Determinants of Financial Crises and the Predictability: A Case Study for Turkey

Öz

The aim of this study is to analyze the predictability of financial crises and to determine the leading indicators of these crises in the period of 1990:01-2009:07 for Turkey by using Regression Trees and Markov Regime Switching models. According to the results, in Regression Trees model for predicting financial crises the most significant indicators are; money market pressure index, rate of industrial production to domestic credit, M2/Reserves, inflation, on the other hand in Markov Regime Switching model these indicators are terms of trade, balance of trade, inflation and M2/Reserves. In this context, while the financial crises experienced in Turkey in 1994 and 2001 are successfully predicted, 2008 global financial crisis could not be predicted

Anahtar Kelimeler

• Financial crisis, predictability, regression trees, markov regime switching

Finansal Krizlerin Belirleyenleri ve Öngörülebilirliği: Türkiye Üzerine Bir Uygulama

Öz

Bu çalışmanın amacı, 1990:01-2009:07 dönemi Türkiye’de yaşanan finansal krizlerin öngörülebilirliğini ve bu krizlerin öncü göstergelerini Regresyon Ağaçları ve Markov Rejim Değişimi modellerini kullanarak incelemektir. Uygulama sonuçlarına göre regresyon ağaçları modelinde, para piyasası baskı endeksi, yurtiçi kredilerin endüstriyel üretime oranı, M2/rezervler, enflasyon, Markov rejim değişimi modelinde ise ticaret haddi, ticaret dengesi, enflasyon ve M2/rezervler gibi göstergeler finansal krizleri öngörmede başarılı bulunmuşlardır. Bu kapsamda Türkiye’de, 1994 ve 2001 yıllarında yaşanılan krizler öngörülürken, 2008 Küresel Finansal Krizi öngörülememiştir

Anahtar Kelimeler

• Finansal kriz, öngörülebilirlik, regresyon ağaçları, markov rejim değişimi

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