GELİŞMEKTE OLAN PİYASALARDA FİNANSAL PİYASA İSTİKRARININ KANTİL REGRESYON YÖNTEMİYLE TEST EDİLMESİ

Abstract

Bu çalışmada Avrupa, Orta Doğu ve Güney Afrika’da Morgan Stanley Capital International MSCI gelişmekte olan piyasalar endeksine giren ülkelerde finansal piyasa istikrarı Baur ve Schulze 2009 ’nın önerdikleri kantil regresyon modeline dayalı yeni bir ampirik testle araştırılmıştır. Veri seti 1 Haziran 2002 ve 17 Şubat 2011 tarihleri arasındaki günlük hisse senedi piyasası logaritmik getirilerini kapsamaktadır. Çalışma sonuçları incelenen ülkelerden sadece Polonya ve Fas’ta finansal piyasa istikrarının var olduğunu göstermektedir.

Keywords

• Finansal Piyasa İstikrarı, Kantil Regresyon, Gelişmekte Olan Piyasalar

TESTS FOR FINANCIAL MARKET STABILITY IN EMERGING MARKETS BY USING QUANTILE REGRESSION

Abstract

In this study, the financial market stability is investigated for the emerging market countries of Morgan Stanley Capital International MSCI , Europe, the Middle East and Africa index by using quantile regression based new empirical test proposed by Baur and Schulze 2009 . The daily logarithmic return dataset covers the period of June 1, 2002 to February 17, 2011. The results show that Poland and Morocco exhibit financial market stability among the investigated countries

Keywords

• Financial Market Stability, Quantile Regression, Emerging Markets

References

1. ALLEN, W. A., WOOD, G. (2006). Defining and achieving financial stability. Journal of Financial Stability. (2), 152-172. ss.
2. BAUR, G.D., SCHULZE, N. (2009). Financial market stability: a test. Journal of International Financial Markets, Institutions & Money, 19, 506-519. ss.
3. CIHAK, M. (2007). Central banks and financial stability : a survey. IMF Working Paper.
4. CROCKETT, A. (1997). Why is financial stability a goal of public policy? In: Maintaining Financial Stability in a Global Economy. Federal Reserve Bank of Kansas City, 7–36. ss.
5. DAS, S.R., UPPAL, R. (2004). Systemic risk and international portfolio choice. Journal of Finance 59 (6), 2809-2834. ss.
6. DUISENBERG, W.F., (2001). The contribution of the euro to financial stability. In: Globalisation of Financial Markets and Financial Stability-Challenges for Europe. Nomos Verlagsgesellschaft, Baden-Baden, 37–51. ss.
7. European Central Bank, (2005). Financial Stability Review-June 2005.
8. GOODHART, C.A.E. (2006). A framework for assessing financial stability? Journal of Banking and Finance , 30, 3415-3422. ss.

9. HAO L., NAIMAN D.Q. (2007). Quantile regression. Thousand Oaks, CA: Sage Publications; 2007.
10. KOENKER, R., BASSETT, G. (1978). Regression quantiles. Econometrica, 46 (1), 33-50. ss.
11. KOENKER, R. (2005). Quantile Regression, Econometric Society Monograph, Cambridge University Press.
12. MISHKIN, F. (1991). Anatomy of financial crisis, NBER Working Paper, no. 3934.
13. OOSTERLOO, S., De HAAN, J. (2004). Central banks and financial stability: a survey. Journal of Financial Stability 1, 257–273. ss.
14. PADOA-SCHIOPPA, T. ( 2003). Central banks and financial stability. European Central Bank.
15. SCHINASI, G.J. (2004). Defining financial stability, IMF Working Paper WP/04/187.