Yıl 2010,
Cilt: 65 Sayı: 04, 67 - 86, 01.04.2010
Öz
Anahtar Kelimeler
Kaynakça
- BCB (Banco Central Do Brazil), http://www.Bcb.Gov.Br
- Berg, Jeroen Van Den, Bertrand Candelon ve Jean-Pierre Urbain (2006), “A Cautious Note on the Use of Panel Models to Predict Financial Crises,” www.Personeel.Unimaas.Nl/ J.Urbain/Vandenbergcandelonurbainwp2006.Pdf
- Bernanke, Ben (2005), “The Global Saving Glut and the U.S. Current Account Deficit,” Http://Www.Federalreserve.Gov/Boarddocs/Speeches/2005/200503102/Default.Htm
- Bracke, Thierry ve Michael Fidora (2008), “Global Liquidity Glut or Global Saving Glut? A Structural Var Approach,” European Central Bank Working Paper: 911.
- Calvo, Sara ve Carmen Reinhart (1996), “Capital Flows To Latin America: Is There Evidence of Contagion Effects?,” Calvo, Guillermo A., Morris Goldstein ve Eduard Hochreiter (eds.), Private Capital Flows to Emerging Markets (Washington D.C.: Institute for International Economics): 151-171.
- Calvo, Guillermo A, Morris Goldstein, Eduard Hochreiter (eds.) (1996), Private Capital Flows to Emerging Markets (Washington D.C.: Institute for International Economics).
- Calvo, Guillermo A.ve Enrique G. Mendoza (2000), “Rational Contagion And Globalization of Securities Market,” Journal of International Economics, 51(1): 79-113.
- Edwards, Sebastian (2005), “Is The U.S. Current Account Deficit Sustainable? And If not, How Costly is Adjustment Likely to Be?,” National Bureau Of Economic Research Working Paper, 11541.
- Essaadi, Essahbi, Jamel Jouini ve Wajih Khallouli (2007), “The Asian Crisis Contagion: A Dynamic Correlation Approach Analysis,” Gate Paper: 07-25.
- Forseti, Pasquale (2007), “Testing for Granger Causality between Stock Prices and Economic Growth,” Mpra Paper, 2962, http://Mpra.Ub.Uni-Muenchen.De/2962
- Frankel, Jeffrey A ve Andrew K Rose (1996), “Currency Crashes in Emerging Markets: an Empirical Treatment,” International Finance Discussion Paper (Washington: Board of Governors of Federal Reserve): 534.
- Gertler, Mark ve Cara S. Lown (1999), “The Information in the High-Yield Bond Spread for the Business Cycle: Evidence and Some Implications,” Oxford Review of Economic Policy, 15: 132-150.
- Granger, Clive W.J., Bwo-Nung Huang ve Chin Wei Yang (2000), “A Bivariate Causality between Stock Prices and Exchange Rates: Evidence from Recent Asian Flu,” The Quarterly Review of Economics and Finance, 40: 337-354.
- Greene, William H. (1997), Econometric Analysis (New Jersey: Prentice-Hall International Inc.). İmer-Ertunga, Evrim (2009), Küresel Mali Dalgalanmalar: Etkileri ve Yaygınlığı (Ankara Üniversitesi Sosyal Bilimler Enstitüsü).
- IMF (2006), “Chapter iii. Structural Changes in Emerging Sovereign Debt and Implications of Financial Stability,” Http://www.Imf.Org/External/Pubs1ft/Gfsr/2006/01/Pdf/ Chp3.Pdf .
- Jpmorgan Tradable Index Strategies: Emerging Markets, http://www.Jpmorgan.Com/Pages/
- Jpmorgan/Investbk/Solutions/Research/Embi Kalafatçılar, Koray ve Gökhan Yılmaz (2009), “Küresel Likidite: Tanımı, Ölçümü ve Küresel Dengesizlikler ile Bağlantısı,” İktisat, İşletme ve Finans Dergisi, 275, 9-36.
- Kaminsky, Graciela ve Carmen Reinhart (1999), “The Twin Crises: The Causes of Banking and Balance of Payments Problems,” American Economic Review, 89(39): 473-500
- Mcfadden, Daniel (1974), “Conditional Logit Analysis of Qualitative Choice Behavior,” Zarembka, Paul (ed.), Frontiers in Econometrics (New York: Academic Press): 105-142
- Mody, Ashoka ve Mark P. Taylor (2003), “The High-Yield Spread As a Predictor of Real Economic Activity: Evidence of A Financial Accelerator for the United States,” International Monetary Fund Staff Papers, 50: 373-402.
- Mody, Ashoka ve Mark P. Taylor (2004), “Financial Predictors of Real Activity and the Financial Accelerator,” Economics Letters, 82: 167-172.
