FİNANSAL KRİZLERİN ÖNGÖRÜSÜNDE MARKOV REJİM DEĞİŞİMİ MODELİ: GELİŞMEKTE OLAN ÜLKELERE YÖNELİK BİR ANALİZ

M. Ali Avcı; N. Oğuzhan Altay; Harun Sulak

FİNANSAL KRİZLERİN ÖNGÖRÜSÜNDE MARKOV REJİM DEĞİŞİMİ MODELİ: GELİŞMEKTE OLAN ÜLKELERE YÖNELİK BİR ANALİZ

Yıl 2016, Cilt: 21 Sayı: 2, 463 - 475, 02.05.2016

M. Ali Avcı , N. Oğuzhan Altay , Harun Sulak

Öz

Bu çalışmanın amacı, gelişmekte olan ülkelerden Türkiye, Arjantin ve Tayland’da 1990-2010 döneminde yaşanan finansal krizlerin öngörülebilirliğini Markov rejim değişimi modelini kullanarak analiz etmektir. Oluşturulan modellerde bağımlı değişken olarak finansal baskı endeksleri hesaplanmış ve bu endeksleri açıklamak üzere literatürden onbeş farklı gösterge bağımsız değişken olarak seçilmiştir. Türkiye’de, reel döviz kurunun trendden sapması, yurtiçi krediler/endüstriyel üretim, enflasyon ve M2/Rezervler; Arjantin’de hisse senedi fiyatı, reel faiz oranı farklılığı, enflasyon ve M2/Rezervler; Tayland’da ticaret dengesi, ticaret haddi, M2/Rezervler ve petrol fiyatı finansal krizlerin öngörüsünde başarılı bulunan göstergelerdendir. Analiz sonucunda Türkiye’de 1994 ve 2001, Arjantin’de 1994, 2002 ve 2009, Tayland’da 1997 ve 2009 yıllarında meydana gelen krizler başarı ile öngörülmüştür.

Anahtar Kelimeler

Finansal Kriz, Öngörülebilirlik, Markov Rejim Değişimi

Kaynakça

ABIAD, A. (2003). “Early Warning Systems for Currency Crises: A Regime-Switchin g Approach”, IMF Working Paper, Vol. 03/32.
ALBERO, C. (2006). “ Structural Breakpoint Tests in a Markov-Switching Model: An Empirical Application to the EMU Member Countries”, http://www.econ.upenn.edu /~fuentesa/emu_last.pdf, 10.08.2012.
BREIMAN, L., FRIEDMAN, J.H., OLSHEN, R.A. ve STONE, J.C. (1984). Classification and Regression Trees, Wadsworth Inc, Monterey, California.
BRUNETTI, C., MARIANO, R. S., SCOTTI C. ve TAN A. H. H., (2007). “Markov Switching GARCH Models of Currency Turmoil in Southeast Asia”, Board of Governors of the Federal Reserve System, International Finance Discussion Papers, No. 889.
BURKARD, O., COUDERT, V. (2000). “Currency Crises in the Emerging Economies”, Banque de France Bulletin, No. 82.
ÇEŞMECİ, Ö., ÖNDER, A. Ö. (2008). “Determinants of Currency Crises in Emergin g Markets”, Emerging Markets Finance & Trade, Vol. 44/5.
EICHENGREEN, B., ROSE, A. ve WYPLOSZ, C. (1995). “Exchange Market Mayhem: The Antecedents and Aftermath of Speculative Attacks”, Economic Policy, No. 21, 251- 312.
FRANKEL, J. ve ROSE, A. (1996). “Currency Crashes in Emerging Markets: Empric a l Indicators”, NBER Working Papers, No. 5437, 1-29.
GOSH, S., GOSH, A. R. (2003). “Structural Vulnerabilities and Currency Crises”, IMF Staff Papers, Vol. 50/3.
HAGEN, J. ve HOO, T. (2004). “Money Market Pressure and Determinants of Banking Crises”, ZII Working Paper, No.20.
HAMILTON, J. D. (1989). “A New Approach to Economic Analysis of Nonstationary Time Series and the Business Cycle”, Econometrica, C: 57/2.
HENDRY, D.F. ve RICHARD, J.F. (1983). “ The Econometric Analysis of Economic Time Series”, International Statistical Review, C: 51. IMF, (2010).
International Financial Statistics Database IFS, http://www.imf.org /
external/data.htm, 13.08.2011.
KAMINSKY, G., LIZONDO, S. ve REINHART, C. (1998). “Leading Indicators of Currency Crises”, Policy Research Working Paper, No.1852, 1-42.
KNEDLIK, T. ve SCHEUFELE, R. (2007). “Forecasting Currency Crises: Which Methods Signaled The South African Crisis of June 2006?”, South African Journal of Economics, Vol. 76/3.
KRKOSKA, L., (2000). “Assensing Macroeconomic Vulnerability in Central Europe”, Eurpean Bank for Reconstruction and Development, Working Paper, No. 52.
KRUGMAN, P. (1979). “A Model of Balance of Payments Crises”, Journal of Money, Credit and Banking, Vol. 11/3.
KRUGMAN, P. (1998). “What Happened to Asia”, (Çevrimiçi), http://web.mit.edu/ krugman/www/DISINTER.ht ml
MİSHKİN, F. S. (2001). “Financial Policies and the Prevention of Financial Crises in Emerging Market Economies”, NBER Working Papers, No. 8087
NAG, A.K. ve MITRA, A. (1999). “Neural Networks and Early Warning Indicators of Currency Crisis”, Reserve Bank of India Occasional Papers, Vol. 20/2.
OBSFELD, M. (1994). “The Logic of Currency Crises”, NBER Working Papers, No. 4640, pp. 1-64.
TCMB (2011) Elektronik Veri Dağıtım Sistemi http://evds.tcmb.gov.tr/cbt.html, 05.06.20 11 .
YILMAZKUDA Y, H. ve AKAY, K. (2008). “An analysis of Regime Shifts in The Turkish Economy”, Economic Modelling, C: 25.

