KaydedilenlerDerginizi ekleyin

Dergiler / Florya Chronicles of Political Economy / 2018 / Cilt: 4 - Sayı: 2

Transmission Process of Financial Crises: Interdependence and Contagion Effects Across Turkey, Brazil, Russia and the Middle East Countries

Aysu INSEL
Abdurrahman KORKMAZ
Sayfa
53–78
Yayın Tarihi
2018-10-01
DOI
—
🏛️Bu makalenin bibliyografik verileri ve tam metin bağlantısı DergiPark üzerinden sağlanmıştır.
DergiPark Kaydı ↗
✨

Yapay Zeka Hızlı Bakış & Çıkarımlar

AI Insight
⚡ TL;DR(1 Cümlede Hızlı Çıkarım)

Consequently, it can be suggested that the policy-makers are less likely to prevent the financial crises experienced outside being transmitted to their own country; even if they could exactly predict that, the interdependence effect exists.

📌 3 Maddede Bu Makale

🎯
Amaç & Hipotez:The first aim of the paper is to investigate the interdependence and/or contagion effect of an economic crisis across Turkey, Brazil and Russia as well as some Gulf Cooperation Council countries; Kuwait, Oman, Qatar, and Morocco covering the period from August 2004 to March 2012.
📊
Temel Bulgular & Veri:An exchange market pressure index and the outlier test of Favero and Giavazzi (2002) are used in this paper.
💡
Sonuç & Katkı:Consequently, it can be suggested that the policy-makers are less likely to prevent the financial crises experienced outside being transmitted to their own country; even if they could exactly predict that, the interdependence effect exists.
🔬Tür:Araştırma Makalesi
📍Kapsam:2004 Verileri
⚙️Değişkenler:Favero and Giavazzi Outlier Test · Simultaneous Equation System. · Financial crises

Abstract

The first aim of the paper is to investigate the interdependence and/or contagion effect of an economic crisis across Turkey, Brazil and Russia as well as some Gulf Cooperation Council countries; Kuwait, Oman, Qatar, and Morocco covering the period from August 2004 to March 2012. The second aim is to present an alternative view on the transmission process of financial crises across the economies via any possible interaction channel between the interdependence effect and contagion. An exchange market pressure index and the outlier test of Favero and Giavazzi (2002) are used in this paper. The estimation results reveal that there are fifteen cases in which the interdependence and the contagion effects could be related to each other. Consequently, it can be suggested that the policy-makers are less likely to prevent the financial crises experienced outside being transmitted to their own country; even if they could exactly predict that, the interdependence effect exists.

🔖

Bu Makaleye Atıf Yap

INSEL, A., KORKMAZ, A. (2018). Transmission Process of Financial Crises: Interdependence and Contagion Effects Across Turkey, Brazil, Russia and the Middle East Countries. Florya Chronicles of Political Economy, Cilt: 4 - Sayı: 2, 53–78. https://ajindex.com/articles/758607

📄 Tam Metin PDF Okuyucu

📄

PDF görüntüleyici hazırlanıyor...

Kaynakça (13)

  1. Bae, Kee-Hong, Karolyi, G. Andrew Stulz, Rene M. (2003), “A New Approach To Measuring Financial Contagion”, Review of Financial Studies, Vol. 16, No. 3, 717-763, Fall
  2. Dirk G. Baur and Renée A. Fry, (2009), “Multivariate Contagion and Interdependence”, Centre for Applied Macroeconomic Analysis (CAMA), College of Business and Economics, the Australian National University, Canberra, Australia, and the Cambridge Endowment for Research in Finance, University of Cambridge, March
  3. Dornbusch, Rudiger, Park, Yung C., Claessens, Stijn (2000) “Contagion: Understanding How It Spreads”, World Bank Research Observer, Vol. 15, No. 2, 177-197, August
  4. Drazen, Allen (1999) “Political Contagion in Currency Crises”, National Bureau of Economic Research Working Paper Series, No. 7211, July
  5. Dungey, M. and Martin, V.L., (2004), “A Multifactor Model of Exchange Rates with Unanticipated Shocks: Measuring Contagion in the East Asian Currency Crisis”, Journal of Emerging Markets Finance, 3, 305-330
  6. Dungey, Mardi, Fry, Renee, Gonzales- Hermosillo, Brenda, Martin, L. Vance (2005), “Empirical Modelling of Contagion: A Review of Methodologies”, Quantitative Finance, Vol. 5, No. 1, 9-24, February
  7. Dungey, Mardi, Fry Renee, Gonzales- Hermosillo Brenda, Martin, L. Vance, and Tang, Chrismin (2010) “Are Financial Crises Alike?” International Monetary Fund, Working Paper, No.10/14, January
  8. Eichengreen, Barry, Rose, Andrew, and Wyplosz, Charles, (995), “Exchange Market Mayhem: The Antecedents and Aftermath of Speculative Attacks”, Economic Policy: A European Forum, 21, 249-296
  9. Eichengreen, Barry, Rose, Andrew, and Wyplosz, Charles (1996) “Contagious Currency Crises: First Tests”, Scandinavian Journal of Economics, Vol. 98, No.4, 463-484, December
  10. Ellaboudy, S., (2010), “The Global Financial Crisis: Economic Impact on GCC Countries and Policy Implications”, International Research Journal of Finance and Economics, Issue 41, pp.177-190
  11. Favero, Carlo A., and Francesco Giavazzi, (2002), “Is the international propagation of financial shocks non-linear?”, Journal of International Economics 571, 231-246
  12. Forbes, Kristin J., Rigobon, Roberto, (2002), “No Contagion, only Interdependence: Measuring Stock Market Comovements”, Journal of Finance, Vol. 57, No. 5, 2223-2261, October
  13. Habibi, Nader (2009), “The Impact of the Global Economic Crisis on Arab Countries: A Year End Assessment”, Middle East Brief, No: 40, Crown Center for Middle East S