Türkiye Finansal Stres Endeksi ve Markov Rejim Değişim Modeli ile Yüksek Stres Dönemlerinin Belirlenmesi

Year 2018, , 125 - 140, 31.12.2018

Hoşeng Bülbül , İşıl Akgül

https://doi.org/10.17153/oguiibf.427265

Cited By: 6

Abstract

Gelişmekte olan ülkeler, küresel piyasalardaki gelişmelere
ve sermaye hareketlerine karşı daha duyarlıdır. Bu sebeple finansal
piyasalardan kaynaklı sorunlarla karşılaştıklarında oluşan finansal stresin
ekonomik toparlanmayı tehlikeye atacak kadar yüksek olmaması gerekmektedir. Bu çalışmada
Türkiye için 1990:01-2017:02 döneminde finansal istikrarı izlemek amacıyla bir
finansal stres endeksi oluşturularak politika yapıcılara fayda sağlanması
amaçlanmıştır. Endekste
yer verilen değişkenler, finansal piyasalardaki yüksek stres durumlarını
tanımlayan değişkenler arasından seçilmiştir. Bu finansal stres endeksi için Markov
rejim değişim modelleri tanımlanmış, bu modeller yardımı ile finansal
piyasalardaki düşük stres, normal stres ve yüksek stres dönemleri belirlenmiştir.
Yüksek stres dönemlerinin 1991, 1994, 1998, 2000-2001, 2008 kriz yıllarında
yoğunlaştığı bulgusuna ulaşılmıştır. Bu da oluşturulan finansal endeksin Türkiye
krizlerini öngörmede başarısını göstermektedir.

Keywords

Finansal Stres Endeksi, Finansal Krizler, Markov Rejim Değişim Modeli

Financial Stress Index of Turkey and Determination of High Stress Periods by Markov Regime Switching Model

Abstract

Developing countries are more sensitive to developments in global markets and capital movements. Therefore, their financial stress should not be high enough to put the economic recovery in danger when faced with problems originating from financial markets. In this paper, it is aimed to provide benefit to policymakers by creating a financial stress index that covers the period from 1990:01 to 2017:02 for Turkey in order to monitor financial stability. The variables included in the index are chosen among the variables that define the high stress conditions in financial markets. Markov regime switching models have been defined for this financial stress index, with the help of these models, low stress, normal stress and high stress periods in financial markets have been determined. The findings have been reached that high stress periods concentrated in the crisis years of 1991, 1994, 1998, 2000-2001 and 2008. This shows the success of the financial index to predict the crises in Turkey.

