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Determinants of Financial Crises and the Predictability: A Case Study for Turkey

Year 2013, Volume: 13 Issue: 1, 113 - 124, 01.02.2013

Muhammet Ali Avcı N. Oğuzhan Altay

Abstract

The aim of this study is to analyze the predictability of financial crises and to determine the leading indicators of these crises in the period of 1990:01-2009:07 for Turkey by using Regression Trees and Markov Regime Switching models. According to the results, in Regression Trees model for predicting financial crises the most significant indicators are; money market pressure index, rate of industrial production to domestic credit, M2/Reserves, inflation, on the other hand in Markov Regime Switching model these indicators are terms of trade, balance of trade, inflation and M2/Reserves. In this context, while the financial crises experienced in Turkey in 1994 and 2001 are successfully predicted, 2008 global financial crisis could not be predicted

Keywords

Financial crisis predictability regression trees markov regime switching

References

  • Abiad, A. (2003) “Early Warning Systems for Currency Crises: A Regime-Switching Approach” IMF Working Paper, No:03(32).
  • Akel, V. ve Bayramoğlu, M.F. (2008) “Kriz Dönemlerinde Yapay Sinir Ağları ile Finansal Öngörüde Bulunma: İMKB 100 Endeksi Örneği” Balıkesir University Bandırma Faculty of Administrative Sciences, International Capital Flows and Emerging Markets Symposium, April 24-27, Balıkesir.
  • Albero, C. (2006) “ Structural Breakpoint Tests in a Markov-Switching Model: An Empirical Application to the EMU Member Countries” http://www.econ. upenn.edu/~fuentesa/emu_last.pdf, (10.08.2012)
  • Altay, N.O. (2002) “Uluslararası Finansal Piyasaların Gelişmesi Karşısında Türk Finans Piyasalarında Yenilenme” Süleyman Demirel Üniversitesi VI. Türkiye Finans Eğitimi Sempozyumu, Aralık 11-14, Isparta.
  • Altay, N.O. (2011) “Cumhuriyetten Günümüze Türkiye Ekonomisi ve Türkiye Avrupa Birliği İlişkileri 1923-2011” Ege Üniversitesi Kadın Sorunları Uygulama ve Araştırma Merkezi.
  • Arias, G. ve Erlandss, U.G. (2005) “Improving Early Warning Systems With a Markov Switching Model - An Application to South-East Asian Crises”C.E.F.I. Working Paper Series, No:0502.
  • Aydoğuş, O. (2009) “2008-09 (?) Küresel Krizi’nden Geçerken Türkiye Ekonomisi Üzerine Bazı Gözlem ve Değerlendirmeler” Tisk Akademi, Özel Sayı 2:27-50.
  • Berg, A. ve Pattillo, C. (1998) “Are Currency Crises Predictable? A Test” IMF Working PaperSeries , No:154.
  • Breiman, L., Friedman, J.H., Olshen, R.A. ve Stone, J.C. (1984) Classification and Regression Trees, Monterey California, Wadsworth Inc.
  • Brunetti, C., Mariano, R.S., Scotti C. ve Tan A. H.H. (2007) “Markov Switching GARCH Models of Currency Turmoil in Southeast Asia Board of Governors of the Federal Reserve System” International Finance Discussion Papers, No:889.
  • Burkard, O. ve Coudert, V. (2000) “Currency Crises in the Emerging Economies” Banque de France Bulletin, No:82.
  • Chamon, M., Manasse, P. ve Prati, A. (2007) “Can We Predict the Next Capital Account Crisis?” IMF Staff Papers, No:54(2).
  • Çeşmeci, Ö. ve Önder, A.Ö. (2008) “Determinants of Currency Crises in Emerging Markets” Emerging Markets Finance & Trade, 44(5):54-67.
  • Davies, R. (1987) “Hypotesis Testing When a Nuisance Parameter is Present Only Under the Alternative” Biometrika, 74(1):33-43.
  • Davis, E.P. ve Karim, D. (2008) “Could Early Warnin Systems Have Helped to Sub-Prime Crisis?” National Institute Economic Review, 206:1-13.
  • Duttagupta, R. ve Cashinl, P. (2008) “The Anatomy of Banking Crises” IMF Working Papers Series, No:93.
  • Edison, H.J. (2000) “Do Indicators of Financial Crises Work? An Evaluation of An Early Warning System” Board of Governors of the Federal Reserve System, International Finance Discussion Papers, No:675.
  • Eichengreen, B., Rose, A. ve Wyplosz, C. (1995) “Exchange Market Mayhem: The Antecedents and Aftermath of Speculative Attacks” Economic Policy, 21:251-312.
  • Eichengreen, B., Rose, A. ve Wyplosz, C. (1996) “Contagious Currency Crises” NBER Working Papers Series, No:5681.
