, R. E. (1990). Why doesn't capital flow from rich to poor countries? The American Economic Review, 80(2), 92-96. https://www.jstor.org/stable/2006549
  52. McKinnon, R. (1973). Money and Capital in Economic Development. Brookings Institution Ndiaye, A. S. (2009). Capital Flight and its Determinants in the Franc Zone. African Journal of Economic Policy, 16 (1), 65-104.
  53. Ndikumana, L., & Boyce, J. K. (2003). Public debts and private assets: Explaining capital flight from Sub-Saharan African countries. World development, 31(1), 107-130. https://doi.org/10.1016/S0305-750X(02)00181-X
  54. Ndikumana, L., & Boyce, J. K. (2008). New estimates of capital flight from sub-Saharan African countries: Linkages with external borrowing and policy options. (PERI Working Paper No.166). University of Massachusetts, Political Economy Research Institute, http://dx.doi.org/10.7275/1282889
  55. Nelson, J., Krokeme, O., Markjarkson, D., & Timipere, E. T. (2018). Impact of capital flight on exchange rate in Nigeria. International Journal of Academic Research in Accounting, Finance and Management Sciences, 8(1), 41-50. http://creativecommons.org/licences/by/4.0/legalcode
  56. Otieno, S., Mose, N., & Thomi, J. (2022). Exchange rate and capital flight: An empirical analysis. South Asian Journal of Social Studies and Economics, 13(3), 1-10. https://doi.org/10.9734/SAJSSE/2022/v13i330356 Prasad, E., Rajan, R., & Subramanian, A. (2007). The paradox of capital. Finance and Development, 44(1). International Monetary Fund.
  57. Reinhart, C. M. (2000). The mirage of floating exchange rates. American Economic Review, 90(2), 65-70. DOI: 10.1257/aer.90.2.65
  58. Rodrik, D., & Velasco, A. (1999). Short-term capital flows (NBER Working Paper No. 7364). National Bureau of Economic Research.https://doi.org/10.3386/w7364.
  59. Salisu, A. A., & Isah, K. O. (2021). Capital flight-growth nexus in Sub-Saharan Africa: The role of macroeconomic uncertainty. The Journal of Developing Areas, 55(1). https://doi.org/10.1353/jda.2021.0013
  60. Salvatore, D. (1998). Capital flows, current account deficits, and financial crisis in emerging market economies. The International Trade Journal, 12(1), 5-22. https://doi.org/10.1080/08853909808523895
  61. Sarno, L., & Taylor, M. P. (1999). Hot money, accounting labels and the permanence of capital flows to developing countries: an empirical investigation. Journal of Development Economics, 59(2), 337-364. https://doi.org/10.1016/S0304-3878(99)00016-4
  62. Schineller, L. M. (1997). An econometric model of capital flight from developing countries (Board of Governors of the Federal Reserve System Working Paper No.579). https://dx.doi.org/10.2139/ssrn.231754
  63. Shaw, E., (1973). Financial Deepening in Economic Development. New York: Oxford University Press.
  64. Stulz, R. M. (2009). Globalization, corporate finance, and the cost of capital. In Global Corporate Governance (pp. 106-134). Columbia University Press. https://doi.org/10.7312/chew14854
  65. Summers, L. H. (2000). International financial crisis: causes, prevention, and cures. American Economic Review, 90(2), 1-16. https://doi.org/10.1257/aer.90.2.1
  66. Türkiye Cumhuriyet Merkez BAnkası (TCMB), (2024). Data. Retrieved on March 30 2024 from https://evds2.tcmb.gov.tr/index.php?/evds/serieMarket
  67. Toda, H. Y., & Yamamoto, T. (1995). Statistical inference in vector autoregressions with possibly integrated processes. Journal of econometrics, 66(1-2), 225-250. https://doi.org/10.1016/0304-4076(94)01616-8
  68. Vague, R. (2023). The paradox of debt: A new path to prosperity without crisis. University of Pennsylvania Press.
  69. Virmani, A. (2014). Macroeconomic management of the Indian economy: Capital flows, interest rates, and inflation 1. In Macroeconomics and Markets in India (pp. 3-28). Routledge. https://doi.org/10.4324/9781315872414 Woo, W. T. (2000). Coping with accelerated capital flows from the globalization of financial markets. ASEAN Economic Bulletin, 193-204. https://www.jstor.org/stable/25773628
  70. World Bank. (1985). Data. Retrieved on March 30 2024 from https://data.worldbank.org/country/turkiye
  71. World Bank. (1985). World Development Report 1985. Washington, DC: World Bank.
  72. Yalta, A. Y. (2009). Capital flight: Conceptual and methodological issues. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 27(1), 73-94.
  73. Yalta, A. Y., & Yalta, A. T. (2023). Capital flight and the real exchange rate: evidence from resource scarce MENA countries. Middle East Development Journal, 16(1), 55–73. https://doi.org/10.1080/17938120.2023.2282325
  74. Yeldan, E. (2005). Yükselen Piyasa Ekonomisi. Olarak Türkiye [Turkey as an" Emerging Market Economy"]", http://yeldane.bilkent.edu.tr/Yeldan14_2 Mar05.pdf (Retrieved March 30, 2024).
  75. Yellen J. (2016) Macroeconomic research after the crisis: a speech at the elusive ‘great’ recovery: causes and implications for future business cycle dynamics. In: 60th Annual Economic Conference sponsored by the Federal Reserve Bank of Boston.