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Journals / İktisadi İdari ve Siyasal Araştırmalar Dergisi / 2026 / Sayı: 29

The Relationship Between Portfolio Flows and the Real Effective Exchange Rate in Türkiye: A Fourier-Based UECM Approach for the 1995m1–2025m9 Period

Türkiye’de Portföy Akımları ile Reel Efektif Döviz Kuru İlişkisi: 1995m1–2025m9 Dönemi İçin Fourier Tabanlı UECM Yaklaşımı

Muharrem Akın Doğanay(Karadeniz Teknik Üniversitesi İİBF iktisat Bölümü)0000-0002-3985-2222
Pages
992–1014
Publication Date
2026-10-27
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AI Summary & Key Takeaways

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

Findings suggest monitoring residents’ external portfolio transactions and global conditions alongside aggregate net flows when assessing real exchange-rate movements.

📌 3 Key Takeaways

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Objective & Hypothesis:This study aims to compare the short- and long-run relationships of aggregate net portfolio flows (PFNET) and their components, net incurrence of liabilities (NLO) and net acquisition of financial assets (NVA), with the real effective exchange rate (REER), using Türkiye’s monthly data (1995m1–2025m9).
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Key Findings & Data:Bootstrap joint F-tests and significant negative lagged REER-level coefficients supported conditional error-correction behaviour.
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Conclusion & Impact:Findings suggest monitoring residents’ external portfolio transactions and global conditions alongside aggregate net flows when assessing real exchange-rate movements.
🔬Design:Modeling & Simulation
📍Scope:Comprehensive Sample
⚙️Variables:Portföy akımları · net yükümlülük oluşumu · net varlık edinimi

Abstract

This study aims to compare the short- and long-run relationships of aggregate net portfolio flows (PFNET) and their components, net incurrence of liabilities (NLO) and net acquisition of financial assets (NVA), with the real effective exchange rate (REER), using Türkiye’s monthly data (1995m1–2025m9). Four Fourier-augmented unrestricted error correction models (UECMs) were estimated with inverse hyperbolic sine (IHS)-transformed series: IPFNET, INLO, INVA, and joint INLO–INVA. The dollar index (LDXY), volatility index (LVIX), real Brent oil prices, and seasonally adjusted industrial production served as controls. Bootstrap joint F-tests and significant negative lagged REER-level coefficients supported conditional error-correction behaviour. Long-run portfolio coefficients were insignificant throughout. Short-run ΔIPFNET and ΔINVA coefficients were negative and significant at 10% and 1%, respectively; ΔINLO was insignificant. Short-run INVA increases were associated with lower REER, indicating real depreciation of the Turkish lira. ΔLVIX and ΔLDXY coefficients were negative and unexpectedly positive, respectively, both significant at 5%. The relationship was clearer in the short run, particularly through INVA. Findings suggest monitoring residents’ external portfolio transactions and global conditions alongside aggregate net flows when assessing real exchange-rate movements.

Özet

Bu çalışma, Türkiye’de 1995m1–2025m9 dönemine ait aylık verilerle toplam net portföy akımı (PFNET) ve bileşenleri olan net yükümlülük oluşumu (NLO) ile net varlık ediniminin (NVA) reel efektif döviz kuru (REER) ile kısa ve uzun dönem ilişkilerini karşılaştırmayı amaçlamaktadır. Ters hiperbolik sinüs (IHS) dönüşümlü serilerle IPFNET, INLO, INVA ve ortak INLO–INVA olmak üzere dört Fourier terimli kısıtsız hata düzeltme modeli (UECM) tahmin edilmiştir. Dolar endeksi (LDXY), oynaklık endeksi (LVIX), reel Brent petrol fiyatı ve mevsimsellikten arındırılmış sanayi üretimi kontrol değişkeni olarak kullanılmıştır. Bootstrap ortak F testleri ile negatif ve anlamlı gecikmeli REER düzey katsayıları koşullu hata-düzeltme davranışını desteklemiştir. Portföy değişkenlerinin uzun dönem katsayıları hiçbir modelde anlamlı bulunmamıştır. Kısa dönemde ΔIPFNET ve ΔINVA katsayıları negatif olup sırasıyla %10 ve %1 düzeyinde anlamlıdır; ΔINLO katsayısı anlamsızdır. INVA göstergesindeki kısa dönem artış REER’de düşüşle, yani Türk lirasının reel değer kaybıyla ilişkilidir. ΔLVIX katsayısı negatif ve ΔLDXY katsayısı beklentinin aksine pozitif olup %5 düzeyinde anlamlıdır. Portföy akımları ile REER arasındaki ilişki, kısa dönemde ve özellikle INVA kanalında belirginleşmektedir. Bulgular, reel kur hareketlerinin değerlendirilmesinde toplam net akımla birlikte yerleşiklerin dış portföy işlemlerinin ve küresel koşulların izlenmesinin yararlı olabileceğine işaret etmektedir.

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Cite This Article

Doğanay, M. A. (2026). The Relationship Between Portfolio Flows and the Real Effective Exchange Rate in Türkiye: A Fourier-Based UECM Approach for the 1995m1–2025m9 Period. İktisadi İdari ve Siyasal Araştırmalar Dergisi, Sayı: 29, 992–1014. https://doi.org/10.25204/iktisad.1941067

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