FİNANSAL KÜRESELLEŞME-PARA KRİZİ NEDENSELLİĞİ VE PARA KRİZLERİNİN TAHMİN EDİLEBİLİRLİĞİ: TÜRKİYE, 1990–2002

Yıl 2005, Sayı: 33, 69 - 102, 22.12.2011

Vedat Kaya Ömer Yılmaz

Öz

Bu çalisma, finansal küresellesme ile para krizleri arasinda iktisadi bir nedensellik iliskisi
olup olmadigini test etmek ve para krizlerinin tahmin olasiliklarini hesaplamak üzere
yapilmistir. Çalisma 1990–2002 dönemi Türkiye ekonomisi aylik zaman serisi verilerini
kapsamaktadir. Para krizi çikma olasiliklari bes model kapsaminda ve toplam 31 açiklayici
degisken kullanilarak hesaplanmistir. Bulgular, Türkiye örneginde ve 1990–2002 dönemi için
finansal küresellesme olgusunun para krizlerinin % 10 önem seviyesinde Granger nedeni
oldugunu göstermektedir.

Anahtar Kelimeler

Finansal Küresellseme, Para Krizleri, Granger Nedensellik, Tahmin Edilebilirlik

Kaynakça

• iad, Abdul (2003), “Early-Warning Systems: A Survey and a RegimeSwitching Aproach”, , 03, 32, February, pp. 1–59.
• Adelmen, Irma ve E. Yeldan (2000), “The end of The Developmental State?”, , September.
• Apoteker, Thierry, Sylvain Barthelemy (2001), “Genetic Algorithms and Financial Crises in Emergin Markets”, www.tac-financial, 18/06/2003
• Aziz, Jahangir, Francesco Caramazza, Ranil Salgado (2000), “Currency Crises: In Search of Common Elements”, , 001/67.
• Bautista, Maria Socorro Gochoco- (2000), “Periods of Currency Presure :Stylized Fact and Leading Indicators”, , Vol: 22, No: 1, p. 125-158.
• Berg, A., C. Pattillo (1999), “Are Currency Crises Predictable?: A Test”, , Vol. 46, No: 2, June, pp. 107–138.
• Berg, Andrew, Catherina Pattilo (1999), “Predicting Currency Crises: The Indicators Approach and an Alternative”, , 18, pp. 561–586.
• Boratav, Korkut (2001), “2000/2001 Krizinde Sermaye Hareketleri”, http://www.bagimsiziktisatcilar.org
• Bruggemann, Alex, Thomas Linne (2000), “Are the Control and Eastern Europen Transition Countries Stil Vulnerable to a Financial Crises ?: Result from Signal Approach”, . Burkat, Oliver, Virginie Coudert (2002), “Leading Indicators of Currency Crises For Emergin Countries”, , 3, pp. 107–133.
• Charemza, W. W. and D. F. Deadman (1992), Alderhost, Hanst: Edward Elpar Publishing Limited, Cambridge.
• Corsetti, G., P. Pesenti, N. Roubini (1998), “Fundamental Determinants of the Asian Crises: A Preliminary Empirical Assessment”, www. stern.nyu.edu. 04/05/2003
• Edison, H. (2000), “Do Indicators of Financial Crises Work ? An Evaluation of Early Warning System”, , WP/675.
• Enders, Walter (1995), , New York: John Wiley and Sons. Ertek, Tümay (1996), , Ikinci Baski, Beta, Istanbul.
• Esquivel, G. ve F. Larrain (1998), “Explaining Currency Crisis”, Harvard Institute for International Development, Cambridge. MA.
• Frankel, J. ve A. Rose (1996), “Currency Crashes in Emerging Markets: An Emprical Treatment”, , Vol: 41, pp. 351-366.
• IMF Working Paper Structural Change and Economic Dynamics IMF Working Paper Journal of Macroeconomics
• IMF Staf Papers Journal of International Money and Finance Bank of Finlad Institute for Economies in Transiti
• Currency Crises in Asia and Latin America”, , WP/99-01. Glick, Reuven, Andrew K. Rose (1999), “Contagion and Trade, Why Are Currency Crises Regional?”, , 18, pp. 603–615.
• Goldfajn, I. ve R. Valdes (1997), “Are Currency Crises Predictable”, , 97/159.
