En Büyük Küresel Finansal Kriz: Amerika’dan mı Yayıldı Yoksa Sadece bir Karşılıklı Bağımlılık mı?

Öz

Bu çalışma 2008 Mortgage krizininin Türkiye’nin de içinde bulunduğu gelişmekte

olan Avrupa ülkelerine Amerika ile olan güçlü bağlardan dolayı mı etki ettiğini yoksa

krizin dinamiklerinden kaynaklanan sebepler ile mi bulaştığını incelemektedir. Bu

amaç ile çalışmada kriz ve kriz öncesi dönemlerin dinamik korelasyonları

karşılaştırılarak 2008 Mortgage krizininin Amerika’dan bulaşma şeklinde yayılıp

yayılmadığı test edilmektedir. Sonuçlar gelişmekte olan Avrupa ülkelerine krizin her

ne kadar bulaşma şeklinde yayıldığını gösterse de borsaların birbirlerine normal

gündeki güçlü bağımlılıklarından dolayı da bulaştığını göstermiştir. Sonuçlar aynı

zamanda metodoloji üzerine de bazı implikasyonları ortaya koymuştur. Buna göre

bulaşmanın tespit edilmesinde ekonometrik tanımlamalar ve kriz dönemlerinin

belirlenmesi önemli ve anlamlı rol oynamaktadır.

Anahtar Kelimeler

• Krizlerin Bulaşması,Borsaların Bağımlılığı,Dinamik Korrelasyon

The Greatest Global Financial Crisis: Contagion from the United States or Only Interdependence?

Öz

Comparing tranquil and shock periods’ dynamic conditional correlations; this study

tests presence of “contagion effect” from the US to the group of countries that includes

Turkey too -emerging European countries- during the latest global financial crisis

(2008 Mortgage Crisis). The results reveal that although the contagion effect was

observed for some of the emerging European countries, the crises did propagate to the

rest of the emerging European countries due to strong normal day interdependence.

The results reveal some key implications regarding methodological issues too as the

conclusion regarding the presence of the contagion is highly dependent on

econometric specifications and sample period diversifications.

Anahtar Kelimeler

• Contagion,Interdependence,Dynamic Conditional Correlation

Kaynakça

1. Baur, D. (2003). Testing For Contagion; Mean And Volatility Contagion, Journal of Multinational Financial Management, 13, 405-422.
2. Brooks, C. (2008). Introductory Econometrics For Finance, Cambridge: Cambridge University Press.
3. Cho, J. and Parhizgari, A. (2008). East Asian Financial Contagion Under DCC GARCH, International Journal of Banking and Finance, 6 (1), 17-30.
4. Dungey, M., Fry, R., Gonzalez-Hermosillo, B., and Vance, M. (2005). Empirical Modelling Of Contagion: A Review Of Methodologies, Quantitative Finance, 5 (1), 9-24.
5. Eıchengreen, B. (2010). Lessons of the Crisis for Emerging Markets, International Economics and Economic Policy, 7 (1), 49-62.
6. Engle, R. and Sheppard, K. (2001). Theoretical And Empirical Properties Of Dynamic Conditional Correlation MVGARCH, Economic Working Paper Series, 8554, University of California.
7. Forbes, K. and Rigobon, R. (2002). No Contagion, Only Interdependence: Measuring Stock Market Co-Movements, Journal of Finance, 57 (5), 2223-2261.
8. Kazi, I., Guesmi, K., and Kaabia, O. (2011). Contagion Effect Of Financial Crisis On OECD Stock Markets, Discussion Paper, 2011-15, Universite Paris Quest.

9. Longstaff, F. (2010). The Subprime Credit Crisis And Contagion in Financial Markets, Journal of Financial Economics, 97, 436-450.
10. Manda, K. (2010). Stock Market Volatility During The 2008 Financial Crisis, Working Paper, WP09, Glucksman Institute for Research in Securities Markets.
11. Naoui, K., Khemiri, S., and Liouane, N. (2010). Crises And Financial Contagion: The Subprime Crisis, Journal of Business Studies Quarterly, 2 (1), 15-28.
12. Rawdanowicz, Ł. (2010). The 2008-09 Crisis in Turkey: Performance, Policy Responses and Challenges for Sustaining the Recovery, OECD Publishing, 819, 1-24.
13. Samarakoon, L. (2011). Stock Market İnterdependence, Contagion, And The U.S Financial Crisis: The Case Of Emerging And Frontier Markets, International Financial Markets, Institutions and Money, 21 (5), 724-742.
14. Syllignakis, M. and Kouretas, G. (2011). Dynamic Correlation Analysis Of Financial Contagion: Evidence From The Central And Eastern European Markets, International Review of Economics and Finance, 20 (4), 717-732.
15. Terazi, E. and Senel, S. (2011). The Effects Of The Global Financial Crisis On The Central And Eastern European Union Countries, International Journal of Business and Social Science, 2 (17), 186-192.
16. Tse, Y. K., and Tsui, A. (2002). A Multivariate GARCH Model With Time-Varying Correlations, Journal Of Business And Economic Statistics, 20 (3), 351-362.