THE IMPACT OF CROSS-COUNTRY TRADE RELATIONS on THE CONTAGION of GLOBAL FINANCIAL CRISIS: THE CASE OF TURKEY

Fatih Çemrek; Hakkı Polat

doi:10.18038/estubtda.870391

EN TR

THE IMPACT OF CROSS-COUNTRY TRADE RELATIONS on THE CONTAGION of GLOBAL FINANCIAL CRISIS: THE CASE OF TURKEY

Abstract

This study has been written to examine the channels through which the global economic crises spread to the markets of countries with growing economies like Turkey. According to data from the Turkish Statistical Institute (TÜİK), stock market index data of the seven countries with high trade volume (Germany, France, UK, Russia, China, United States of Amerika and Italy) and of the seven countries with low trade volume (Botswana, Gabon, Kenya, Southern Cyprus, Iceland, New Zealand and Jamaica) between 2005 and 2011 was used. With the data used, volatility transfers occurred during the 2007-2008 crisis period were tried to be introduced with the aid of the multivariate GARCH models. As a result of the analyses, it has been determined that trade is an effective channel for transferring volatility.

Keywords

International Trade, Financial Crisis Contagion, Multivariate GARCH Models, Conditional Correlation

References

[1] Modelski G, Thompson WR. Seapower in global politics. Springer 1988: 1494–1993.
[1] Modelski G, Thompson WR. Seapower in global politics. Springer 1988: 1494–1993.
[2] Gramsci A. The philosophy of praxis, Selections from the prison notebooks of Antonio Gramsci. London, UK, The Electric Book Company Ltd. 1971.
[2] Gramsci A. The philosophy of praxis, Selections from the prison notebooks of Antonio Gramsci. London, UK, The Electric Book Company Ltd. 1971.
[3] Giddens A. The Consequences of Modernity. Cambridge Polity 1990; 53(83): 245-260.
[3] Giddens A. The Consequences of Modernity. Cambridge Polity 1990; 53(83): 245-260.
[4] Eichengreen B, Rose AK, Wyplosz, C. Contagious currency crises. National Bureau of Economic Research 1996: 5681.
[4] Eichengreen B, Rose AK, Wyplosz, C. Contagious currency crises. National Bureau of Economic Research 1996: 5681.
[5] Kaminsky GL, Reinhart CM. Financial crises in Asia and Latin America: Then and now. The American Economic Review 1998: 88(2), 444-448.
[5] Kaminsky GL, Reinhart CM. Financial crises in Asia and Latin America: Then and now. The American Economic Review 1998: 88(2), 444-448.