Keywords

Financial Stress Index, Financial Crisis, Markov Regime-Switching Model

References

• Adanur Aklan, Nejla; Çınar, Mehmet; Kanalıcı Akay, Hülya (2015), “Financial Stress and Economic Activity Relationship In Turkey: Post-2002 Period”, Journal of Management & Economics, Vol.22, No.2: 567-580.
• Balakrishnan, Ravi; Danninger, Stephan; Elekdağ, Selim; Tytell, Irina (2009), “The Transmission of Financial Stress From Advanced to Emerging Economies”, IMF Working Paper, WP/09/133, 1-52.
• Bildirici, Melike; Alp Aykaç, Elçin; Ersin, Özgür Ömer; Bozoklu, Ümit (2010), İktisatta Kullanılan Doğrusal Olmayan Zaman Serisi Yöntemleri, 1.Baskı, İstanbul: Türkmen Kitabevi.
• Brooks, Chris (2008), Introductory Econometrics for Finance, 2th Edition, Cambridge: Cambridge University Press.
• Caporale, Guglielmo, Maria; Spagnolo, Nicola (2004), “Modelling East Asian Exchange Rates: a Markov-Switching Approach”, Applied Financial Economics, Vol.14, No.4: 233-242.
• Cardarelli, Roberto; Elekdag, Selim; Lall, Subir (2009), “Financial Stress, Downturns, and Recoveries”, IMF Working Paper, WP/09/100, 1-60.
• Çevik, Emrah Ismail; Dibooglu, Sel; Kenc, Turalay (2013), "Measuring Financial Stress in Turkey", Journal of Policy Modeling, Vol.35, No.2: 370-383.
• Çamlica, Ferhat; Gunes, Didem (2016), “Türkiye'de Finansal Stresin Ölçülmesi: Yöntemsel Bir Karşılaştırma”, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, No.6.
• Ekinci, Aykut (2013), “Financial Stress Index for Turkey”, Doğuş Üniversitesi Dergisi, C.14, S.2: 213-229.
• Elekdağ, Selim; Kanlı, İbrahim Burak; Samancıoğlu, Zahid; Sarıkaya, Çağrı (2010), "Finansal Stres ve İktisadi Faaliyet", Central Bank Review, C. 10, S.2:1-8.
• Enders, Walter. (2014), Applied Econometric Time Series, 4th Edition. New York, John Wiley.
• Franses, Philip, Hans; Van Dijk, Dick (2003), Non-Linear Time Series Models in Empirical Finance, 2th Edition, Cambridge: Cambridge University Press.
• Granger, W.J. Clive (1998), “Overview of Nonlinear Time Series Specification in Economics” National Science Foundation Summer Symposia on Econometrics and Statistics, California.
• Hakkio, Craig; Keeton, William (2009), “Financial Stress: What Is It, How Can It Be Measured, and Why Does It Matter”, Economic Review-Federal Reserve Bank of Kansas City, Vol.94, No.2: 5-50.
• Hamilton, James, Douglas (1989), “A New Approach to The Economic Analysis of Nonstationary Time Series and The Business Cycle”, Econometrica: Journal of the Econometric Society, Vol.57, N.2: 357-384.
• Hamilton, James, Douglas (2005), “Regime-Switching Models”, Unpublished Working Paper, University of California, San Diego, 1-15.
• Hanschel, Elke; Monnin, Pierre (2005), “Measuring and Forecasting Stress in The Banking Sector: Evidence from Switzerland”, BIS Papers, No.22: 431-449.
• Hollo, Daniel; Kremer, Manfred; Lo Duca, Marco (2012), "CISS – A Composite Indicator of Systemic Stress in the Financial System", ECB Working Paper Series, No.1426: 1-49.
• Illing, Mark; Liu, Ying (2003), "An Index of Financial Stress for Canada", Bank of Canada Working Papers, Bank of Canada, No.14: 1-52.
• Illing, Mark; Liu, Ying (2006), "Measuring Financial Stress in a Developed Country: An Application to Canad", Journal of Financial Stability, Vol.2, No.3: 243-265.
• Kaminsky, Graciela; Lizondo, Saul; Reinhart, Carmen (1998), “Leading Indicators of Currency Crises”, IMF Staff Papers, Vol.45, N.1: 1-48.
• Koç, Selçuk; Akgül, Işıl (2013), “Türkiye Ekonomisinin Rejim Yapısının MSVAR ile Belirlenmesi”, İktisat İşletme ve Finans, C.28, S.324: 9-34.
• Krolzig, Hans-Martin (1997), “Markov- Switching Vector Autoregressions: Modeling, Statistical Inference and Application to Business Cycle Analysis. Lecture Notes in Economics and Mathematical Systems, 454, 1th Edition, Berlin: Springer.
• Kuan, Chung Ming (2002), “Lecture on The Markov Switching Model” Institute of Economics Academia Sinica, http://homepage.ntu.edu.tw/~ckuan/pdf/Lec-Markov_note.pdf, (Erişim: 02.10.2017).
• Martinez Peria, Maria Soledad (1999), “A Regime-Switching Approach to Studying Speculative Attacks: A Focus on European Monetary System Crises”, Development Research Group, World Bank.
• Oet, Mikhail Victor; Eiben, Ryan; Bianco, Timothy; Gramlich, Dieter; Ong, Stephen (2011), “Financial Stress Index: Identification of Systemic Risk Conditions”, Federal Reserve Bank of Cleveland, Working Paper 11-30, November.
• Özdemir, Selin; Akgül, Işıl (2015), “Inflationary Effects of Oil Prices and Domestic Gasoline Prices: Markov-Switching-VAR Analysis”, Petroleum Science, Vol.12, N.2: 355-365.
• Özdemir, Selin; Akgül, Işıl (2015), “Ham Petrol ve Benzin Fiyatlarının Sanayi Üretimine Etkisi: MS-VAR Modelleri ile Analizi”, Ege Akademik Bakış, C.15, S.3: 367-378.
• Öztürkler, Harun; Türkmen, Göksel (2013), “Türkiye İçin Finansal Baskı Endeksi Oluşturulması”, Türkiye Ekonomi Politikaları Araştırma Vakfı Politika Notu, 201319, 1-8.
• Sauer, Christine; Bohara, Alok (2001), “Exchange Rate Volatility and Exports: Regional Differences Between Developing and Industrialized Countries”, Review of International Economics, Vol.9, N.1: 133-152.
• Tsay, S. Ruey (2002), Analysis of Financial Time Series, Financial Econometrics, 2th Edition, University of Chicago: John Wiley and Sons, Inc.
• Vermeulen, Robert; Hoeberichts, Marco; Vašíček, Borek; Žigraiová, Diana; Šmídková, Katerina; Haan, Jakop de (2015), “Financial Stress Indices and Financial Crises”, Open Economies Review, Vol.26, N.3: 383-406.
• Wang, Peijie (2008), Financial Econometrics, 2th Edition, Routledge.