Year 2014,
Issue: 12, - , 20.04.2015
Abstract
The aim of this study is to analyze the predictability of financial crises in the period of 1990-2010 for Turkey, Argentina Mexico, Thailand and Malaysia by regression trees model. In this models financial pressure index is calculated in order to determine the crises period. Fifteen different independent variables are elected from the literature in order to explain the financial pressure index. The most significant indicators for predicting financial crises are found to be money market pressure index, ratio of M2 to reserves and ratio of domestic credit to industrial production. With the regression trees model the financial crises experienced in Turkey in 1994 and 2001, Argentina in 2002 and 2009, Mexico in 1994 and 2009, Thailand in 1997 and Malaysia in 1997 and 2009 are successfully predicted
References
- BREIMAN, L., FRIEDMAN, J.H., OLSHEN, R.A. and STONE, J.C. (1984), Classification and regression trees, Wadsworth Inc, Monterey, California.
- BURKARD, O. ve COUDERT, V. (2000), “Currency Crises in the Emerging Economies”, Banque de France Bulletin, No. 82.
- CHAMON, M., MANASSE, P. ve PRATİ, A. (2007), “Can We Predict the Next Capital Account Crisis?”, IMF Staff Papers, Vol. 54/2.
- DAVIS, E. P. ve KARIM, D. (2008), “Could Early Warnin Systems Have Helped to Sub-Prime Crisis?”, National Institute Economic Review, No. 206.
- DUTTAGUPTA, R. ve CASHINL, P. (2008), “The Anatomy of Banking Crises”, IMF Working Papers, No. 93.
- EICHENGREEN, B., ROSE, A. ve WYPLOSZ, C. (1995),“Exchange Market Mayhem: The Antecedents and Aftermath of Speculative Attacks”, Economic Policy,No. 21, 251-312.
- FLOOD, R. P. ve GARBER, P. M. (1983),“Collapsing Exchange Rate Regimes”, Journal of International Economics, Vol. 17.
- FRANKEL, J. ve ROSE, A. (1996), “Currency Crashes in Emerging Markets: Emprical Indicators”, NBER Working Papers, No. 5437, pp. 1-29.
- GOSH, S. ve GOSH, A. R. (2003), “Structural Vulnerabilities and Currency Crises”, IMF Staff Papers, Vol. 50/3.
- HAGEN, J. ve HOO, T. (2004), “Money Market Pressure and Determinants of Banking Crises”, ZII Working Paper, No.20.
- HAMILTON, J. D. (1989),“A New Approach to Economic Analysis of Nonstationary Time Series and the Business Cycle”, Econometrica, Vol. 57/2.
- IMF, (1998), “Financial Crises:Characteristics and Indicators of Vulnerability”, World Economic Outlook, No. 4, pp. 74-97.
- IMF, (2010), International Financial Statistics Database IFS, İnternet Adresi; http://www.imf.org/external/data.htm, Erişim Tarihi: 10.8.2011
- KAMINSKY, G., LIZONDO, S. ve REINHART, C. (1998), “Leading Indicators of Currency Crises”, Policy Research Working Paper, No.1852, pp. 1-42.
- KİBRİTÇİOĞLU, A. (2001),“Türkiye’de Ekonomik Krizler ve Hükümetler, 1969- 2001”, Yeni Türkiye, No. 41, pp. 174-183.
- KRKOSKA, L., (2000), “Assensing Macroeconomic Vulnerability in Central Europe”, Eurpean Bank for Reconstruction and Development, Working Paper, No. 52.
- KRUGMAN, P. (1979), “A Model of Balance of Payments Crises”, Journal of Money, Credit and Banking, Vol. 11/3.
- KRUGMAN, P. (1998), “What Happened to Asia”, İnternet Adresi: http://web.mit.edu/krugman/www/DISINTER.html, Erişim Tarihi:10.08.2011
- MANASSE, P., ROUBINI, N. ve SCHIMMELPFENNIG, A. (2003), “Predicting Sovereign Debt Crises”, IMF Working Paper, No. 221.
- MISHKIN, F. S. (1999), “Lessons From the Asian Crisis”, NBER Working Papers, No. 3400.
- MISHKIN, F. S. (2001), “Financial Policies and the Prevention of Financial Crises in Emerging Market Economies”, NBER Working Papers, No. 8087
- NAG, A.K. VE MITRA, A. (1999), “Neural Networks and Early Warning Indicators of Currency Crisis”, Reserve Bank of India Occasional Papers, Vol. 20/2.
- NISBET, R., ELDER, J. ve MINER, G. (2009), Handbook of Statistical Analysis and Data Mining Applications, Academic Press is an Imprint of Elsevier, USA.
- OBSFELD, M. (1994),“The Logic of Currency Crises”,NBER Working Papers, No. 4640, pp. 1-64.
- TCMB, (2011), Elektronik Veri Dağıtım Sistemi, İnternet Adresi: http://evds.tcmb.gov.tr/cbt.html, Erişim Tarihi: 15.08. 2011
- STATSOFT, (2011), Electronic Statistic Textbook, İnternet Adresi: http://www.statsoft.com/textbook/, Erişim Tarihi: 20.08.2011.