  • Erkekoğlu, H. ve Bilgili, E. (2005) “Parasal Krizlerin Tahmin Edilmesi: Teori ve Uygulama” Erciyes Üniversitesi İ.İ.B.F. Dergisi, 24:15-35.
  • Fioramanti, M. (2006) “Predicting Sovereign Debt Crises Using Artificial Neural Networks: A Comparative Approach” Istituto Di Studi E Analisi Economica Working Paper Series, No: 72.
  • Frankel, J. ve Rose, A. (1996) “Currency Crashes in Emerging Markets: Emprical Indicators” NBER Working Papers Series, No:5437.
  • Gosh, S. ve Gosh, A.R. (2003) “Structural Vulnerabilities and Currency Crises” IMF Staff Papers, No:50(3).
  • Hagen, J. ve Hoo, T. (2004) “Money Market Pressure and Determinants of Banking Crises” ZII Working Paper, No:20.
  • Hamilton, J. D. (1989) “A New Approach to Economic Analysis of Nonstationary Time Series and the Business Cycle” Econometrica, 57(2):357-384.
  • Hamilton, J. D. (1990) “Analysis of Time Series Subject to Changes in Regime” Journal of Econometrics, 45(1/2):39-70.
  • Hamilton, J. D. (1994) Time Series Analysis, New Jersey, Princeton Universty Press.
  • IMF (1998) “Financial Crises: Characteristics and Indicators of Vulnerability” World Economic Outlook, 4:74-97.
  • IMF (2010) International Financial Statistics Database IFS http://www.imf.org/external/data.htm, (06.08.2010)
  • Işık, S., Duman, K. ve Korkmaz, A. (2004) “Türkiye Ekonomisinde Finansal Krizler: Bir Faktör Analizi Uygulaması” Dokuz Eylül Üniversitesi, Dokuz Eylül Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 19(1):45-69.
  • Kaminsky, G., Lizondo, S. ve Reinhart, C. (1998) “Leading Indicators of Currency Crises” Policy Research Working Paper, No.1852.
  • Kaminsky, G.L. ve Reinhart, C. (1999) “The Twin Crises: The Causes of Banking and Balance of Payments Problems” American Economic Review, 89(3):1-28.
  • Kasman, A. (2003) “Banking Efficiency During the Financial Crisis Period” ISE Review, 7: 25-26.
  • Knedlik, T. ve Scheufele, R. (2007) “Three methods of forecasting currency crises: Which made the run in signaling the South African currency crisis of June 2006?,” Halle Institute for Economic Research, IWH Discussion Papers, No:17.
  • Krkoska, L. (2000) “Assensing Macroeconomic Vulnerability in Central Europe” Eurpean Bank for Reconstruction and Development, Working Paper Series, No:52.
  • Kruger, M., Patrick N. O. ve Page, J. (1998) “Fundamentals, Contagion and Currency Crises: An Empirical Analysis” Bank of Canada Working Paper, No:98-10.
  • Manasse, P., Roubini, N. ve Schimmelpfennig, A. (2003) “Predicting Sovereign Debt Crises” IMF Working Paper Series, No:221.
  • Mariano, R.S., Gultekin, B.N., Ozmucur, S., Shabbir, T. ve Alper, C.E. (2004) “Prediction of Currency Crises: Case of Turkey” Review of Middle East Economics and Finance, 2(2):87-107.
  • Nag, A.K. ve Mitra, A. (1999) “Neural Networks and Early Warning Indicators of Currency Crisis” Reserve Bank of India Occasional Papers, 20(2):133-222.
  • Nisbet, R., Elder, J. ve Miner, G. (2009) Handbook of Statistical Analysis and Data Mining Applications, USA, Academic Press is an Imprint of Elsevier.
  • Oh, K.J., Kim, T.Y. ve Kim, C. (2006) “An Early Warning System for Detection of Financial Crisis Using Fnancial Market Volatility” Expert Systems, 23(2):83-98.
  • Özatay, F. (2011) Parasal İktisat: Kuram ve Politika, Ankara, Efil Yayınları.
  • Peltonen, T.A. (2006) “Are Emerging Market Currency Crises Predictable? A Test” Europen Central Bank Working Paper Series, No:571.
  • Peng, J. ve Bojana, C. (2008) “China’s Vulnerability to Currency Crisis: A KLR Signals Approach” China Economic Review, 19:138-151.
  • Statsoft, (2011) “Electronic Statistic Textbook” http://www.statsoft.com/textbook/, (05.07.2011)
  • Şahin, H. (2002) Türkiye Ekonomisi, Bursa, Ezgi Kitabevi.
  • TCMB (2011) Elektronik Veri Dağıtım Sistemi, http://evds.tcmb.gov.tr/cbt.html, (05.06.2011)
  • Togan, S. (2009) “Küresel Kriz ve Türkiye” TİSK Akademi, Özel Sayı II.
  • Vlaar, P.J.G. (1999) “Currency Crisis Models For Emerging Markets” De Nederlandsche Bank Econometric Research and Special Studies Department, No:595.
  • Zinkovskaya, E. (2008) “Determinants of Financial Crises in Russia and Other Transition Economies: An Empirical Test” Japanese Journal of Comparative Economics, 45(2):1-18.

