An Investigation with ARDL and NARDL Methods of the Effects of Foreign Exchange Rates on Foreign Portfolio Investments

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