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Journals / Ege Akademik Bakış / 2013 / Cilt: 13 - Sayı: 1

Determinants of financial crises and the predictability: A case study for Turkey

Finansal krizlerin belirleyenleri ve öngörülebilirliği: Türkiye üzerine bir uygulama

Muhammet Ali AVCI
N.Oğuzhan ALTAY
Pages
113–124
Publication Date
2022-10-12
DOI
—
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AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

According to the results, in Regression Trees model for predicting financial crises the most significant indicators are; money market pressure index, rate of industrial production to domestic credit, M2/Reserves, inflation, on the other hand in Markov Regime Switching model these indicators are terms of trade, balance of trade, inflation and M2/Reserves.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:The aim of this study is to analyze the predictability of financial crises and to determine the leading indicators of these crises in the period of 1990:01-2009:07 for Turkey by using Regression Trees and Markov Regime Switching models.
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Key Findings & Data:According to the results, in Regression Trees model for predicting financial crises the most significant indicators are; money market pressure index, rate of industrial production to domestic credit, M2/Reserves, inflation, on the other hand in Markov Regime Switching model these indicators are terms of trade, balance of trade, inflation and M2/Reserves.
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Conclusion & Impact:In this context, while the financial crises experienced in Turkey in 1994 and 2001 are successfully predicted, 2008 global financial crisis could not be predicted.
🔬Design:Modeling & Simulation
📍Scope:2009 Verileri
⚙️Variables:Domain Parameters

Abstract

The aim of this study is to analyze the predictability of financial crises and to determine the leading indicators of these crises in the period of 1990:01-2009:07 for Turkey by using Regression Trees and Markov Regime Switching models. According to the results, in Regression Trees model for predicting financial crises the most significant indicators are; money market pressure index, rate of industrial production to domestic credit, M2/Reserves, inflation, on the other hand in Markov Regime Switching model these indicators are terms of trade, balance of trade, inflation and M2/Reserves. In this context, while the financial crises experienced in Turkey in 1994 and 2001 are successfully predicted, 2008 global financial crisis could not be predicted.

Özet

Bu çalışmanın amacı, 1990:01-2009:07 dönemi Türkiyede yaşanan finansal krizlerin öngörülebilirliğini ve bu krizlerin öncü göstergelerini Regresyon Ağaçları ve Markov Rejim Değişimi modellerini kullanarak incelemektir. Uygulama sonuçlarına göre regresyon ağaçları modelinde, para piyasası baskı endeksi, yurtiçi kredilerin endüstriyel üretime oranı, M2/rezervler, enflasyon, Markov rejim değişimi modelinde ise ticaret haddi, ticaret dengesi, enflasyon ve M2/rezervler gibi göstergeler finansal krizleri öngörmede başarılı bulunmuşlardır. Bu kapsamda Türkiyede, 1994 ve 2001 yıllarında yaşanılan krizler öngörülürken, 2008 Küresel Finansal Krizi öngörülememiştir.

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Cite This Article

AVCI, M. A., ALTAY, N. (2022). Determinants of financial crises and the predictability: A case study for Turkey. Ege Akademik Bakış, Cilt: 13 - Sayı: 1, 113–124. https://ajindex.com/articles/495410

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