AN ANALYSIS OF LEADING INDICATORS WITH LOGIT-PROBIT MODEL TO ESTIMATE FINANCIAL CRISIS: THE CASE OF TURKEY

Abstract

Many indices and models have been developed, and derived to determine the predictability of financial crises and leading indicators of financial crises. Economic and financial leading variables are used as indicators in forecasting the crises.The aim of this study is to establish the financial pressure index forJanuary 2005 - January 2017 period and to identify the leading indicators of financial crises using Logit / Probit models. GrossReserves BUR , DomesticDebtStock ICB and Monthly TL Deposit Interest AMF are significant and reliable variables to explain model

Keywords

• Financial Crisis,Financial Pressure Index,Leading Indicators,Turkey

FİNANSAL KRİZLERİN TAHMİNİNDE ÖNCÜ GÖSTERGELERİN LOGİT-PROBİT MODEL İLE ANALİZİ: TÜRKİYE UYGULAMASI

Abstract

Finansal krizlerin önceden tahmin edilebilirliği ile finansal krizleri gösteren öncü göstergelerin belirlenmesi konusunda birçok endeks geliştirilmiş, tartışılmış ve modeller türetilmiştir. Krizlerin önceden tahmin edilmesinde ekonomik ve finansal öncü değişkenler gösterge olarak kullanılmaktadır. Bu çalışmanın amacı 2005 Ocak - 2017 Ocak döneminde finansal baskı endeksi oluşturulması ve Logit / Probit modeller kullanılarak finansal krizlerin öncü göstergelerinin tespit edilmesidir. Brüt rezervler BUR , İç Borç stoku ICB ve Aylık TL mevduat faizi AMF değişkenlerinden oluşan model krizi en iyi açıklayan ve güvenilir model olarak seçilmiştir.

Keywords

• Finansal Kriz,Finansal Baskı Endeksi,Öncü Göstergeler,Türkiye

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