- Obstfeld, Maurice ve Alan M. Taylor (2002), “Globalization and Capital Markets,” National Bureau of Economic Research Working Paper, 8846.
- Özatay, Fatih ve Erdal Özmen ve Gülbin Şahinbeyoğlu (2009), “Emerging Market Sovereign Spreads, Global Financing Conditions and U.S. Macroeconomic News,” Economic Modelling, 26: 526-531.
- Rüffer, Rasmus ve Livio Stracca (2006), “What is Global Excess Liquidity, and Does it Matter?,” European Central Bank Working Paper Series, 696.
- Sander, Harald ve Stefanie Kleimeir (2003), “Contagion And Causality: an Empirical Investigation of four Asian Crisis Episodes,” Journal of International Financial Markets, Institutions and Money, 13(12): 171-186.
- Steeley, James M. (2006), “Volatility Transmission between Stock and Bond Markets,” Journal of International Financial Markets, Institutions and Money, 16: 71-86.
- Stıglitz, Joseph E. (2006), Making Globalization Work (New York: Ww Norton).
- Wooldridge, Jeffrey M. (2005), “Simple Solutions to the Initial Conditions Problem for Dynamic, Nonlinear Panel Data Models with Unobserved Heterogeneity," Journal of Applied Econometrics, 20: 39-54.
- Zarembka, Paul (1974), Frontiers in Econometrics (New York: Academic Press).
Yıl 2010,
Cilt: 65 Sayı: 04, 67 - 86, 01.04.2010
Öz
Bu çalışmada, küresel mali dalgalanmalar kapsamında, küresel likidite kavramı incelenmekte ve günlük Euro-tahvil verileri kullanılarak küresel mali dalgalanmaların yayılması kapsamındaki bulgular değerlendirilmektedir. Bu amaçla önce Ocak 1999- Mart 2007 arasındaki Brezilya, Meksika, Rusya, Macaristan, Malezya, Güney Afrika ve Türkiye’nin EMBIG Endeksleri ile ABD 10 yıllık hazine tahvili faizlerine dayanan yüksek frekanslı bir veri seti oluşturulmuştur. Verilerin durağanlığı için Augmented Dickey-Fuller (ADF) sınamalarına başvurulmuştur. Daha sonra bu veri seti kullanılarak korelasyon, Granger nedenselliği ve panel probit uygulamaları yapılmış ve ortaya çıkan bulgular değerlendirilmiştir. Uygulamalarda ve değerlendirmelerde küresel mali dalgalanmalarda rol oynayan küresel likidite hareketlerinin gelişen ülkelerin sermaye akışında yayılmaya yol açıp açmadığıyla ilgili olarak ortaya koyulan soruların yanıtlanması amaçlanmıştır. Mali dalgalanmalar (ele alınan ülkeler kapsamında) panel probit yöntemiyle ilk kez bu çalışmada açıklanmaya çalışılmaktadır.
Anahtar Kelimeler
Küresel mali dalgalanmalar Euro-tahvil getirileri korelasyon Granger Nedenselliği panel probit
Kaynakça
- BCB (Banco Central Do Brazil), http://www.Bcb.Gov.Br
- Berg, Jeroen Van Den, Bertrand Candelon ve Jean-Pierre Urbain (2006), “A Cautious Note on the Use of Panel Models to Predict Financial Crises,” www.Personeel.Unimaas.Nl/ J.Urbain/Vandenbergcandelonurbainwp2006.Pdf
- Bernanke, Ben (2005), “The Global Saving Glut and the U.S. Current Account Deficit,” Http://Www.Federalreserve.Gov/Boarddocs/Speeches/2005/200503102/Default.Htm
- Bracke, Thierry ve Michael Fidora (2008), “Global Liquidity Glut or Global Saving Glut? A Structural Var Approach,” European Central Bank Working Paper: 911.
- Calvo, Sara ve Carmen Reinhart (1996), “Capital Flows To Latin America: Is There Evidence of Contagion Effects?,” Calvo, Guillermo A., Morris Goldstein ve Eduard Hochreiter (eds.), Private Capital Flows to Emerging Markets (Washington D.C.: Institute for International Economics): 151-171.
- Calvo, Guillermo A, Morris Goldstein, Eduard Hochreiter (eds.) (1996), Private Capital Flows to Emerging Markets (Washington D.C.: Institute for International Economics).
- Calvo, Guillermo A.ve Enrique G. Mendoza (2000), “Rational Contagion And Globalization of Securities Market,” Journal of International Economics, 51(1): 79-113.
- Edwards, Sebastian (2005), “Is The U.S. Current Account Deficit Sustainable? And If not, How Costly is Adjustment Likely to Be?,” National Bureau Of Economic Research Working Paper, 11541.
