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

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

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