Finansal Krizlerin Belirleyenleri ve Öngörülebilirliği: Türkiye Üzerine Bir Uygulama

Year 2013, Volume: 13 Issue: 1, 113 - 124, 01.02.2013

Muhammet Ali Avcı N. Oğuzhan Altay

Abstract

Bu çalışmanın amacı, 1990:01-2009:07 dönemi Türkiye’de yaşanan finansal krizlerin öngörülebilirliğini ve bu krizlerin öncü göstergelerini Regresyon Ağaçları ve Markov Rejim Değişimi modellerini kullanarak incelemektir. Uygulama sonuçlarına göre regresyon ağaçları modelinde, para piyasası baskı endeksi, yurtiçi kredilerin endüstriyel üretime oranı, M2/rezervler, enflasyon, Markov rejim değişimi modelinde ise ticaret haddi, ticaret dengesi, enflasyon ve M2/rezervler gibi göstergeler finansal krizleri öngörmede başarılı bulunmuşlardır. Bu kapsamda Türkiye’de, 1994 ve 2001 yıllarında yaşanılan krizler öngörülürken, 2008 Küresel Finansal Krizi öngörülememiştir

Keywords

Finansal kriz öngörülebilirlik regresyon ağaçları markov rejim değişimi

References

  • Abiad, A. (2003) “Early Warning Systems for Currency Crises: A Regime-Switching Approach” IMF Working Paper, No:03(32).
  • Akel, V. ve Bayramoğlu, M.F. (2008) “Kriz Dönemlerinde Yapay Sinir Ağları ile Finansal Öngörüde Bulunma: İMKB 100 Endeksi Örneği” Balıkesir University Bandırma Faculty of Administrative Sciences, International Capital Flows and Emerging Markets Symposium, April 24-27, Balıkesir.
  • Albero, C. (2006) “ Structural Breakpoint Tests in a Markov-Switching Model: An Empirical Application to the EMU Member Countries” http://www.econ. upenn.edu/~fuentesa/emu_last.pdf, (10.08.2012)
  • Altay, N.O. (2002) “Uluslararası Finansal Piyasaların Gelişmesi Karşısında Türk Finans Piyasalarında Yenilenme” Süleyman Demirel Üniversitesi VI. Türkiye Finans Eğitimi Sempozyumu, Aralık 11-14, Isparta.
  • Altay, N.O. (2011) “Cumhuriyetten Günümüze Türkiye Ekonomisi ve Türkiye Avrupa Birliği İlişkileri 1923-2011” Ege Üniversitesi Kadın Sorunları Uygulama ve Araştırma Merkezi.
  • Arias, G. ve Erlandss, U.G. (2005) “Improving Early Warning Systems With a Markov Switching Model - An Application to South-East Asian Crises”C.E.F.I. Working Paper Series, No:0502.
  • Aydoğuş, O. (2009) “2008-09 (?) Küresel Krizi’nden Geçerken Türkiye Ekonomisi Üzerine Bazı Gözlem ve Değerlendirmeler” Tisk Akademi, Özel Sayı 2:27-50.
  • Berg, A. ve Pattillo, C. (1998) “Are Currency Crises Predictable? A Test” IMF Working PaperSeries , No:154.
  • Breiman, L., Friedman, J.H., Olshen, R.A. ve Stone, J.C. (1984) Classification and Regression Trees, Monterey California, Wadsworth Inc.
  • Brunetti, C., Mariano, R.S., Scotti C. ve Tan A. H.H. (2007) “Markov Switching GARCH Models of Currency Turmoil in Southeast Asia Board of Governors of the Federal Reserve System” International Finance Discussion Papers, No:889.
  • Burkard, O. ve Coudert, V. (2000) “Currency Crises in the Emerging Economies” Banque de France Bulletin, No:82.
  • Chamon, M., Manasse, P. ve Prati, A. (2007) “Can We Predict the Next Capital Account Crisis?” IMF Staff Papers, No:54(2).
  • Çeşmeci, Ö. ve Önder, A.Ö. (2008) “Determinants of Currency Crises in Emerging Markets” Emerging Markets Finance & Trade, 44(5):54-67.
  • Davies, R. (1987) “Hypotesis Testing When a Nuisance Parameter is Present Only Under the Alternative” Biometrika, 74(1):33-43.
  • Davis, E.P. ve Karim, D. (2008) “Could Early Warnin Systems Have Helped to Sub-Prime Crisis?” National Institute Economic Review, 206:1-13.
  • Duttagupta, R. ve Cashinl, P. (2008) “The Anatomy of Banking Crises” IMF Working Papers Series, No:93.
  • Edison, H.J. (2000) “Do Indicators of Financial Crises Work? An Evaluation of An Early Warning System” Board of Governors of the Federal Reserve System, International Finance Discussion Papers, No:675.
  • Eichengreen, B., Rose, A. ve Wyplosz, C. (1995) “Exchange Market Mayhem: The Antecedents and Aftermath of Speculative Attacks” Economic Policy, 21:251-312.
  • Eichengreen, B., Rose, A. ve Wyplosz, C. (1996) “Contagious Currency Crises” NBER Working Papers Series, No:5681.
  • Erkekoğlu, H. ve Bilgili, E. (2005) “Parasal Krizlerin Tahmin Edilmesi: Teori ve Uygulama” Erciyes Üniversitesi İ.İ.B.F. Dergisi, 24:15-35.
