Abstract:

The aim of this study is to study the short and long-term symmetrical/asimmetrical effects of foreign portfolio investments in Turkey. For this purpose, using three-month data from the period 1992-2017, the distribution delayed autoregrative and non-real delayed distribution autoregrative models were predicted. According to the estimates, there is an equalization relationship between variables. However, the impact of exchange rates on foreign portfolio investments varies in the long term. In other words, changes in exchange rates have an asymmetrical impact on foreign portfolio investments.

Abstract:

The purpose of this paper is to investigate the short and long-run symmetric/asymmetric effects of exchange rates on foreign portfolio investments in Turkey. For this purpose, Autoregressive-Distributed Lag and Nonlinear Autoregressive-Distributed Lags models were estimated using the quarterly data of 1992-2017 period. According to the estimation results, there are cointegration relationship between the variables. However, the effects of exchange rates on foreign portfolio investments varies in the long term. In other words, changes in exchange rates create an asymmetrical effect on foreign portfolio investments.

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