Abstract:

In this article, using the data of the Turkish economy for the period 2003:Q1-2019:Q4, the dynamic relationships among global risk, gross portfolio inflows and asset prices are examined with a structural vector autoregressive model. The findings of impulse-response analysis show that the gross portfolio inflows and the Borsa İstanbul (BIST) 100 real return index give a negative and statistically significant response to a positive volatility index (VIX) shock in two quarters. A positive portfolio inflow shock, on the other hand, has a positive and significant effect on the real effective exchange rate and the Borsa İstanbul real return index for one quarter. In addition, the stock market return gives a positive and significant response to a real effective exchange rate shock for one quarter. These findings prove that gross portfolio inflows play an important role in transmitting the spillover effects of global risk shocks on asset prices in the Turkish economy.

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