Capital Flight Hysteresis and Its Determinants: The Case of Türkiye

Authors : Koray Yıldırım, Harun Bal

Pages : 396-413

Doi:10.17065/huniibf.1523729

View : 57 | Download : 53

Publication Date : 2025-06-25

Article Type : Research Paper

Abstract :Hysteresis behaviour in capital flight emerges as a permanent and resilient form of temporary shocks in capital flows. In our study, smooth transition structural break test and Hatemi-J (2012 and 2016) asymmetric causality tests are used for analyses. The findings obtained from the structural break test indicate the presence of a structural break and hysteresis. In the analyses designed to determine the determinants of capital flows, the use of some selected variables considered important was preferred. As empirical and theoretical determinants of capital flows; banking and other sectors indebtedness ratio, inflation rate, real effective exchange rate, VIX volatility index and real interest rate variables were used. Within the framework of the analyses, the existence of an asymmetric relationship between the real effective exchange rate and capital flight was found, whereas this validity was not observed in other variables. When the capital flight hysteresis is evaluated within the scope of push-pull factors, it is observed that it is affected by real effective exchange rate developments. The expected structural movement in capital flight is short-term. The empirical literature also supports this to a large extent. However, the fact that real effective exchange rate-driven capital flight shows long-run spillover effects is a striking finding on the nature of capital flight and hysteresis.
Keywords : Sermaye Akışları, Sermaye Kaçışları, Histerezis, Dalgalanma Korkusu, Türkiye

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