Transmission Process of Financial Crises: Interdependence and Contagion Effects Across Turkey, Brazil, Russia and the Middle East Countries

Yıl 2018, Cilt: 4 Sayı: 2, 53 - 78, 01.10.2018

Aysu Insel Abdurrahman Korkmaz

Öz

The first aim of the paper is to investigate the interdependence and/or
contagion effect of an economic crisis across Turkey, Brazil and Russia as
well as some Gulf Cooperation Council countries; Kuwait, Oman, Qatar,
and Morocco covering the period from August 2004 to March 2012. The
second aim is to present an alternative view on the transmission process of
financial crises across the economies via any possible interaction channel
between the interdependence effect and contagion. An exchange market
pressure index and the outlier test of Favero and Giavazzi (2002) are used
in this paper. The estimation results reveal that there are fifteen cases in
which the interdependence and the contagion effects could be related
to each other. Consequently, it can be suggested that the policy-makers
are less likely to prevent the financial crises experienced outside being
transmitted to their own country; even if they could exactly predict that,
the interdependence effect exists.

Anahtar Kelimeler

Favero and Giavazzi Outlier Test, Simultaneous Equation System., Financial crises, Contagion

Kaynakça

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