Prediction of currency crises: case of Turkey

Mariano, Roberto S.; Gultekin, Bulent; Özmucur, Süleyman; Shabbir, Tayyeb; Alper, C. Emre

doi:10.1080/1475368042000262802

Cited by 22 publications

(9 citation statements)

References 29 publications

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“…The authors test a broad set of indicators and identified effective real exchange rate, exports to imports ratio, foreign trade balance, current account balance and short‐term capital movements as the leading indicators of their crisis index. In an application of the Markov regime switching model of exchange rate movements to Turkish economy, Mariano et al . (2004) test both monthly and weekly models and find the real exchange rate, foreign exchange reserves, and domestic credit to deposit ratio to be the most important determinants of financial vulnerability.…”

Section: Literature Reviewmentioning

confidence: 99%

Currency Crises in Emerging Markets: The Case of Post‐liberalization Turkey

Feridun

2008

The Developing Economies

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This article investigates the determinants of currency crises in Turkey. It analyzes the two major currency crises of 1994 and 2000-2001 in the light of the existing theoretical models. The present study uses logit, probit, and limited dependent models to explain the currency crises in the post-capital account liberalization era. The results obtained from the three approaches are generally consistent and the coefficients obtained for the explanatory variables generally have the same sign. The findings suggest that the currency crises in Turkey are associated with global liquidity conditions, fiscal imbalances, capital outflows, and banking sector weaknesses.

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Section: Literature Reviewmentioning

confidence: 99%

Currency Crises in Emerging Markets: The Case of Post‐liberalization Turkey

Feridun

2008

The Developing Economies

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“…The rest of the existing literature (see, e.g. Kibritc¸iog˘lu et al, 1998;Ucer et al, 1998;Mariano et al, 2004;Ozkan, 2005;Parlaktuna, 2005;Feridun, 2008) focuses on the causes of currency crises and suggests the determinants of crises as short-term foreign debt, weak external position, exchange rate misalignment, current account deficit, capital movements, depletion of foreign exchange reserves, domestic credit expansion, fiscal imbalances and financial sector fragility. This article aims at investigating whether there is a long-run relationship between EMP and the macroeconomic fundamentals in Turkey rather than focusing on currency crises.…”

Section: Introductionmentioning

confidence: 99%

Do macroeconomic fundamentals affect exchange market pressure? Evidence from bounds testing approach for Turkey

Katırcıoğlu

Feridun

2011

Applied Economics Letters

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This article investigates the relationship between Exchange Market Pressure (EMP) and macroeconomic fundamentals in Turkey using the Autoregressive Distributed Lag (ARDL) bounds testing procedure and Vector Error Correction Model (VECM) within the framework of the canonical currency crisis models. The results of the bounds tests suggest the existence of a level relationship between EMP and the selected macroeconomic fundamentals. The results of the VECM also suggest that there exists a unidirectional causation that runs from those macroeconomic fundamentals to EMP in the case of the Turkish Economy.

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“…Of course, such a preliminary choice is obviously arbitrary. Besides, it generates a loss of information with the possibility of uncaptured crises periods (Mariano et al 2004). Following the above cited literature we apply the Markov Switching Regime Model (MSRM) to avoid these drawbacks.…”

Section: Identifying "Contagion" Methodologymentioning

confidence: 99%

Testing for 'Contagion' of the Subprime Crisis on the Middle East and North African Stock Markets: A Markov Switching EGARCH Approach

Khallouli¹,

Sandretto

2010

SSRN Journal

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In this paper, we investigate whether the recent financial turmoil which arose in the United States has contaminated the Middle East and North African countries (MENA). In contrast to Lagoard-Segot and Lucey (2009), we try to identify the existence of pure contagion (Masson, 1999) rather than shift-contagion (Rigobon, 2003). Then, we explicitly define financial "contagion" in accordance with Eichengreen et al. (1996) and we extend the Cerra and Saxena (2002) methodology by using a Markov-Switching EGARCH model introduced by Henry ( 2009) in order to identify contaminated MENA stock markets. Our results provide evidence of a persistence of recession characterised by low mean/high variance regimes which coincides with the third phases of the subprime crisis. In addition, there is evidence of mean and volatility contagion in MENA stock markets caused by the US stock market.

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Prediction of currency crises: case of Turkey

Cited by 22 publications

References 29 publications

Currency Crises in Emerging Markets: The Case of Post‐liberalization Turkey

Currency Crises in Emerging Markets: The Case of Post‐liberalization Turkey

Do macroeconomic fundamentals affect exchange market pressure? Evidence from bounds testing approach for Turkey

Testing for 'Contagion' of the Subprime Crisis on the Middle East and North African Stock Markets: A Markov Switching EGARCH Approach

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