THE EFFECTS OF GEOPOLITICAL RISKS ON FINANCIAL STRESS: AN ANALYSIS ON TÜRKİYE WITH MARKOV REGIME SWITCHING MODELS

Öz

Geopolitical risks generally have significant impacts on the financial system in general, and on financial markets in particular. These effects often lead to major financial shocks and, in some cases, financial crises. Therefore, geopolitical tensions and uncertainties can have dramatic consequences for the stability of the financial system. In this study, the effects of geopolitical risks on financial market stress in Turkey are analyzed econometrically. First, a financial stress index is constructed using a factor model based on a comprehensive dataset that represents the level of stress in financial markets. Following this, the impact of the geopolitical risk index developed by Caldara and Iacoviello (2022) on the financial stress index is examined using a Markov regime-switching model with sequential dependencies. The analyses are conducted using monthly data covering the period from January 2003 to March 2025. The findings indicate that geopolitical risks significantly increase financial market stress in Turkey, although this effect is not persistent. On the other hand, low-stress periods in the financial system are more frequent than high-stress periods. The probability of the financial system entering a shock or crisis is relatively low. However, once such a process begins, the stress in the financial system tends to be persistent.

Anahtar Kelimeler

• Financial stress
• geopolitical risks
• financial stress index
• Markov regime switching model.

JEOPOLİTİK RİSKLERİN FİNANSAL STRESE ETKİLERİ: MARKOV REJİM DEĞİŞİMİ MODELLERİYLE TÜRKİYE ÜZERİNE BİR ANALİZ

Öz

Jeopolitik risklerin genelde finansal sisteme ve spesifik olarak da finansal piyasalara önemli etkileri olmaktadır. Bu etkiler, genellikle önemli finansal şoklara ve kimi zaman da finansal krizlere yol açmaktadır. Dolayısıyla, jeopolitik gerginlik ve belirsizlikler, finansal sistemin istikrarı üzerinde dramatik etkilere neden olabilir. Bu çalışmada, jeopolitik risklerin Türkiye’de finansal piyasaların stresine olan etkileri ekonometrik olarak analiz edilmektedir. Önce finansal piyasalardaki stres düzeyini temsil eden kapsamlı bir veri seti kullanılarak bir faktör modeli yardımıyla finansal stres endeksi hesaplanmıştır. Bunun ardından, Caldara ve Iacoviello (2022) tarafından geliştirilen jeopolitik risk endeksinin finansal stres endeksine etkileri, ardışık bağlanımlı bir Markov rejim değişimi modeli ile analiz edilmiştir. Analizler, 2003:1 – 2025:3 dönemini kapsayan aylık verilerle icra edilmiştir. Elde edilen bulgular, jeopolitik risklerin Türkiye’de finansal piyasaların stresini önemli oranda yükselttiğini, ama bu etkinin kalıcı olmadığını göstermiştir. Diğer yandan, finansal sistemin düşük stres dönemleri, yüksek stres dönemlerine oranla daha fazladır. Finans sisteminin bir şoka veya finansal krize girme olasılığı düşüktür. Bununla beraber, böyle bir sürece girildiğinde, finansal sistemdeki stresin kalıcılık göstereceği de belirlenmiştir.

Anahtar Kelimeler

• Finansal stres
• jeopolitik riskler
• finansal stres endeksi
• Markov rejim değişimi modeli.

Kaynakça

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