[6] Forbes KJ, Rigobon R. No Contagion, only interdependence: measuring stock market comovements. The Journal of Finance 2002: 57(5), 2223-2261.
[6] Forbes KJ, Rigobon R. No Contagion, only interdependence: measuring stock market comovements. The Journal of Finance 2002: 57(5), 2223-2261.
[7] Dungey M, Fry R, González-Hermosillo B, Martin VL. Empirical Modelling of contagion: A review of methodologies. Quantitative Finance 2005: 5(1), 9-24.
[7] Dungey M, Fry R, González-Hermosillo B, Martin VL. Empirical Modelling of contagion: A review of methodologies. Quantitative Finance 2005: 5(1), 9-24.
[8] Dungey M, Gajurel D. Equity market contagion during the global financial crisis: Evidence from the World's Eight largest economies. Economic Systems 2014: 38(2), 161-177.
[8] Dungey M, Gajurel D. Equity market contagion during the global financial crisis: Evidence from the World's Eight largest economies. Economic Systems 2014: 38(2), 161-177.
[9] Glick R, Rose AK. Contagion and Trade: Why are currency crises regional?. Journal of International Money and Finance 1999: 18(4), 603-617.
[9] Glick R, Rose AK. Contagion and Trade: Why are currency crises regional?. Journal of International Money and Finance 1999: 18(4), 603-617.
[10] Mitton T. A cross-firm analysis of the impact of corporate governance on the East Asian financial crisis. Journal of Financial Economics 2002: 64(2), 215-241.
[10] Mitton T. A cross-firm analysis of the impact of corporate governance on the East Asian financial crisis. Journal of Financial Economics 2002: 64(2), 215-241.
[11] Ghai D. The IMF and the South: The Social Impact of Crisis and Adjustment. London, UK: Zed Books, 1991.
[11] Ghai D. The IMF and the South: The Social Impact of Crisis and Adjustment. London, UK: Zed Books, 1991.
[12] Nelson J. M. (1990), Economic Crisis and Policy Choice: The Politics of Adjustment in the Third World. New Jersey, USA. Princeton University Press, 1990.
[12] Nelson J. M. (1990), Economic Crisis and Policy Choice: The Politics of Adjustment in the Third World. New Jersey, USA. Princeton University Press, 1990.
[13] Elder Jr GH. Children of the Great Depression: Social Change in Life Experience. NY USA. Westview Press, 1999.
[13] Elder Jr GH. Children of the Great Depression: Social Change in Life Experience. NY USA. Westview Press, 1999.
[14] Kentikelenis A, Karanikolos M, Papanicolas I, Basu S, McKee M, Stuckler D. Health Effects of financial crisis: Omens of a Greek tragedy. The Lancet 2011: 378(9801), 1457-1458.
[14] Kentikelenis A, Karanikolos M, Papanicolas I, Basu S, McKee M, Stuckler D. Health Effects of financial crisis: Omens of a Greek tragedy. The Lancet 2011: 378(9801), 1457-1458.
[15] Hernández L F, Valdés RO. What drives contagion: Trade, neighbourhood, or financial links? International Review of Financial Analysis 2001: 10(3), 203-218.
[15] Hernández L F, Valdés RO. What drives contagion: Trade, neighbourhood, or financial links? International Review of Financial Analysis 2001: 10(3), 203-218.
[16] Van Rijckeghem C, Weder B. (2001), Sources of contagion: is it Finance or trade. Journal of International Economics 2001: 54(2), 293-308.
[16] Van Rijckeghem C, Weder B. (2001), Sources of contagion: is it Finance or trade. Journal of International Economics 2001: 54(2), 293-308.
[17] Masson P. Contagion: macroeconomic models with multiple equilibria. Journal of International Money and Finance 1999: 18(4), 587-602.
[17] Masson P. Contagion: macroeconomic models with multiple equilibria. Journal of International Money and Finance 1999: 18(4), 587-602.
[18] Diamond DW, Dybvig PH. Bank runs, deposit insurance, and liquidity. Journal of Political Economy 1983 91(3), 401-419.
[18] Diamond DW, Dybvig PH. Bank runs, deposit insurance, and liquidity. Journal of Political Economy 1983 91(3), 401-419.
[19] Dornbusch R, Park YC, Claessens S. Contagion: Understanding how it spreads. The World Bank Research Observer 2000: 15(2), 177-197.
[19] Dornbusch R, Park YC, Claessens S. Contagion: Understanding how it spreads. The World Bank Research Observer 2000: 15(2), 177-197.
[20] King MA, Wadhwani S. Transmission of volatility between stock markets, Review of Financial Studies 1990: 3(1), 5-33.
[20] King MA, Wadhwani S. Transmission of volatility between stock markets, Review of Financial Studies 1990: 3(1), 5-33.
[21] Kodres LE, Pritsker M. A rational expectations model of financial contagion. The Journal of Finance 2002: 57(2), 769-799.
[21] Kodres LE, Pritsker M. A rational expectations model of financial contagion. The Journal of Finance 2002: 57(2), 769-799.
[23] Goldstein M, (1998), “The Asian Crisis: Causes, cures, and systematic implications. Institute for International Economics 1998: Vol (55).
[23] Goldstein M, (1998), “The Asian Crisis: Causes, cures, and systematic implications. Institute for International Economics 1998: Vol (55).
[22] Calvo GA, Mendoza EG. Capital-Markets crises and economic collapse in emerging markets: An informational-frictions approach. The American Economic Review 2000: 90(2), 59-64.
[22] Calvo GA, Mendoza EG. Capital-Markets crises and economic collapse in emerging markets: An informational-frictions approach. The American Economic Review 2000: 90(2), 59-64.
[24] Pasquariello P. Imperfect competition, information heterogeneity, and financial contagion. Review of Financial Studies 2007: 20(2), 391-426.
[24] Pasquariello P. Imperfect competition, information heterogeneity, and financial contagion. Review of Financial Studies 2007: 20(2), 391-426.
[25] Yuan K. Asymmetric price movements and borrowing constraints: A rational expectations equilibrium model of crises, contagion, and confusion. The Journal of Finance 2005: 60(1), 379-411.
[25] Yuan K. Asymmetric price movements and borrowing constraints: A rational expectations equilibrium model of crises, contagion, and confusion. The Journal of Finance 2005: 60(1), 379-411.
[26] Mondria J, Quintana‐Domeque C. Financial Contagion and Attention Allocation. The Economic Journal 2013: 123(568), 429-454.
[26] Mondria J, Quintana‐Domeque C. Financial Contagion and Attention Allocation. The Economic Journal 2013: 123(568), 429-454.
[27] Bekaert G, Hodrick RJ. International Financial Management. New Jersey, NJ: Pearson Prentice Hall Press, 2009.
[27] Bekaert G, Hodrick RJ. International Financial Management. New Jersey, NJ: Pearson Prentice Hall Press, 2009.
[28] Kali R, Reyes J. Financial contagion on the international trade network. Economic Inquiry 2010: 48(4), 1072-1101.
[28] Kali R, Reyes J. Financial contagion on the international trade network. Economic Inquiry 2010: 48(4), 1072-1101.
[29] Engle R. Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models. Journal of Business & Economic Statistics 2002: 20(3), 339-350.
[29] Engle R. Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models. Journal of Business & Economic Statistics 2002: 20(3), 339-350.
[30] Bollerslev T. Modelling the coherence in short-run nominal exchange rates: A multivariate generalized ARCH model. The Review of Economics and Statistics 1990: 498-505.
[30] Bollerslev T. Modelling the coherence in short-run nominal exchange rates: A multivariate generalized ARCH model. The Review of Economics and Statistics 1990: 498-505.
[31] Engle RF, Sheppard K. Theoretical and empirical properties of dynamic conditional correlation multivariate GARCH. National Bureau of Economic Research 2001: W (8554).
[31] Engle RF, Sheppard K. Theoretical and empirical properties of dynamic conditional correlation multivariate GARCH. National Bureau of Economic Research 2001: W (8554).
[32] Kindleberger CP. Comparative Political Economy, Cambridge, USA. MIT Press, 2000.
[32] Kindleberger CP. Comparative Political Economy, Cambridge, USA. MIT Press, 2000.

