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dc.contributor.authorAkkaya, Murat
dc.date.accessioned2023-04-03T06:45:21Z
dc.date.available2023-04-03T06:45:21Z
dc.date.issued2020en_US
dc.identifier.citationAKKAYA, M. (2020). INDEX OF CURRENCY MARKET TURBULENCE AND ESTIMATION OF LEADING INDICATORS: THE CASE OF TURKEY. Beykoz Akademi Dergisi, 8(2), 199-216.en_US
dc.identifier.issn2651-5393
dc.identifier.urihttps://doi.org/10.14514/BYK.m.26515393.2020.8/2.199-216
dc.identifier.urihttps://hdl.handle.net/20.500.12294/3647
dc.description.abstractA currency crisis is a condition in which the exchange rate significantly depreciates for a short period of time. Currency crises have significant economic and social consequences. Therefore, many indices are created to determine the degree of pressure in economies and to forecast the financial crises. According to the Signal Approach, it is thought that a variable gives a warning signal that a crisis may occur if a variable goes beyond a certain threshold level. The main purpose of this study to investigate the validity of the Index of Currency Market Turbulence developed by Kaminsky and Reinhart for Turkey in the period January 1999- December 2019. The results show that the Index is working, and the formula is correct. The another aim is to determine the leading indicators with respect to the Index of Currency Market Turbulence in the prediction of crises by Vector Auto Regressive (VAR) Model. The leading indicators causing financial crises, are tried to be determined by using Index of Currency Market Turbulence. Vector Autoregressive analysis results show that Unemployment Ratio, Exports/Import ratio, and the Non-Residents’ Equity Portfolio are exogenous, and other variables are not. Granger Causality test results show that the Unemployment Rate, Net International Reserves, US Dollar /TRL Currency Buying Rate and the Non- Residents’ Equity Portfolio can be used as leading indicators. VAR analysis, variance decomposition and Granger Causality test results show that Unemployment Rate (UR), Net International Reserves (NIR), US Dollar/ TRL Buying Rate (USD/TRL), the Equity Portfolio of Non-Residents (NREP) can be used as leading indicators.en_US
dc.language.isoengen_US
dc.publisherBeykoz Üniversitesien_US
dc.relation.ispartofBeykoz Akademi Dergisien_US
dc.identifier.doi10.14514/BYK.m.26515393.2020.8/2.199-216en_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectIndex of Currency Market Turbulenceen_US
dc.subjectLeading Indicatorsen_US
dc.subjectVAR analysisen_US
dc.subjectGranger Causality Testen_US
dc.titleINDEX OF CURRENCY MARKET TURBULENCE AND ESTIMATION OF LEADING INDICATORS: THE CASE OF TURKEYen_US
dc.typearticleen_US
dc.departmentİktisadi ve İdari Bilimler Fakültesi, Uluslararası Ticaret ve Finans Bölümüen_US
dc.authorid0000-0002-7071-8662en_US
dc.identifier.volume8en_US
dc.identifier.issue2en_US
dc.identifier.startpage199en_US
dc.identifier.endpage216en_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.institutionauthorAkkaya, Murat


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