En Büyük Küresel Finansal Kriz: Amerika’dan mı Yayıldı Yoksa Sadece bir Karşılıklı Bağımlılık mı?

Year 2017, Volume: 9 Issue: 2, 487 - 502, 20.12.2017

Doğuş Emin

Abstract

Bu çalışma 2008 Mortgage krizininin Türkiye’nin de içinde bulunduğu gelişmekte

olan Avrupa ülkelerine Amerika ile olan güçlü bağlardan dolayı mı etki ettiğini yoksa

krizin dinamiklerinden kaynaklanan sebepler ile mi bulaştığını incelemektedir. Bu

amaç ile çalışmada kriz ve kriz öncesi dönemlerin dinamik korelasyonları

karşılaştırılarak 2008 Mortgage krizininin Amerika’dan bulaşma şeklinde yayılıp

yayılmadığı test edilmektedir. Sonuçlar gelişmekte olan Avrupa ülkelerine krizin her

ne kadar bulaşma şeklinde yayıldığını gösterse de borsaların birbirlerine normal

gündeki güçlü bağımlılıklarından dolayı da bulaştığını göstermiştir. Sonuçlar aynı

zamanda metodoloji üzerine de bazı implikasyonları ortaya koymuştur. Buna göre

bulaşmanın tespit edilmesinde ekonometrik tanımlamalar ve kriz dönemlerinin

belirlenmesi önemli ve anlamlı rol oynamaktadır.

Keywords

Krizlerin Bulaşması, Borsaların Bağımlılığı, Dinamik Korrelasyon

The Greatest Global Financial Crisis: Contagion from the United States or Only Interdependence?

Abstract

Comparing tranquil and shock periods’ dynamic conditional correlations; this study

tests presence of “contagion effect” from the US to the group of countries that includes

Turkey too -emerging European countries- during the latest global financial crisis

(2008 Mortgage Crisis). The results reveal that although the contagion effect was

observed for some of the emerging European countries, the crises did propagate to the

rest of the emerging European countries due to strong normal day interdependence.

The results reveal some key implications regarding methodological issues too as the

conclusion regarding the presence of the contagion is highly dependent on

econometric specifications and sample period diversifications.

Keywords

Contagion, Interdependence, Dynamic Conditional Correlation

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