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FİNANSAL BULAŞMA ÜZERİNE BİR LİTERATÜR İNCELEMESİ

Year 2017, , 453 - 474, 24.12.2017
https://doi.org/10.14780/muiibd.384138

Abstract

Finansal bulaşmanın krizlerin yayılmasındaki rolü son yıllarda sıklıkla tartışılmaktadır. Buna rağmen finansal bulaşmanın tanımına ve hangi kanallardan gerçekleştiğine dair bir uzlaşı bulunmamaktadır. Finansal kriz zamanlarında piyasaların volatilitesi ve yatırımcıların riske duyarlılığı önemli ölçüde artar. Finansal bulaşma ise, bu çalkantılı dönemlerde yatırımcıların çeşitlendirmeden sağladığı yararın azalmasına sebep olur. Bu nedenle, finansal bulaşmanın anlaşılması hem yerel hem de uluslararası yatırımcılar açısından büyük önem taşımaktadır. Bu çalışmada finansal bulaşmaya ilişkin bir literatür incelemesi sunulmaktadır. Çalışmada öncelikle finansal bulaşmanın tanımına ilişkin farklı yaklaşımlara yer verilecek ve bulaşmaya neden olan kanallara değinilecektir. Son olarak bulaşmanın tespit edilmesine yönelik ampirik yaklaşımlara yer verilecektir.

