外文翻译资本流入新兴市场土耳其.docx
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外文翻译资本流入新兴市场土耳其.docx
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外文翻译资本流入新兴市场土耳其
中文3200字
本科毕业论文外文翻译
外文题目:
CapitalFlowstoanEmergingMarketinTurkey
出处:
InternationalAdvancesinEconomicResearch,2003,Volume9,Number3,Pages189-195
作者:
SaziyeGazioglu
原文:
CapitalFlowstoanEmergingMarketinTurkey
Abstract
IncreasedgIobalizationinfinancialmarketsimpliesthatthepercentageofallsharesunderforeignownershipindomesticstockmarketshasbeenrising.SpeculativeattacksontheforeignexchangemarketinFebruary2001ledtodeepeconomiccrisisinTurkey.ThisarticlewillexplorevariousindicatorsofthefinancialcrisisinTurkeybasedonamacro-model.Theforeignshareofthedomesticeconomyisakeyvariabletoestablishthedegreeofvulnerabilityduringafinancialcrisis.AnempiricalinvestigationshowsthatthepercentageofsharesownedbyforeignersontheIstanbulStockExchange(ISE)hasbeenincreasingsince1995andiscurrentlyabout50percentofthetotal.Furthermore,thegeneralindexofstockmarketpricesin1999wasatitshighestlevelsincei995.Thiswouldimplythatthegeneralpriceindexofthestockmarketisanotherstrongindicatorofanimpendingfinancialcrisis.AnempiricalinvestigationofTurkishdatabasedonatheoreticalmodelispresentedinthispaper.Anunexpectedcapitaloutflowwouldcertainlycauseexchangeratefluctuations,balanceofpaymentsproblems,andinternationaldebtcrisis.Hotmoneyinflowsboostsharepricesandkeeptherealexchangeratehigh.However,short-termstayofcapitalimpliesasuddencapitaloutflowthatcreatesfinancialcrisis,whichresultsininternationaldebtcrisis.ThisinturnleadstoafurtherincreaseinloansfromtheInternationalMonetaryFund(IMF).Relativelyhighstockmarketpricesmaysuggestanimpendingfinancialcrisis.UsingTurkishstockmarketpricedata,animpendingfinancialcrisiscanbestatisticallypredicted.(JELE60,F32,F34,F36,F40,G15)
Introduction
Muchworkhasbeendoneintheareaoffinancialcrisis.Johnsonetal.[2000]createdavulnerabilitymatrixusingsetsofcriteriaincludingmacroindicators.Othertheoriesofcrisisincludespeculativeattacks[Krugmanetal.1979],andself-fulfillinghypotheses[Obstfelt,1995].Otherworksincludefundamentals,thesecondgenerationsmodelmoralhazard,andself-fulfillingexpectationsmodelsonliquidity.Krugman[1996],Kaminsky[1998],andKaminskyandSchumukler[1999]referredtothesefactorsascontagionsorcommonfactorsaffectingallcountries.Experienceshowsthatshort-termcapitalinflowisundertakeninpursuitofquickgainsandincludesorcomprisesspeculationintheexchangeratemarkets.Theresultisincreasinginternationaldebtandthepossibilityofthehalvingofnationalwealthovernight,ashappenedinTurkeyearlyin2001.Mostanalysesarebasedonflowvariablesaloneandignoretheeffectsoffinancialcrisisonstockvariablessuchasinternationalindebtednessandwealth.RecentIMFpapersbyBorensztein[2000]andLaneMilesi-Ferretti[2000]underlinetheimportanceoflinkingtheorywithempiricalworkonrealexchangeratesandindebtedness.Thepossibilityofunstablelong-runequilibriabasedonourtheoreticalmodelisusuallyignoredinthesestudies(whereasthepossibilityistakenasgivenhere).
Theargumentsinthispaperarebasedonatheoreticalmodelthatisdifferentfromothers.Theauthorarguesthatprobabilityoffuturevolatilityiscloselyrelatedtothepercentageofsharesunderforeignownershipinthedomesticstockmarketandthevolatilityofstockmarketprices.
Thispaperisorderedasfollows:
sectiontwopresentsasummaryofthemodel.SectionthreeisaninvestigationintoforeignshareownershipontheIstanbulStockExchangeandtheforthsectionisareportontheempiricalresults.Sectionfiveconcludes.
TheoreticalModel
ThemodelisbasedonGazioglu[2001]andGaziogluandMcCausland[2001;2002],withaprofitmaximizingfirmandarepresentativedomesticconsumermaximizingtimeseparableutilityfunctionsIObstfeldandRogoff,1995;Ramse~%1928].FollowingObstfeldandRogoff[1995],thestockmarketconstraintisasfollows:
VdXd=XdVd+XdDd
Equation
(1)states1thatachangeintheproportion(Xd)ofthevalueofdomesticfirms2thatdomesticindividualsown(thatis,shares:
thevalueofdomesticclaimstothetotalfutureprofitsofdomesticfirms,Vd),XdVd,isequaltothedomesticproportionofthechangeinthestockmarketvaluationoftheseshares,XdVdplustheirproportionofdividends,XdVd.