Details

Primary Language

English

Subjects

-

Journal Section

Research Article

Authors

Fatih Çemrek ^*
0000-0002-6528-7159
Türkiye

Hakkı Polat
0000-0001-7640-849X
Türkiye

Publication Date

March 26, 2021

Submission Date

January 29, 2021

Acceptance Date

March 1, 2021

Published in Issue

Year 2021 Volume: 22 Number: 1

DOI

https://doi.org/10.18038/estubtda.870391

IZ

https://izlik.org/JA56ST95YL

APA

Çemrek, F., & Polat, H. (2021). THE IMPACT OF CROSS-COUNTRY TRADE RELATIONS on THE CONTAGION of GLOBAL FINANCIAL CRISIS: THE CASE OF TURKEY. Eskişehir Technical University Journal of Science and Technology A - Applied Sciences and Engineering, 22(1), 85-98. https://doi.org/10.18038/estubtda.870391

AMA

1.Çemrek F, Polat H. THE IMPACT OF CROSS-COUNTRY TRADE RELATIONS on THE CONTAGION of GLOBAL FINANCIAL CRISIS: THE CASE OF TURKEY. Estuscience - Se. 2021;22(1):85-98. doi:10.18038/estubtda.870391

Chicago

Çemrek, Fatih, and Hakkı Polat. 2021. “THE IMPACT OF CROSS-COUNTRY TRADE RELATIONS on THE CONTAGION of GLOBAL FINANCIAL CRISIS: THE CASE OF TURKEY”. Eskişehir Technical University Journal of Science and Technology A - Applied Sciences and Engineering 22 (1): 85-98. https://doi.org/10.18038/estubtda.870391.

EndNote

Çemrek F, Polat H (March 1, 2021) THE IMPACT OF CROSS-COUNTRY TRADE RELATIONS on THE CONTAGION of GLOBAL FINANCIAL CRISIS: THE CASE OF TURKEY. Eskişehir Technical University Journal of Science and Technology A - Applied Sciences and Engineering 22 1 85–98.

IEEE

[1]F. Çemrek and H. Polat, “THE IMPACT OF CROSS-COUNTRY TRADE RELATIONS on THE CONTAGION of GLOBAL FINANCIAL CRISIS: THE CASE OF TURKEY”, Estuscience - Se, vol. 22, no. 1, pp. 85–98, Mar. 2021, doi: 10.18038/estubtda.870391.

ISNAD

Çemrek, Fatih - Polat, Hakkı. “THE IMPACT OF CROSS-COUNTRY TRADE RELATIONS on THE CONTAGION of GLOBAL FINANCIAL CRISIS: THE CASE OF TURKEY”. Eskişehir Technical University Journal of Science and Technology A - Applied Sciences and Engineering 22/1 (March 1, 2021): 85-98. https://doi.org/10.18038/estubtda.870391.

JAMA

1.Çemrek F, Polat H. THE IMPACT OF CROSS-COUNTRY TRADE RELATIONS on THE CONTAGION of GLOBAL FINANCIAL CRISIS: THE CASE OF TURKEY. Estuscience - Se. 2021;22:85–98.

MLA

Çemrek, Fatih, and Hakkı Polat. “THE IMPACT OF CROSS-COUNTRY TRADE RELATIONS on THE CONTAGION of GLOBAL FINANCIAL CRISIS: THE CASE OF TURKEY”. Eskişehir Technical University Journal of Science and Technology A - Applied Sciences and Engineering, vol. 22, no. 1, Mar. 2021, pp. 85-98, doi:10.18038/estubtda.870391.

Vancouver

1.Fatih Çemrek, Hakkı Polat. THE IMPACT OF CROSS-COUNTRY TRADE RELATIONS on THE CONTAGION of GLOBAL FINANCIAL CRISIS: THE CASE OF TURKEY. Estuscience - Se. 2021 Mar. 1;22(1):85-98. doi:10.18038/estubtda.870391

THE IMPACT OF CROSS-COUNTRY TRADE RELATIONS on THE CONTAGION of GLOBAL FINANCIAL CRISIS: THE CASE OF TURKEY

Abstract

Keywords

THE IMPACT OF CROSS-COUNTRY TRADE RELATIONS on THE CONTAGION of GLOBAL FINANCIAL CRISIS: THE CASE OF TURKEY

Abstract

References

Details

Primary Language

Subjects

Journal Section

Authors

Publication Date

Submission Date

Acceptance Date

Published in Issue

DOI

IZ

Cite