• Gujarati, Damodar (1999), , Çev: Ümit Senesen ve Gülay Günlük Senesen, Literatür Yayincilik, Birinci Basim, Istanbul. Gür, Timur Han (2000), “Ülke Riskinin Belirlenmesinde Yöntemler”, , Cilt: 18, Sayi: 2, ss. 119-139.
• Hardy, Daniel C., Ceyla Pazarbasioglu (1999), “Determinants and Leading Indicators of Banking Crises: Further Evidence”, , Vol: 46, No: 3, September-December, pp. 247-257. IMF (1998), , May.
• Kamin, S., J. W. Schindler, ve S. L. Samuel (2001), “The Contribution of Domestic and External Factors to Emerging Market Crises: An Early Warning System Approach”, , 711.
• Kaminsky, G. (1998), “Currency and Banking Crises: Early Warning of Distress”, , WP/629.
• Kaminsky, G., S. Lizondo, C. M. Reinhart (1997), “Leading Indicators of Currency Crises”, , Vol: 45, No: 1, March, pp. 1-48.
• Kaminsky, Graciela L., C. Reinhart (1999), “The Twin Crises: The Causes of Banking and Balance of Payments Problems”, , Vol: 89, No: 3, June, pp. 473-500.
• Kibritçioglu, Bengi, Bülent Köse, Gamze Ugur (1999), “A Leading Indicators Approach to the Predictability of Currency Crises: The Case of Turkey”, www.econturk.org, 25/05/2003
• Kim, Woochan, Shang-Jin Wei (2002), “Foreign Portfolio Investors Before and During a Crises”, , 56, pp. 77-96.
• Kruger, Mark, Patrik N. Osakawe, Jennifer Page (2000), “Fundementals, Contagion and Cureency Crises, An Amprical Analysis”, , Vol: 18, pp. 257-274.
• Kunt, Asli Demirgünç, Enrica Detragiache (1998), “The Determinants Of Banking Crises in Developing and Developed Countries”, , Vol: 45, No: 1, March, p. 81-109. Kutlar, Aziz (2000), , Gazi Kitabevi, Ankara.
• Nagayasu, Jun (2001), “Currency Crises and Contagion: Evidence from Exchange Rates and Sectoral Stock Indices of Philippines and Thailand”, 12, pp. 529-546.
• Oksay, Suna (2000), “Finansal Piyasalarda Yeni Yasal Düzenlemeler Ihtiyaci ve Türk Finans Sistemi”, , Haziran, ss. 1–11.
• Federal Reserve Bank of San Fransisco Journal of International Money and Financ
• Markets: The Lessons from 1995”, Working Paper, WP/5576. Saraçoglu, Bedriye vd. (2005) Mugla Üniversitesi Iktisadi ve Idari Bilimler Fakültesi ve Türkiye Cumhuriyet Merkez Bankasi’nca hazirlanan Tari, Recep (1999), , Alfa Kitapevi, Istanbul.
• Thomas, R. L. (1997), , Addison Wesley, New York.
• Ural, Mert, “Bankacilik ve Mali K urumlar”, http://www.deu.edu.tr/userweb/mert.ural/dosyalar/Banka%20(6.%20Hafta). ppt#1, 28/12/2004.
• Uygur, Ercan (2001), “Krizden Krize Türkiye: 2000 Kasim ve 2001 Subat Krizleri”, http://www.econturk.org.tr Weber, Alex A. (1997), “Sources of Currency Crises : An Amprical Analysis”, , No: B-418.
• Weller, Christian E. (1999), “A Few Observation on Financial Liberalization and Financial Instabilty”, , 31(3), pp. 66-75.
• Yeldan, Erinç (2003), , 8. Baski, Iletisim Yayinlari, Istanbul. Yudaeva, Ksenia (2000), “Currency Crises in Developing Countries Overview of Recent Emprical Studies”, www.worldbank.org, 18/07/2003 NBER “Para Teorisi ve Politikasinda Son Gelismeler Sempozyumu II” (23–26 Subat 2005).
• EKONOMETRI Modern Econometrics: An Introduction Projectbereich Discussion Paper Review of Radical Political Economics Küresellesme Sürecinde Türkiye Ekonomisi, Bölüsüm, Birikim ve Büyüme “ Finansal Kriz Öncü Göstergeleri Ve Türkiye Finansal Kir