References

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  • BAIG, T., Goldfajn, I. (1999). Financial Market Contagion in The Asian Crisis, IMF Staff Papers, 46(2): 167- 195.
  • BEKAERT, G., Hodrick,R.J., Zhang,X. (2005). International Stock Return Comovements, NBER Working Paper Series, No.11906.
  • BEKAERT, G., Ehrmann, M., Fratzscher, M., Mehl, A. (2014). The Global Crisis and Equity Market Contagion, The Journal of Finance, 69(6): 2597 – 2649.
  • CALVO, G. A. (2000) “Capital Market Contagion and Recession: An Explanation of the Russian Virus”, Wanted: World Financial Stability, Der. Eduardo Fernandez-Arias, Ricardo Hausmann, Johns Hopkins University Press.
  • CALVO, G. A., Mendoza, E.G. (1998). Rational Herd Behavior and the Globalization of Securities Markets”, Duke Economics Working Paper, No. 97-26, 1998.
  • CHAKRABARTI, R., Roll, R. (2002). East Asia and Europe during the 1997 Asian Collapse: A Clinical Study of a Financial Crisis, Journal of Financial Markets, 5(1): 1-30.
  • CHIANG, T. C., Jeon, B. N., Li, H. (2007). Dynamic Correlation Analysis of Financial Contagion: Evidence from Asian Markets, Journal of International Money and Finance, 26: 1206-1228.
  • CORSETTI, G., Pesenti, P., Roubini, N. (1999). What caused the Asian currency and Financial crisis?, Japan and The World Economy, Yayın No.11, s.305-373.
  • DE GRAUWE, P., Ji, Y. (2012). Mispricing of Sovereign Risk and Multiple Equilibria in the Eurozone, CEPS Working Document, Yayın No.361.
  • DORNBUSCH, R., Park,Y.C., Claessens S. (2000). Contagion: Understanding How It Spreads”, The World Bank Research Observer, 15(2): 177 – 197.
  • EICHENGREEN, B., Rose, A., Wyplosz,C. (1996). Contagious Currency Crisis: First Tests, The Scandinavian Journal of Economics, 96(4): 463-484.
  • ENGLE, R. (2002), Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroscedasticity Models, Journal of Business & Economic Statistics, 20(3): 339-350.
  • FORBES, K.. J., Rigobon, R. (2001). “Measuring Contagion: Conceptual and Empirical Issues”, International Financial Contagion, Derleyen: Stijn Claessens, Kristin Forbes, NewYork, Springer Science+Business Media, s.43-66.
  • FORBES, K.J., Rigobon, R. (2002). No Contagion, Only Interdependence: Measuring Stock Market Comovements, Journal of Finance, 7(5): 2223-2261.
  • GOLDSTEIN, M. (1998). The Asian Financial Crises: Causes, Cures, and Systemic Implications, Washington, Institute for International Economics.
  • GOLDSTEIN, M. (2001). The Asian Financial Crisis: Origins, Policy Prescriptions and Lessons, Journal of African Economies, 10(1): 72-103.
  • HAMAO, Y., Masulis, R. W., Ng, V. (1990), Correlations in Price Changes and Volatility Across International Stock Markets, The Review of Financial Studies, 3(2): 281-307.
  • HWANG, E., Min, H., Kim, B., Kim, H. (2013). Determinants of Stock Market Comovements among US and Emerging Economies During the US Financial Crisis, Economic Modelling, 35: 338-348.
  • KAMINSKY, G.L., Reinhart, C. M. (2000). On crises, Contagion, and Confusion, Journal of International Economics, 51: 45-168.
  • KAMINSKY, G. L., Reinhart, C. M., Vegh, C. (2003). The Unholy Trinity of Financial Contagion, Journal of Economic Perspectives, 16(4): 51-74.
  • KING, M. A., Wadhwani, S. (1990), Transmission of Volatility between Stock Markets, The Review of Financial Studies, 3(1): 5-33.
  • KOLB, R.W. (2011). “What is Financial Contagion?”, Financial Contagion: The Viral Threat to the Wealth of Nations, Derleyen: Robert W. Kolb, New Jersey.
  • KRÖGER, J., Kuhnert, S., McCarthy, M. (2010). “Contagion and Spillovers: Recent European Experience”, Contagion and Spillovers: New Insights from the Crisis, Derleyen: Peter Backé, Ernest Gnan, Philipp Hartmann, Viyana.
  • LEE, S.B., Kim, K.J. (1993). Does the October 1987 crash Strengthen the Co-Movements Among National Stock Markets?, Review of Financial Economics, 3: 89-102.
  • MASSON, P. (1998). Contagion: Monsoonal Effects, Spillovers, and Jumps Between Multiple Equilibria, IMF Working Paper, No.98/142.
  • MOSER, T. (2003). What is International Financial Contagion?, International Finance, 6(2): 157-178.
  • OBSTFELD, M. (1994). The Logic of Currency Crises, NBER Working Papers, Yayın No. 4640.
  • PERICOLI, M., Sbracia, M. (2003). A Primer on Financial Contagion, Journal of Economic Surveys, 17(4):571-608.
  • REINHART, C., Calvo, S. (1996). Capital Flows to Latin America: Is There Evidence of Contagion Effects?, MPRA Paper, Yayın No.7124.
  • SACHS, J.D., Tornell, A., Velasco, A. (1996). Financial Crises in Emerging Markets: The Lessons from 1995, NBER Working Paper Series, Yayın No.5576.
  • SCHMUKLER, S.L., Zoido, P., Halac, M. (2006). “Financial Globalization, Crises and Contagion”, International Macroeconomics: Recent Developments, Derleyen: A. Morales, Nova Science Publishers, s.207-225.
Year 2017, , 453 - 474, 24.12.2017
https://doi.org/10.14780/muiibd.384138