Thebalanceofpaymentsconstraintis:
H=∏-T+H(1+ê/e)(1+Rf)
Theaggregateconstraintofthestockmarketandnetaccumulationofforeignassets,-H,canonlybeaccumulatedbyrunningatradesurplus,whereHistheforeignownedshareofdomesticdividendsminusthedomesticownedshareofforeigndividendsandH=∏-T+H(1+ê/e)(1+Rf)isanycapitalgainfromholdingforeignmoneyintermsofforeigngoods(asimplerepresentationcanbefoundinGazioglu[1996],whereexternalbalanceisalsoequaltointernalbalance):
Inessence,therefore,therighthandsideoftheconstraintrepresentsnetdomesticincome(factorearmngs,netinterestfromassetholdings,andreturnonshares)minusconsumption(privateandinvestment),reflectedbythesaving(netwealthaccumulation)onthelefthandside.Itisthecombinationofthestockmarketconstraint,followingObstfeldandRogoff[1995]andNetInternationalDebt[GaziogluandMcCausland,2000;2001;2002].Ifthepercentageofsharesunderforeignownershipinthedomesticstockmarketincreases,debtinthedomesticeconomyincreases,whichisanalogoustosellingthefamilysilver.Itwouldseemthedomesticeconomyisverysensitivetothelevelofforeigninvestmentinthestockmarket.Howseverelyaforeignshockaffectsthedomesticmarketwillbedirectlyrelatedtothepercentageofsharesunderforeignownership.Thebiggertheshareofforeigninvestorsinthedomesticstockmarket,thegreaterthevulnerabilityofthedomesticeconomy.TheAsiancrisiscanbeconsideredtobeinthiscategory.Whetherotheremergingfinancialmarketsbecomesimilarlyvulnerabledepends,likewise,onthepercentageofsharesunderforeignownershipinthedomesticmarket.
Thedynamicsofthewholesystemmaybesummarized3inmatrixformby:
wherethesignsoftheelementsofthematrixare,fromthediscussionabove:
EE>0,EH<0,EV>0andEK<0;HE<0,HH<0,HV<0andHK>0;VE<0,VH>0,VV<0,andVK>0。
Thedynamicmodelisnowcompleteandempiricalanalysiswillfollowinthenextsection.Themodelhastwostableequilibriaandoneunstableequilibrium.GazioglnandMcCausland[2000;2001;2002]showthathavingahighpercentageofsharesunderforeignownershiphasanasymmetricaleffectonexchangerateandoninternationalindebtednessduringinflowsandoutflows.Unstableequilibriumisthetermusedwhenacountryhastoborrowinordertomakeitsdebtrepayments.Theempiricalworkusesthedynamicvariablesofrealexchangerate,realstockmarketindex,andforeigncapitalflows.Ghosh[2000]usedonlytherealexchangerateandrealstockmarketindextofindoutthedirectionofcausality.Thecausalitytestsshowthattheorderofthevariablesisasfollows:
capitalflows(FORNFLP),stockmarketindex(STOCKP),andrealexchangerate(EXCCPI).
ForeignShareinIstanbulStockMarket(ISM)
Oneofthemainaimsofthispaperistoarguethatthepercentageofsharesunderforeignownershipinanydomesticstockmarketisakeyindicatorofvulnerabilityinthedomesticstockmarket.Thetheoreticalmacro-modelincludesthedynamicsofthisimportantindicator.AsacasestudyinTurkey,datafromtheIstanbulStockMarket(ISM)isused.Itisworthnotingthatliberalforeignexchangepolicieshaveappliedsince1989,soforeigninvestorsarefreetobuyandsellintheISM,asmuchastheywish.
ForeignportfolioinvestmentintheIstanbutStockMarket(ISMorIMKB)increasedfrom$33,654millionin1996to$83,069millionin1999andto$111,157millionin2000.Since1996,thelevelofforeigninvestmenthasbeengrowingveryrapidly.Furthermore,thepercentageofsharesownedbyforeigninvestorsisaround50percentofthetotalmarket.Thisisquitehigh.Nofigureswereavailableforforeignportfolioinvestmentlevelsbefore1995.
StructuredVARApproach
ThedailydataisextractedfromtheInternationalMonetaryFund(IMF)datastreamfortheperiod01/01/1990-11/26/1999.OtherstockmarketdataistakenfromIstanbulStockMarketpublications.Realexchangerates,stockmarketprices,andinternationaldebtvariablesareusedinordertorelateittothetheory.Thistheoryshowsthepossibilityofunstableequilibriumwhentheshareofforeigninvestmentintheeconomyishigh.AStructuralVARmodelwasadoptedasitovercomestheidentificationproblemoftheVARestimation.Theauthor'scontributionistoaddafullmacro-modelbehindtheeconometricanalysis.
StationarityandCo-integrationTests
Thestationarityofallvariablesistested.Thedatawasdividedintosub-periodsusingRomers’NarrativeVARApproach.Thewholeperiod(from01/01/90-11/26/99)andthecrisisperiod(from11/26/95-11/26/99)wereinvestigatedseparately.TheAugmentedDickeyFuller(ADF)testswithandwithoutalineartrendforthedatainlevelsandfirstdifferencesarereportedinTable1.Thehypothesisofunitrootcannotberejectedfortwoofthevariables.Bothrealexchangerate(EXCCP)andstockmarketvalues(STOCKP)arerejectedtobeI(0)withoutthetrend.However,realexchangerates(EXCCPI)andrealstockmarketreturns(STOCKP)withthetrendvariableshavenounitrootswithinthe5percentconfidenceforboththeentireandthefinalperiods.Forforeigncapitalflows(FORNFLP),thenullhypotheseshaving
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