Volatility Spillovers from the International Capital Inflows to Economic Growth in Turkey

16 Pages Posted: 17 Jul 2013

See all articles by Arif Soylemez

Arif Soylemez

Marmara University

Server Demirci

Marmara University - School of Banking and Insurance

Date Written: April 17, 2013

Abstract

This paper empirically investigates the volatility interactions between the international capital inflows to Turkey and Turkish economic growth using the post-financial-liberalization era data. With an Extended Constant Conditional Correlation GARCH model, it is shown that there are volatility spillovers from the capital inflows to growth in Turkey. Some earlier studies in literature have already established a positive relationship between the capital inflows and economic growth in Turkey. According to their results, as the mean value of capital inflows to Turkey increases, so does the conditional mean value of Turkish economic growth. This study is important for it shows that as the volatility of capital inflows to Turkey increases, so does the volatility of Turkish economic growth.

Keywords: Economic growth, international capital, GARCH model, volatility spillovers, volatility

JEL Classification: E2, E22

Suggested Citation

Soylemez, Arif and Demirci, Server, Volatility Spillovers from the International Capital Inflows to Economic Growth in Turkey (April 17, 2013). Available at SSRN: https://ssrn.com/abstract=2294868 or http://dx.doi.org/10.2139/ssrn.2294868

Arif Soylemez (Contact Author)

Marmara University ( email )

Goztepe Campus
Istanbul, Istanbul 34840
Turkey

Server Demirci

Marmara University - School of Banking and Insurance ( email )

Goztepe Campus
Istanbul, 34722
Turkey

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