BRIC-3 Ülkelerinde Finansal Krizler ve Öncü Göstergeleri

Year 2020, Volume: 28 Issue: 43, 213 - 228, 25.01.2020

Hilal Alpdoğan , Mustafa Akal

https://doi.org/10.17233/sosyoekonomi.2020.01.12

Abstract

KLR (1998) yöntemi kullanılarak 1990-2016 döneminde Brezilya, Rusya, Hindistan ve Çin’de yaşanan finansal kriz tarihleri tespit edilmiştir. Literatürle desteklenen kriz tarihlerinin başlangıcından önceki 24 aylık kriz penceresinde sinyal veren on beş temel ekonomik gösterge incelenmiş ve gürültü sinyal oranı dikkate alınarak üç ülke için başarılı kriz tahmincileri belirlenmiştir. Belirlenen kriz tahmincileriyle ülkelerin içsel dinamikleri ve krizlerin ekonomiyi etkileme kanalları hakkında önemli bilgilere ulaşılmıştır. Brezilya, Rusya ve Çin’in ortak öncü göstergeleri ihracat, ithalat ve net borçluluk olarak bulunmuştur.

Keywords

Finansal Krizler, Sinyal Yaklaşımı, KLR Metodu, BRIC

Financial Crises and Signal Indicators in BRIC-3 Countries

Abstract

Using the KLR (1998) methodolgy, the financial crises of Brazil, Russia, India and China have been determined in the period 1990-2016. The fifteen main economic indicators that signaled the 24-month crisis window before the beginning of the crisis dates supported by the literature were examined and successful crisis estimators were determined by considering the noise signal ratios for three countries. The identified crisis estimators provide important informations about the internal dynamics of countries and the channels of crisis affecting the economy. The common signal indicators are found as export, import and net borrowing liabilities for Brazil, Russia and China.

Keywords

Financial Crises, Signal Approach, KLR Methodology, BRIC

References

• Berg, A. & C. Pattillo (1999a), “Are Currency Crises PredicTablo? A Test”, IMF Staff Papers, 46(2), 107-138.
• Berg, A. & C. Pattillo (1999b), “Predicting Currency Crises: The Indicators Approach and Alternative”, Journal of International Money and Finance, 18, 561-586.
• Edison, H.J. (2003), “Do Indicators of Financial Crises Work? An Evaluation of An Early Warning System”, International Journal of Finance and Economics, 8(1), 11-53.
• Eichengreen, B. & A.K. Rose & C. Wyplosz (1995), “Exchange Market Mayhem: The Antecedents and Aftermath of Speculative Attacks”, Economic Policy, 10(21), 249-312.
• Frankel, J.& A. Rose (1996), “Currency Crashes in Emerging Markets: Emprical Indicators”, NBER Working Papers, 5437, 1-29.
• Goldstein, M. & G.L. Kaminsky & C.M. Reinhart (2000), “Assessing Financial Vulnerability an Early Warning System for Emerging Markets”, in: Institute for International Economics, (Finansal Kırılganlığın Ölçümü Yükselen Piyasalar İçin Erken Uyarı Sistemleri, Çev. D. Çakmur-Yıldırtan, Derin Yayınları, 2007, İstanbul), Washington, DC, 1-56.
• Kaminsky, G. & C. Reinhart (1999), “The Twin Crises: The Causes of Banking and Balance of Payment Problems”, The American Economic Review, 89(3), 473-500.
• Kaminsky, G. & S. Lizondo & C.M. Reinhart (1998), “Leading Indicators of Currency Crises”, International Monetary Fund Staff Papers, 45,1-48.
• Sachs, J.D. & A. Tornell & A. Valesco (1996). “Financial Crises in Emerging Markets: The Lessons from 1995”, Brooking Papers on Economic Activity, Brooking Institution, 147-215.
• Tisdell, C. (2009), “Economic Reform and Openness in China: China’s Development Policies in the Last 30 Years”, Economic Analysis and Policy, 39(2), 271-294.