Abstract

References

  • BAE. K.H., Karolyi, G.A., Stulz, R.M. (2003). A New Approach to Measuring Financial Contagion, The Review of Financial Studies, 16(3): 717-763.
  • BAIG, T., Goldfajn, I. (1999). Financial Market Contagion in The Asian Crisis, IMF Staff Papers, 46(2): 167- 195.
  • BEKAERT, G., Hodrick,R.J., Zhang,X. (2005). International Stock Return Comovements, NBER Working Paper Series, No.11906.
  • BEKAERT, G., Ehrmann, M., Fratzscher, M., Mehl, A. (2014). The Global Crisis and Equity Market Contagion, The Journal of Finance, 69(6): 2597 – 2649.
  • CALVO, G. A. (2000) “Capital Market Contagion and Recession: An Explanation of the Russian Virus”, Wanted: World Financial Stability, Der. Eduardo Fernandez-Arias, Ricardo Hausmann, Johns Hopkins University Press.
  • CALVO, G. A., Mendoza, E.G. (1998). Rational Herd Behavior and the Globalization of Securities Markets”, Duke Economics Working Paper, No. 97-26, 1998.
  • CHAKRABARTI, R., Roll, R. (2002). East Asia and Europe during the 1997 Asian Collapse: A Clinical Study of a Financial Crisis, Journal of Financial Markets, 5(1): 1-30.
  • CHIANG, T. C., Jeon, B. N., Li, H. (2007). Dynamic Correlation Analysis of Financial Contagion: Evidence from Asian Markets, Journal of International Money and Finance, 26: 1206-1228.
  • CORSETTI, G., Pesenti, P., Roubini, N. (1999). What caused the Asian currency and Financial crisis?, Japan and The World Economy, Yayın No.11, s.305-373.
  • DE GRAUWE, P., Ji, Y. (2012). Mispricing of Sovereign Risk and Multiple Equilibria in the Eurozone, CEPS Working Document, Yayın No.361.
  • DORNBUSCH, R., Park,Y.C., Claessens S. (2000). Contagion: Understanding How It Spreads”, The World Bank Research Observer, 15(2): 177 – 197.
  • EICHENGREEN, B., Rose, A., Wyplosz,C. (1996). Contagious Currency Crisis: First Tests, The Scandinavian Journal of Economics, 96(4): 463-484.
  • ENGLE, R. (2002), Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroscedasticity Models, Journal of Business & Economic Statistics, 20(3): 339-350.
  • FORBES, K.. J., Rigobon, R. (2001). “Measuring Contagion: Conceptual and Empirical Issues”, International Financial Contagion, Derleyen: Stijn Claessens, Kristin Forbes, NewYork, Springer Science+Business Media, s.43-66.
  • FORBES, K.J., Rigobon, R. (2002). No Contagion, Only Interdependence: Measuring Stock Market Comovements, Journal of Finance, 7(5): 2223-2261.
  • GOLDSTEIN, M. (1998). The Asian Financial Crises: Causes, Cures, and Systemic Implications, Washington, Institute for International Economics.
  • GOLDSTEIN, M. (2001). The Asian Financial Crisis: Origins, Policy Prescriptions and Lessons, Journal of African Economies, 10(1): 72-103.
  • HAMAO, Y., Masulis, R. W., Ng, V. (1990), Correlations in Price Changes and Volatility Across International Stock Markets, The Review of Financial Studies, 3(2): 281-307.
  • HWANG, E., Min, H., Kim, B., Kim, H. (2013). Determinants of Stock Market Comovements among US and Emerging Economies During the US Financial Crisis, Economic Modelling, 35: 338-348.
  • KAMINSKY, G.L., Reinhart, C. M. (2000). On crises, Contagion, and Confusion, Journal of International Economics, 51: 45-168.
  • KAMINSKY, G. L., Reinhart, C. M., Vegh, C. (2003). The Unholy Trinity of Financial Contagion, Journal of Economic Perspectives, 16(4): 51-74.
  • KING, M. A., Wadhwani, S. (1990), Transmission of Volatility between Stock Markets, The Review of Financial Studies, 3(1): 5-33.
  • KOLB, R.W. (2011). “What is Financial Contagion?”, Financial Contagion: The Viral Threat to the Wealth of Nations, Derleyen: Robert W. Kolb, New Jersey.
  • KRÖGER, J., Kuhnert, S., McCarthy, M. (2010). “Contagion and Spillovers: Recent European Experience”, Contagion and Spillovers: New Insights from the Crisis, Derleyen: Peter Backé, Ernest Gnan, Philipp Hartmann, Viyana.
  • LEE, S.B., Kim, K.J. (1993). Does the October 1987 crash Strengthen the Co-Movements Among National Stock Markets?, Review of Financial Economics, 3: 89-102.
  • MASSON, P. (1998). Contagion: Monsoonal Effects, Spillovers, and Jumps Between Multiple Equilibria, IMF Working Paper, No.98/142.
  • MOSER, T. (2003). What is International Financial Contagion?, International Finance, 6(2): 157-178.
  • OBSTFELD, M. (1994). The Logic of Currency Crises, NBER Working Papers, Yayın No. 4640.
  • PERICOLI, M., Sbracia, M. (2003). A Primer on Financial Contagion, Journal of Economic Surveys, 17(4):571-608.
  • REINHART, C., Calvo, S. (1996). Capital Flows to Latin America: Is There Evidence of Contagion Effects?, MPRA Paper, Yayın No.7124.
  • SACHS, J.D., Tornell, A., Velasco, A. (1996). Financial Crises in Emerging Markets: The Lessons from 1995, NBER Working Paper Series, Yayın No.5576.
  • SCHMUKLER, S.L., Zoido, P., Halac, M. (2006). “Financial Globalization, Crises and Contagion”, International Macroeconomics: Recent Developments, Derleyen: A. Morales, Nova Science Publishers, s.207-225.
There are 32 citations in total.

