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Hisse senedi piyasası çalkantıları için erken uyarı sistemi: Türkiye örneği

Yıl 2009, Cilt: 2 Sayı: 2, 37 - 47, 01.06.2009

A. Topcu O.C. Mutan

Öz

Anahtar Kelimeler

-

Kaynakça

  • Aktan, C. C., ?en, H. (2002), Ekonomik Kriz: Nedenler ve Çözüm Önerileri, Yeni Türkiye Dergisi Kriz Özel Say s , Cilt: II, Say : 42: 1225-1230.
  • Aziz, J., Caramazza, F., Salgado, R. (2000), Currency Crises: In Search of Common Elements, IMF Working Paper, 00/67.
  • Berg, A., Pattillo, C. (1999), Are Currency Crisis Predictable? A Test, IMF Staff Papers, Vol 46, No.2
  • Bordo, M.D., Eichengreen B. (2002), Crises Now and Then: What Lessons from the Last Era of Financial Globalization?, National Bureau of Econom c Research Working Paper 8716.
  • Bruggemann, A., Linne, T. (2000), Are the Central and Eastern European Transition Countries Stil Vulnerable to a Financial Crisis? Results From the Signal Approach, Bank of Finland Institute For Economies in Transition Discussion Paper.
  • Bussiere, M., Mulder, C. (1999), Political Instability and Economic Vulnerability, IMF Working Paper 99/46.
  • Çevi&, E. (2005), Para Krizlerine Ampirik Bir Yakla& m, Sermaye Piyasas Kurulu, Ankara.
  • E ilmez, M. (2001), Kas m 2000 Krizi Üzerine. http://www.mahfiegilmez.nom.tr/kose_1.htm, 18.07.2007.
  • Erdönmez, P. A. (2003), Türkiye’de 2001 Y l ndaki Mali Kriz Sonras nda Kurumsal Sektörde Yeniden Yap land rma, Türkiye Bankalar BirliFi Bankac lar Dergisi, Say 47.
  • Frankel, J., Rose, A. (1996), Currency Crashes in Emerging Markets: An Emprical Treatment, Journal of International Economies, Vol 41: 351-366.
  • Gujarati, D. N. (2003), Basic Econometrics,McGraw Hill.
  • Kamin, S., Schindler, J., Samuel, S. (2001), The Contrubitions of Domestic and External Factors to Emerging Market Devaluation Crises: An Early Warning System Approach, Board of Governers of The Federal Reserve System, International Finance Discussion Paper, No:711.
  • Kaminsky, G., Lizondo, S., Reinhart, C. M. (1998), Leading Indicators of Currency Crisis, IMF Staff Papers, Vol 45, No. 1.
  • Kaminsky, G., Reinhart C. M. (1999), The Twin Crises: The Causes of Banking and Balance of Payments Problems, The American Economic Review, Vol. 89 No:3
  • Karaçor, Z., Alptekin, V. (2006), Finansal Krizlerin Önceden Tahmin Yoluyla De erlendirilmesi: Türkiye Örne i, Yönetim ve Ekonomi, 13(2).
  • Kaya, V., Y lmaz, Ö. (2006), Para Krizleri Öngörüsünde Sinyal Yakla& m : Türkiye Örne i, 1990-2002. Ankara Üniversitesi SBF Dergisi, 61-2, 129-155.
  • Kittelmann, K., Tirpak, M., Schweickert, R., Souza, L. V. (2006), From Transition Crises to Macroeconomic Stability? Lessons from a Crises Early Warning System for Eastern European and CIS Countries, The Kiel Institute for the World Economy Working Paper, No. 1269.
  • Komulainen, T., Lukkarila, J. (2003), What Drives Financial Crises in Emerging Markets?, Bank of Finland Transition Economies BOFIT Discussion Papers No. 5/2003.
  • Murshid, A. P. (2001), Echoes From the Past: Are Global Financial Crises Reasserting Themselves? North American Econometric Society Meetings Presentation, University of Maryland.
  • Nag, A., Amit, M. (1999), Neural Networks and Eary Warning Indicators of Currency Crisis, Reserve Bank of India Occasional Papers 20 (2).
  • Racaru, I., Copaciu, M, Lapteacru I. (2006), Early Warning Systems on Currency Crises, National Bank of Romania Occasional Papers No. 5.
  • Sachs, J., Tornell, A., Velasco, A. (1996), Financial Crisis in Emerging Markets: The Lessons from 1995, NBER Working Paper, WP/5576.

Hisse senedi piyasası çalkantıları için erken uyarı sistemi: Türkiye örneği

Yıl 2009, Cilt: 2 Sayı: 2, 37 - 47, 01.06.2009

A. Topcu O.C. Mutan

Öz

Dünyada 19. yüzy ldan bu yana etki alan geni& ve maliyeti yüksek pek çok ekonomik kriz meydana gelmi&,piyasalar tehdit eden ve derinden etkileyen bu durum ara&t rmac lar n oldu u kadar piyasa aktörlerinin de ilgisini çekmi&tir. Yap lan ara&t rmalar ya&anan krizlerin önceden tahmin edilip edilemeyece i sorusunu ak llara getirmi&, erken uyar sistemleri (EWS- early warning system) geli&tirilmi&tir. Çal &mada, bankac l k ve para krizleri için pek çok örne i bulunan erken uyar sistemlerini Türk hisse senedi piyasas krizleri için geli&tirmek ve literatürde bu konuda mevcut olan bo&lu u kapatmak amaçlanm &, bu ba lamda KLR (1998), FR (1996) modelleri uygulanm &t r. Kriz dönemlerini belirlemek için SMPI (stock market pressure index-hisse senedi piyasas bask endeksi) olu&turulmu&, veriler 1998:01–2008:10 dönemlerini kapsayacak &ekilde temin edilmi&tir