  • Fioramanti, M. (2006) “Predicting Sovereign Debt Crises Using Artificial Neural Networks: A Comparative Approach” Istituto Di Studi E Analisi Economica Working Paper Series, No: 72.
  • Frankel, J. ve Rose, A. (1996) “Currency Crashes in Emerging Markets: Emprical Indicators” NBER Working Papers Series, No:5437.
  • Gosh, S. ve Gosh, A.R. (2003) “Structural Vulnerabilities and Currency Crises” IMF Staff Papers, No:50(3).
  • Hagen, J. ve Hoo, T. (2004) “Money Market Pressure and Determinants of Banking Crises” ZII Working Paper, No:20.
  • Hamilton, J. D. (1989) “A New Approach to Economic Analysis of Nonstationary Time Series and the Business Cycle” Econometrica, 57(2):357-384.
  • Hamilton, J. D. (1990) “Analysis of Time Series Subject to Changes in Regime” Journal of Econometrics, 45(1/2):39-70.
  • Hamilton, J. D. (1994) Time Series Analysis, New Jersey, Princeton Universty Press.
  • IMF (1998) “Financial Crises: Characteristics and Indicators of Vulnerability” World Economic Outlook, 4:74-97.
  • IMF (2010) International Financial Statistics Database IFS http://www.imf.org/external/data.htm, (06.08.2010)
  • Işık, S., Duman, K. ve Korkmaz, A. (2004) “Türkiye Ekonomisinde Finansal Krizler: Bir Faktör Analizi Uygulaması” Dokuz Eylül Üniversitesi, Dokuz Eylül Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 19(1):45-69.
  • Kaminsky, G., Lizondo, S. ve Reinhart, C. (1998) “Leading Indicators of Currency Crises” Policy Research Working Paper, No.1852.
  • Kaminsky, G.L. ve Reinhart, C. (1999) “The Twin Crises: The Causes of Banking and Balance of Payments Problems” American Economic Review, 89(3):1-28.
  • Kasman, A. (2003) “Banking Efficiency During the Financial Crisis Period” ISE Review, 7: 25-26.
  • Knedlik, T. ve Scheufele, R. (2007) “Three methods of forecasting currency crises: Which made the run in signaling the South African currency crisis of June 2006?,” Halle Institute for Economic Research, IWH Discussion Papers, No:17.
  • Krkoska, L. (2000) “Assensing Macroeconomic Vulnerability in Central Europe” Eurpean Bank for Reconstruction and Development, Working Paper Series, No:52.
  • Kruger, M., Patrick N. O. ve Page, J. (1998) “Fundamentals, Contagion and Currency Crises: An Empirical Analysis” Bank of Canada Working Paper, No:98-10.
  • Manasse, P., Roubini, N. ve Schimmelpfennig, A. (2003) “Predicting Sovereign Debt Crises” IMF Working Paper Series, No:221.
  • Mariano, R.S., Gultekin, B.N., Ozmucur, S., Shabbir, T. ve Alper, C.E. (2004) “Prediction of Currency Crises: Case of Turkey” Review of Middle East Economics and Finance, 2(2):87-107.
  • Nag, A.K. ve Mitra, A. (1999) “Neural Networks and Early Warning Indicators of Currency Crisis” Reserve Bank of India Occasional Papers, 20(2):133-222.
  • Nisbet, R., Elder, J. ve Miner, G. (2009) Handbook of Statistical Analysis and Data Mining Applications, USA, Academic Press is an Imprint of Elsevier.
  • Oh, K.J., Kim, T.Y. ve Kim, C. (2006) “An Early Warning System for Detection of Financial Crisis Using Fnancial Market Volatility” Expert Systems, 23(2):83-98.
  • Özatay, F. (2011) Parasal İktisat: Kuram ve Politika, Ankara, Efil Yayınları.
  • Peltonen, T.A. (2006) “Are Emerging Market Currency Crises Predictable? A Test” Europen Central Bank Working Paper Series, No:571.
  • Peng, J. ve Bojana, C. (2008) “China’s Vulnerability to Currency Crisis: A KLR Signals Approach” China Economic Review, 19:138-151.
  • Statsoft, (2011) “Electronic Statistic Textbook” http://www.statsoft.com/textbook/, (05.07.2011)
  • Şahin, H. (2002) Türkiye Ekonomisi, Bursa, Ezgi Kitabevi.
  • TCMB (2011) Elektronik Veri Dağıtım Sistemi, http://evds.tcmb.gov.tr/cbt.html, (05.06.2011)
  • Togan, S. (2009) “Küresel Kriz ve Türkiye” TİSK Akademi, Özel Sayı II.
  • Vlaar, P.J.G. (1999) “Currency Crisis Models For Emerging Markets” De Nederlandsche Bank Econometric Research and Special Studies Department, No:595.
  • Zinkovskaya, E. (2008) “Determinants of Financial Crises in Russia and Other Transition Economies: An Empirical Test” Japanese Journal of Comparative Economics, 45(2):1-18.
There are 50 citations in total.

