FINANCIAL CRISES IN EMERGING ECONOMIES: A DESCRIPTIVE STATISTICS ANALYSIS

Year 2005, Issue: 50, 1041 - 1061, 13.10.2010

Ali Kabasakal Şakir Görmüş

Abstract

Bu çalışma 22 gelişmekte olan ülkede 1984 - 2001 yılları arasında meydana gelen borsa ve döviz krizlerinin zamansal ve bölgesel dağılımları ve göreceli olarak vuku bulmaları hakkında detaylı istatistiksel bilgi sağlamakta ve ayrıcada borsa ve döviz krizlerinin birbiriyle ilişkili olup olmadığını incelemektedir. Sonuçlar göstermiştir ki, borsa ve "ikiz" krizlerin sayısı ve yıllık ortalaması (frekansı) zamanla artmış (azalmış) buna karşılık döviz krizlerinin sayısı, yıllık ortalaması ve frekansı sabit kalmıştır. Ayrıca sonuçlar göstermiştir ki, borsa ve döviz krizleri genellikle eş zamanlı olarak meydana gelmektedir ve borsa krizleri azda olsa döviz krizlerinin öncü göstergesidir. Aynı zamanda, borsa krizlerinin döviz krizlerini tahmin etme gücü döviz krizlerinin borsa krizlerini tahmin etme gücünden daha yüksektir. Son olarak, borsa ve döviz krizleriyle alakalı olan kötü sinyallerin iyi sinyallere oranının 1'den az olması, borsa krizleri (döviz krizleri) olduğu zaman döviz krizlerinin (borsa krizlerinin) olma olasılığının olmama olasılığından yüksek olduğuna işaret etmektedir.

Keywords

FINANCIAL, CRISES, EMERGING

FINANCIAL CRISES IN EMERGING ECONOMIES: A DESCRIPTIVE STATISTICS ANALYSIS

Abstract

This study provides a detailed statistical overview of the time and
regional distribution and relative timing occurrence of stock market and
currency crises in 22 emerging economies over the 1984 - 2001 periods
and examines whether stock market and currency crises are related or not. We find that the number and annual average (frequency) of stock
market and “twin” crises have increased (decreased) over time while the
number, average per year and frequency of currency crises tends to be
stable. We also find that stock market and currency crises tend to occur
simultaneously and stock market crises slightly lead currency crises
rather than vice-versa. At the same time, the predictive power of the
stock market crises on set currency crises are higher than the predictive
power of currency crises on set stock market crises. Finally, all the
noise-to-signal ratios associated with stock market and currency crises
are less than 1 implying that when stock market crises occur currency
crises are more likely than not and vice-versa.

Keywords

FINANCIAL, CRISES, EMERGING

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