FİNANSAL KRİZLERİN ÖNGÖRÜSÜNDE REGRESYON AĞAÇLARI MODELİ: GELİŞMEKTE OLAN ÜLKELERE YÖNELİK BİR ANALİZ
Abstract
Bu çalışmanın amacı 1990-2010 dönemi için Türkiye, Arjantin, Meksika, Malezya ve Tayland’da yaşanan finansal krizlerin öngörülebilirliğini regresyon ağaçları modeli ile analiz etmektir. Modellerde kriz dönemlerini belirlemek amacıyla finansal baskı endeksi hesaplanmış ve bu endeksi açıklamak üzere literatürden on beş farklı gösterge seçilmiştir. Finansal krizlerin öngörüsünde en başarılı bulunan göstergeler para piyasası baskı endeksi, M2’nin rezervlere oranı ve yurtiçi kredilerin endüstriyel üretime oranıdır. Regresyon ağaçları modeli ile 1994 ve 2001 Türkiye, 2002 ve 2009 Arjantin, 1994 ve 2009 Meksika, 1997 ve 2009 Malezya ve 1997 Tayland krizleri farklı göstergeler tarafından başarı ile öngörülmüştür.
References
- BREIMAN, L., FRIEDMAN, J.H., OLSHEN, R.A. and STONE, J.C. (1984), Classification and regression trees, Wadsworth Inc, Monterey, California.
- BURKARD, O. ve COUDERT, V. (2000), “Currency Crises in the Emerging Economies”, Banque de France Bulletin, No. 82.
- CHAMON, M., MANASSE, P. ve PRATİ, A. (2007), “Can We Predict the Next Capital Account Crisis?”, IMF Staff Papers, Vol. 54/2.
- DAVIS, E. P. ve KARIM, D. (2008), “Could Early Warnin Systems Have Helped to Sub-Prime Crisis?”, National Institute Economic Review, No. 206.
- DUTTAGUPTA, R. ve CASHINL, P. (2008), “The Anatomy of Banking Crises”, IMF Working Papers, No. 93.
- EICHENGREEN, B., ROSE, A. ve WYPLOSZ, C. (1995),“Exchange Market Mayhem: The Antecedents and Aftermath of Speculative Attacks”, Economic Policy,No. 21, 251-312.
- FLOOD, R. P. ve GARBER, P. M. (1983),“Collapsing Exchange Rate Regimes”, Journal of International Economics, Vol. 17.
- FRANKEL, J. ve ROSE, A. (1996), “Currency Crashes in Emerging Markets: Emprical Indicators”, NBER Working Papers, No. 5437, pp. 1-29.
- GOSH, S. ve GOSH, A. R. (2003), “Structural Vulnerabilities and Currency Crises”, IMF Staff Papers, Vol. 50/3.
- HAGEN, J. ve HOO, T. (2004), “Money Market Pressure and Determinants of Banking Crises”, ZII Working Paper, No.20.
- HAMILTON, J. D. (1989),“A New Approach to Economic Analysis of Nonstationary Time Series and the Business Cycle”, Econometrica, Vol. 57/2.
- IMF, (1998), “Financial Crises:Characteristics and Indicators of Vulnerability”, World Economic Outlook, No. 4, pp. 74-97.
- IMF, (2010), International Financial Statistics Database IFS, İnternet Adresi; http://www.imf.org/external/data.htm, Erişim Tarihi: 10.8.2011
- KAMINSKY, G., LIZONDO, S. ve REINHART, C. (1998), “Leading Indicators of Currency Crises”, Policy Research Working Paper, No.1852, pp. 1-42.
- KİBRİTÇİOĞLU, A. (2001),“Türkiye’de Ekonomik Krizler ve Hükümetler, 1969- 2001”, Yeni Türkiye, No. 41, pp. 174-183.
- KRKOSKA, L., (2000), “Assensing Macroeconomic Vulnerability in Central Europe”, Eurpean Bank for Reconstruction and Development, Working Paper, No. 52.
- KRUGMAN, P. (1979), “A Model of Balance of Payments Crises”, Journal of Money, Credit and Banking, Vol. 11/3.
- KRUGMAN, P. (1998), “What Happened to Asia”, İnternet Adresi: http://web.mit.edu/krugman/www/DISINTER.html, Erişim Tarihi:10.08.2011
- MANASSE, P., ROUBINI, N. ve SCHIMMELPFENNIG, A. (2003), “Predicting Sovereign Debt Crises”, IMF Working Paper, No. 221.
- MISHKIN, F. S. (1999), “Lessons From the Asian Crisis”, NBER Working Papers, No. 3400.
- MISHKIN, F. S. (2001), “Financial Policies and the Prevention of Financial Crises in Emerging Market Economies”, NBER Working Papers, No. 8087
- NAG, A.K. VE MITRA, A. (1999), “Neural Networks and Early Warning Indicators of Currency Crisis”, Reserve Bank of India Occasional Papers, Vol. 20/2.
- NISBET, R., ELDER, J. ve MINER, G. (2009), Handbook of Statistical Analysis and Data Mining Applications, Academic Press is an Imprint of Elsevier, USA.
- OBSFELD, M. (1994),“The Logic of Currency Crises”,NBER Working Papers, No. 4640, pp. 1-64.
- TCMB, (2011), Elektronik Veri Dağıtım Sistemi, İnternet Adresi: http://evds.tcmb.gov.tr/cbt.html, Erişim Tarihi: 15.08. 2011
- STATSOFT, (2011), Electronic Statistic Textbook, İnternet Adresi: http://www.statsoft.com/textbook/, Erişim Tarihi: 20.08.2011.
There are 26 citations in total.
Details
| Primary Language | Turkish |
|---|---|
| Journal Section | Articles |
| Authors | |
| Publication Date | April 20, 2015 |
| Published in Issue | Year 2014 Issue: 12 |
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