Details

Other ID JA26YY62EJ
Journal Section Research Article
Authors

Muhammet Ali Avcı This is me

N. Oğuzhan Altay This is me

Publication Date February 1, 2013
Published in Issue Year 2013 Volume: 13 Issue: 1

Cite

APA Avcı, M. A., & Altay, N. O. (2013). Determinants of Financial Crises and the Predictability: A Case Study for Turkey. Ege Academic Review, 13(1), 113-124.
AMA Avcı MA, Altay NO. Determinants of Financial Crises and the Predictability: A Case Study for Turkey. ear. February 2013;13(1):113-124.
Chicago Avcı, Muhammet Ali, and N. Oğuzhan Altay. “Determinants of Financial Crises and the Predictability: A Case Study for Turkey”. Ege Academic Review 13, no. 1 (February 2013): 113-24.
EndNote Avcı MA, Altay NO (February 1, 2013) Determinants of Financial Crises and the Predictability: A Case Study for Turkey. Ege Academic Review 13 1 113–124.
IEEE M. A. Avcı and N. O. Altay, “Determinants of Financial Crises and the Predictability: A Case Study for Turkey”, ear, vol. 13, no. 1, pp. 113–124, 2013.
ISNAD Avcı, Muhammet Ali - Altay, N. Oğuzhan. “Determinants of Financial Crises and the Predictability: A Case Study for Turkey”. Ege Academic Review 13/1 (February 2013), 113-124.
JAMA Avcı MA, Altay NO. Determinants of Financial Crises and the Predictability: A Case Study for Turkey. ear. 2013;13:113–124.
MLA Avcı, Muhammet Ali and N. Oğuzhan Altay. “Determinants of Financial Crises and the Predictability: A Case Study for Turkey”. Ege Academic Review, vol. 13, no. 1, 2013, pp. 113-24.
Vancouver Avcı MA, Altay NO. Determinants of Financial Crises and the Predictability: A Case Study for Turkey. ear. 2013;13(1):113-24.