The relationship of foreign portfolio investments in Turkey and selected macroeconomic variables

The aim of this PHD thesis is to empirically investigate the relationship between foreign portfolio investments in Turkey and selected macroeconomic variables. For this purpose, real exchange rate, real interest rates, Borsa İstanbul 100 index, and consumer price index data of portfolio investments variable were analyzed using VAR Granger Causality Analysis. The dynamic effects of the determinants of portfolio investments were analyzed with the impulse-response functions and variance decomposition method. The results obtained with the established econometric model were tested with diagnostic statistics and methods investigating the structural accuracy of the established models. Empirical findings reveal that the real exchange rate is the cause of foreign portfolio investments directed to the country. Apart from this, it is understood that real interest rates, real exchange rates, and Borsa Istanbul 100 index affect portfolio investments positively in the impulse-response functions, while the consumer price index has the opposite effect.