Details

Subjects Economics
Journal Section Makaleler
Authors

H. Zeynep Budak This is me

Publication Date December 24, 2017
Submission Date September 1, 2017
Published in Issue Year 2017

Cite

APA Budak, H. Z. (2017). FİNANSAL BULAŞMA ÜZERİNE BİR LİTERATÜR İNCELEMESİ. Marmara Üniversitesi İktisadi Ve İdari Bilimler Dergisi, 39(2), 453-474. https://doi.org/10.14780/muiibd.384138
AMA Budak HZ. FİNANSAL BULAŞMA ÜZERİNE BİR LİTERATÜR İNCELEMESİ. Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi. December 2017;39(2):453-474. doi:10.14780/muiibd.384138
Chicago Budak, H. Zeynep. “FİNANSAL BULAŞMA ÜZERİNE BİR LİTERATÜR İNCELEMESİ”. Marmara Üniversitesi İktisadi Ve İdari Bilimler Dergisi 39, no. 2 (December 2017): 453-74. https://doi.org/10.14780/muiibd.384138.
EndNote Budak HZ (December 1, 2017) FİNANSAL BULAŞMA ÜZERİNE BİR LİTERATÜR İNCELEMESİ. Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi 39 2 453–474.
IEEE H. Z. Budak, “FİNANSAL BULAŞMA ÜZERİNE BİR LİTERATÜR İNCELEMESİ”, Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi, vol. 39, no. 2, pp. 453–474, 2017, doi: 10.14780/muiibd.384138.
ISNAD Budak, H. Zeynep. “FİNANSAL BULAŞMA ÜZERİNE BİR LİTERATÜR İNCELEMESİ”. Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi 39/2 (December 2017), 453-474. https://doi.org/10.14780/muiibd.384138.
JAMA Budak HZ. FİNANSAL BULAŞMA ÜZERİNE BİR LİTERATÜR İNCELEMESİ. Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi. 2017;39:453–474.
MLA Budak, H. Zeynep. “FİNANSAL BULAŞMA ÜZERİNE BİR LİTERATÜR İNCELEMESİ”. Marmara Üniversitesi İktisadi Ve İdari Bilimler Dergisi, vol. 39, no. 2, 2017, pp. 453-74, doi:10.14780/muiibd.384138.
Vancouver Budak HZ. FİNANSAL BULAŞMA ÜZERİNE BİR LİTERATÜR İNCELEMESİ. Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi. 2017;39(2):453-74.