1994-1995 MEKSİKA PEZO KRİZİ’NİN EKONOMETRİK BİR ANALİZİ

Yıl 2007, Cilt: 8 Sayı: 1, 28 - 35, 01.01.2007

Mete Feridun

Öz

Bu makale 1994-1995 Meksika Pezo Krizi’nin ardındaki faktörleri aylık 20 makroekonomik, siyasi ve finans sektörü değişkenleriyle oluşturulan bir probit modeli kullanarak tespit etmeyi amaçlamaktadır. Probit regresyonunun neticesinde anlamlı değişkenler olarak siyasi istikrarsızlık, döviz rezervleri, yerel kredi/GSMH, borç ve mevduat oranı arasındaki fark, ulusal tasarruflar ve doğrudan yabancı yatırım/GSMH değerleri alınmıştır. Bulgular, değişkenlerin, enflasyon, banka rezervleri/banka aktifleri, ihracat büyüme oranı ve borç ve mevduat oranı arasındaki fark haricinde beklenildiği şekilde ortaya çıktığını göstermektedir

Anahtar Kelimeler

Meksika Pezo krizi, finansal krizler, probit modeli

AN ECONOMETRIC ANALYSIS OF THE MEXICAN PESO CRISIS OF 1994-1995

Öz

This article aims at identifying the factors behind the Mexican Peso Crisis of 1994-1995 through building a probit model incorporating 20 monthly macroeconomic, political, and financial sector variables from 1970:1 - 1995:1. As a result of the probit regressions, strong evidence emerges that the significant variables are political instability, foreign exchange reserves, domestic credit/GDP, lending and deposit rate spread, national savings, and foreign direct investment/GDP. Evidence further indicates that the signs of the variables are mostly in line with our expectations, with the exception of inflation, bank reserves/bank assets, export growth, and lending and deposit rate spread.

Anahtar Kelimeler

Mexican Peso Crisis, Financial Crises, Probit Model

Kaynakça

• BERG, A., PATTILLO, C. (1999). Predicting currency crises: the indicators approach and an alternative. Journal of International Money and Finance, vol. 18, No. 4, (August), pp. 561-586.
• BUSTELO, A., GARCIA, K., OLIVIÉ, E. (1999). Global and domestic factors of financial crises in emerging economies: Lessons from the East Asian episodes (1997-1999). ICEI Working Paper. Number 16, pp. 54-67.
• DEMIRGUC-KUNT, A. DETRAGIACHHE, E. (1997). The determinants of banking crises in developing and developed countries. IMF Working Paper 106. IMF, Washington, D.C, pp. 34-56.
• DOOLEY, M. (1997). A model of crisis in emerging markets. NBER Working Paper Number 6300, Cambridge, MA, pp. 55-78.
• DOWLING, M., ZHUANG, J. (2000). Causes of the 1997 Asian financial crisis: what more can we learn from an early warning system model? Department of economics. Melbourne University, Australia Working Paper. Number 123, pp. 54-76.
• EDISON, H.J. (2003). Do indicators of financial crises work? An evaluation of an early warning system. International Journal of Finance and Economics, 8 (1), pp. 11-53.
• EICHENGREEN, B., TOBIN, J., WYPLOSZ, C. (1995). Two cases for sand in the wheels of international finance. Economic Journal, vol. 105, pp. 162-172.
• FERİDUN, M. (2004a) A Probit model towards the prediction of financial crises. Economia Internazionale, vol. 57, no. 4, pp. 441-461.
• (2004b). Determinants of the Argentine financial crisis: Can we predict future crises?. Lahore Journal of Economics (Pakistan), vol. 9, no. 2, pp. 31-51.
• (2004c). Brazilian real crisis revisited: A linear probability model to identify leading indicators. International Journal of Applied Econometrics and Quantitative Studies (Spain), vol.1, no.1, pp. 81-97.
• (2005a) Russian financial crisis of 1998: An econometric investigation. International Journal of Applied Econometrics and Quantitative Studies (Spain), vol.1, no.4, pp. 113-125.
• (2005b). Financial crises: A review of the contemporary literature. Lulu Press, Inc. North Carolina, USA, January 2005, pp. 17-44 .
• FLOOD, R., GARBER, P. (1984). Collapsing exchange rate regimes: Another linear examples. Journal of International Economics, 41, pp. 223-234.
• FRANKEL, J., ROSE, A. (1996). Currency crashes in emerging markets. An empirical treatment. Journal of International Economics, 41, November, pp. 351-366.
• KAMINSKY, G., LIZONDO, S., REINHART, C. (1998). Leading indicators of currency crises. IMF staff papers, vol. 45, no 1, pp. 12-32.
• KAMINSKY, G.L., REINHART, C.M. (1999). The twin crises: The causes of banking and balance of payments problems. American Economic Review, vol. 89 (June), pp. 473-500.
• KOMULAINEN, T., LUKKARILA, J. (2003). What drives financial crises in emerging markets?. Emerging Markets Review, vol. 4, pp. 248-272.
• KRUGMAN, P. (1979). A model of balance of payments crises. Journal of Money, Credit, and Banking, 11, pp. 311-325.
• (1998). Bubble, boom, crash: Theoretical notes on Asia’s crises. (unpublished) Cambridge MA: MIT, pp. 1-6.
• LANOIE, P. LEMARBRE, S. (1996). Three approaches to predict the timing and quantity of LDC debt rescheduling. Applied Economics, 28 (2), pp. 241-246.
• OBSTFELD, M. (1994). The logic of currency crises. Cahiers Economiques et Monetaires, (43), pp. 189-213.
• (1996) Rational and self-fulfilling balance of payments crises. American Economic Review, vol. 76 (March), pp. 72-81.
• OZKAN, G., SUTHERLAND, A. (1995). Policy measures to avoid currency crisis. Economic Journal, 105, pp. 510-519.
• RADELET, S. SACHS, J. (1998). The East Asian financial crisis: Diagnosis, remedies, prospects. Brookings Papers on Economic Activity, 1, pp. 1-90.
• SACHS, J., TORNELL, A. VELASCO, A. (1996). Financial crises in emerging markets: The lessons from 1995. Brookings Papers on Economic Activity, pp. 147-218.