- Essaadi, Essahbi, Jamel Jouini ve Wajih Khallouli (2007), “The Asian Crisis Contagion: A Dynamic Correlation Approach Analysis,” Gate Paper: 07-25.
- Forseti, Pasquale (2007), “Testing for Granger Causality between Stock Prices and Economic Growth,” Mpra Paper, 2962, http://Mpra.Ub.Uni-Muenchen.De/2962
- Frankel, Jeffrey A ve Andrew K Rose (1996), “Currency Crashes in Emerging Markets: an Empirical Treatment,” International Finance Discussion Paper (Washington: Board of Governors of Federal Reserve): 534.
- Gertler, Mark ve Cara S. Lown (1999), “The Information in the High-Yield Bond Spread for the Business Cycle: Evidence and Some Implications,” Oxford Review of Economic Policy, 15: 132-150.
- Granger, Clive W.J., Bwo-Nung Huang ve Chin Wei Yang (2000), “A Bivariate Causality between Stock Prices and Exchange Rates: Evidence from Recent Asian Flu,” The Quarterly Review of Economics and Finance, 40: 337-354.
- Greene, William H. (1997), Econometric Analysis (New Jersey: Prentice-Hall International Inc.). İmer-Ertunga, Evrim (2009), Küresel Mali Dalgalanmalar: Etkileri ve Yaygınlığı (Ankara Üniversitesi Sosyal Bilimler Enstitüsü).
- IMF (2006), “Chapter iii. Structural Changes in Emerging Sovereign Debt and Implications of Financial Stability,” Http://www.Imf.Org/External/Pubs1ft/Gfsr/2006/01/Pdf/ Chp3.Pdf .
- Jpmorgan Tradable Index Strategies: Emerging Markets, http://www.Jpmorgan.Com/Pages/
- Jpmorgan/Investbk/Solutions/Research/Embi Kalafatçılar, Koray ve Gökhan Yılmaz (2009), “Küresel Likidite: Tanımı, Ölçümü ve Küresel Dengesizlikler ile Bağlantısı,” İktisat, İşletme ve Finans Dergisi, 275, 9-36.
- Kaminsky, Graciela ve Carmen Reinhart (1999), “The Twin Crises: The Causes of Banking and Balance of Payments Problems,” American Economic Review, 89(39): 473-500
- Mcfadden, Daniel (1974), “Conditional Logit Analysis of Qualitative Choice Behavior,” Zarembka, Paul (ed.), Frontiers in Econometrics (New York: Academic Press): 105-142
- Mody, Ashoka ve Mark P. Taylor (2003), “The High-Yield Spread As a Predictor of Real Economic Activity: Evidence of A Financial Accelerator for the United States,” International Monetary Fund Staff Papers, 50: 373-402.
- Mody, Ashoka ve Mark P. Taylor (2004), “Financial Predictors of Real Activity and the Financial Accelerator,” Economics Letters, 82: 167-172.
- Obstfeld, Maurice ve Alan M. Taylor (2002), “Globalization and Capital Markets,” National Bureau of Economic Research Working Paper, 8846.
- Özatay, Fatih ve Erdal Özmen ve Gülbin Şahinbeyoğlu (2009), “Emerging Market Sovereign Spreads, Global Financing Conditions and U.S. Macroeconomic News,” Economic Modelling, 26: 526-531.
- Rüffer, Rasmus ve Livio Stracca (2006), “What is Global Excess Liquidity, and Does it Matter?,” European Central Bank Working Paper Series, 696.
- Sander, Harald ve Stefanie Kleimeir (2003), “Contagion And Causality: an Empirical Investigation of four Asian Crisis Episodes,” Journal of International Financial Markets, Institutions and Money, 13(12): 171-186.
- Steeley, James M. (2006), “Volatility Transmission between Stock and Bond Markets,” Journal of International Financial Markets, Institutions and Money, 16: 71-86.
- Stıglitz, Joseph E. (2006), Making Globalization Work (New York: Ww Norton).
- Wooldridge, Jeffrey M. (2005), “Simple Solutions to the Initial Conditions Problem for Dynamic, Nonlinear Panel Data Models with Unobserved Heterogeneity," Journal of Applied Econometrics, 20: 39-54.
- Zarembka, Paul (1974), Frontiers in Econometrics (New York: Academic Press).
Toplam 29 adet kaynakça vardır.
Ayrıntılar
| Birincil Dil | Türkçe |
|---|---|
| Bölüm | Araştırma Makaleleri |
| Yazarlar | |
| Yayımlanma Tarihi | 1 Nisan 2010 |
| Gönderilme Tarihi | 31 Temmuz 2014 |
| Yayımlandığı Sayı | Yıl 2010 Cilt: 65 Sayı: 04 |