Anahtar Kelimeler

Hisse senedi piyasas krizi Erken uyar sistemi SMPI

Kaynakça

  • Aktan, C. C., ?en, H. (2002), Ekonomik Kriz: Nedenler ve Çözüm Önerileri, Yeni Türkiye Dergisi Kriz Özel Say s , Cilt: II, Say : 42: 1225-1230.
  • Aziz, J., Caramazza, F., Salgado, R. (2000), Currency Crises: In Search of Common Elements, IMF Working Paper, 00/67.
  • Berg, A., Pattillo, C. (1999), Are Currency Crisis Predictable? A Test, IMF Staff Papers, Vol 46, No.2
  • Bordo, M.D., Eichengreen B. (2002), Crises Now and Then: What Lessons from the Last Era of Financial Globalization?, National Bureau of Econom c Research Working Paper 8716.
  • Bruggemann, A., Linne, T. (2000), Are the Central and Eastern European Transition Countries Stil Vulnerable to a Financial Crisis? Results From the Signal Approach, Bank of Finland Institute For Economies in Transition Discussion Paper.
  • Bussiere, M., Mulder, C. (1999), Political Instability and Economic Vulnerability, IMF Working Paper 99/46.
  • Çevi&, E. (2005), Para Krizlerine Ampirik Bir Yakla& m, Sermaye Piyasas Kurulu, Ankara.
  • E ilmez, M. (2001), Kas m 2000 Krizi Üzerine. http://www.mahfiegilmez.nom.tr/kose_1.htm, 18.07.2007.
  • Erdönmez, P. A. (2003), Türkiye’de 2001 Y l ndaki Mali Kriz Sonras nda Kurumsal Sektörde Yeniden Yap land rma, Türkiye Bankalar BirliFi Bankac lar Dergisi, Say 47.
  • Frankel, J., Rose, A. (1996), Currency Crashes in Emerging Markets: An Emprical Treatment, Journal of International Economies, Vol 41: 351-366.
  • Gujarati, D. N. (2003), Basic Econometrics,McGraw Hill.
  • Kamin, S., Schindler, J., Samuel, S. (2001), The Contrubitions of Domestic and External Factors to Emerging Market Devaluation Crises: An Early Warning System Approach, Board of Governers of The Federal Reserve System, International Finance Discussion Paper, No:711.
  • Kaminsky, G., Lizondo, S., Reinhart, C. M. (1998), Leading Indicators of Currency Crisis, IMF Staff Papers, Vol 45, No. 1.
  • Kaminsky, G., Reinhart C. M. (1999), The Twin Crises: The Causes of Banking and Balance of Payments Problems, The American Economic Review, Vol. 89 No:3
  • Karaçor, Z., Alptekin, V. (2006), Finansal Krizlerin Önceden Tahmin Yoluyla De erlendirilmesi: Türkiye Örne i, Yönetim ve Ekonomi, 13(2).
  • Kaya, V., Y lmaz, Ö. (2006), Para Krizleri Öngörüsünde Sinyal Yakla& m : Türkiye Örne i, 1990-2002. Ankara Üniversitesi SBF Dergisi, 61-2, 129-155.
  • Kittelmann, K., Tirpak, M., Schweickert, R., Souza, L. V. (2006), From Transition Crises to Macroeconomic Stability? Lessons from a Crises Early Warning System for Eastern European and CIS Countries, The Kiel Institute for the World Economy Working Paper, No. 1269.
  • Komulainen, T., Lukkarila, J. (2003), What Drives Financial Crises in Emerging Markets?, Bank of Finland Transition Economies BOFIT Discussion Papers No. 5/2003.
  • Murshid, A. P. (2001), Echoes From the Past: Are Global Financial Crises Reasserting Themselves? North American Econometric Society Meetings Presentation, University of Maryland.
  • Nag, A., Amit, M. (1999), Neural Networks and Eary Warning Indicators of Currency Crisis, Reserve Bank of India Occasional Papers 20 (2).
  • Racaru, I., Copaciu, M, Lapteacru I. (2006), Early Warning Systems on Currency Crises, National Bank of Romania Occasional Papers No. 5.
  • Sachs, J., Tornell, A., Velasco, A. (1996), Financial Crisis in Emerging Markets: The Lessons from 1995, NBER Working Paper, WP/5576.
Toplam 22 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Bölüm Makaleler
Yazarlar

A. Topcu Bu kişi benim

O.C. Mutan Bu kişi benim

Yayımlanma Tarihi 1 Haziran 2009
Yayımlandığı Sayı Yıl 2009 Cilt: 2 Sayı: 2

Kaynak Göster

IEEE A. Topcu ve O. Mutan, “Hisse senedi piyasası çalkantıları için erken uyarı sistemi: Türkiye örneği”, JSSA, c. 2, sy. 2, ss. 37–47, 2009.