Yıl 2016, Cilt: 21 Sayı: 2, 463 - 475, 02.05.2016

M. Ali Avcı , N. Oğuzhan Altay , Harun Sulak

Öz

Kaynakça

ABIAD, A. (2003). “Early Warning Systems for Currency Crises: A Regime-Switchin g Approach”, IMF Working Paper, Vol. 03/32.
ALBERO, C. (2006). “ Structural Breakpoint Tests in a Markov-Switching Model: An Empirical Application to the EMU Member Countries”, http://www.econ.upenn.edu /~fuentesa/emu_last.pdf, 10.08.2012.
BREIMAN, L., FRIEDMAN, J.H., OLSHEN, R.A. ve STONE, J.C. (1984). Classification and Regression Trees, Wadsworth Inc, Monterey, California.
BRUNETTI, C., MARIANO, R. S., SCOTTI C. ve TAN A. H. H., (2007). “Markov Switching GARCH Models of Currency Turmoil in Southeast Asia”, Board of Governors of the Federal Reserve System, International Finance Discussion Papers, No. 889.
BURKARD, O., COUDERT, V. (2000). “Currency Crises in the Emerging Economies”, Banque de France Bulletin, No. 82.
ÇEŞMECİ, Ö., ÖNDER, A. Ö. (2008). “Determinants of Currency Crises in Emergin g Markets”, Emerging Markets Finance & Trade, Vol. 44/5.
EICHENGREEN, B., ROSE, A. ve WYPLOSZ, C. (1995). “Exchange Market Mayhem: The Antecedents and Aftermath of Speculative Attacks”, Economic Policy, No. 21, 251- 312.
FRANKEL, J. ve ROSE, A. (1996). “Currency Crashes in Emerging Markets: Empric a l Indicators”, NBER Working Papers, No. 5437, 1-29.
GOSH, S., GOSH, A. R. (2003). “Structural Vulnerabilities and Currency Crises”, IMF Staff Papers, Vol. 50/3.
HAGEN, J. ve HOO, T. (2004). “Money Market Pressure and Determinants of Banking Crises”, ZII Working Paper, No.20.
HAMILTON, J. D. (1989). “A New Approach to Economic Analysis of Nonstationary Time Series and the Business Cycle”, Econometrica, C: 57/2.
HENDRY, D.F. ve RICHARD, J.F. (1983). “ The Econometric Analysis of Economic Time Series”, International Statistical Review, C: 51. IMF, (2010).
International Financial Statistics Database IFS, http://www.imf.org /
external/data.htm, 13.08.2011.
KAMINSKY, G., LIZONDO, S. ve REINHART, C. (1998). “Leading Indicators of Currency Crises”, Policy Research Working Paper, No.1852, 1-42.
KNEDLIK, T. ve SCHEUFELE, R. (2007). “Forecasting Currency Crises: Which Methods Signaled The South African Crisis of June 2006?”, South African Journal of Economics, Vol. 76/3.
KRKOSKA, L., (2000). “Assensing Macroeconomic Vulnerability in Central Europe”, Eurpean Bank for Reconstruction and Development, Working Paper, No. 52.
KRUGMAN, P. (1979). “A Model of Balance of Payments Crises”, Journal of Money, Credit and Banking, Vol. 11/3.
KRUGMAN, P. (1998). “What Happened to Asia”, (Çevrimiçi), http://web.mit.edu/ krugman/www/DISINTER.ht ml
MİSHKİN, F. S. (2001). “Financial Policies and the Prevention of Financial Crises in Emerging Market Economies”, NBER Working Papers, No. 8087
NAG, A.K. ve MITRA, A. (1999). “Neural Networks and Early Warning Indicators of Currency Crisis”, Reserve Bank of India Occasional Papers, Vol. 20/2.
OBSFELD, M. (1994). “The Logic of Currency Crises”, NBER Working Papers, No. 4640, pp. 1-64.
TCMB (2011) Elektronik Veri Dağıtım Sistemi http://evds.tcmb.gov.tr/cbt.html, 05.06.20 11 .
YILMAZKUDA Y, H. ve AKAY, K. (2008). “An analysis of Regime Shifts in The Turkish Economy”, Economic Modelling, C: 25.

Toplam 24 adet kaynakça vardır.

Ayrıntılar

Birincil Dil	Türkçe
Bölüm	Makaleler
Yazarlar	M. Ali Avcı N. Oğuzhan Altay Harun Sulak
Yayımlanma Tarihi	2 Mayıs 2016
Yayımlandığı Sayı	Yıl 2016 Cilt: 21 Sayı: 2

Kaynak Göster

APA	Avcı, M. A., Altay, N. O., & Sulak, H. (2016). FİNANSAL KRİZLERİN ÖNGÖRÜSÜNDE MARKOV REJİM DEĞİŞİMİ MODELİ: GELİŞMEKTE OLAN ÜLKELERE YÖNELİK BİR ANALİZ. Süleyman Demirel Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi, 21(2), 463-475.