THE IMPACT OF CROSS-COUNTRY TRADE RELATIONS on THE CONTAGION of GLOBAL FINANCIAL CRISIS: THE CASE OF TURKEY

Year 2021, Volume: 22 Issue: 1, 85 - 98, 26.03.2021

Fatih Çemrek , Hakkı Polat

https://doi.org/10.18038/estubtda.870391

Abstract

This study has been written to examine the channels through which the global economic crises spread to the markets of countries with growing economies like Turkey. According to data from the Turkish Statistical Institute (TÜİK), stock market index data of the seven countries with high trade volume (Germany, France, UK, Russia, China, United States of Amerika and Italy) and of the seven countries with low trade volume (Botswana, Gabon, Kenya, Southern Cyprus, Iceland, New Zealand and Jamaica) between 2005 and 2011 was used. With the data used, volatility transfers occurred during the 2007-2008 crisis period were tried to be introduced with the aid of the multivariate GARCH models. As a result of the analyses, it has been determined that trade is an effective channel for transferring volatility.

Keywords

International Trade, Financial Crisis Contagion, Multivariate GARCH Models, Conditional Correlation

THE IMPACT OF CROSS-COUNTRY TRADE RELATIONS on THE CONTAGION of GLOBAL FINANCIAL CRISIS: THE CASE OF TURKEY

Abstract

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