dc.contributor.author | Akkaya, Murat | |
dc.date.accessioned | 2023-04-03T06:45:21Z | |
dc.date.available | 2023-04-03T06:45:21Z | |
dc.date.issued | 2020 | en_US |
dc.identifier.citation | AKKAYA, 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.issn | 2651-5393 | |
dc.identifier.uri | https://doi.org/10.14514/BYK.m.26515393.2020.8/2.199-216 | |
dc.identifier.uri | https://hdl.handle.net/20.500.12294/3647 | |
dc.description.abstract | A 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.iso | eng | en_US |
dc.publisher | Beykoz Üniversitesi | en_US |
dc.relation.ispartof | Beykoz Akademi Dergisi | en_US |
dc.identifier.doi | 10.14514/BYK.m.26515393.2020.8/2.199-216 | en_US |
dc.rights | info:eu-repo/semantics/openAccess | en_US |
dc.subject | Index of Currency Market Turbulence | en_US |
dc.subject | Leading Indicators | en_US |
dc.subject | VAR analysis | en_US |
dc.subject | Granger Causality Test | en_US |
dc.title | INDEX OF CURRENCY MARKET TURBULENCE AND ESTIMATION OF LEADING INDICATORS: THE CASE OF TURKEY | en_US |
dc.type | article | en_US |
dc.department | İktisadi ve İdari Bilimler Fakültesi, Uluslararası Ticaret ve Finans Bölümü | en_US |
dc.authorid | 0000-0002-7071-8662 | en_US |
dc.identifier.volume | 8 | en_US |
dc.identifier.issue | 2 | en_US |
dc.identifier.startpage | 199 | en_US |
dc.identifier.endpage | 216 | en_US |
dc.relation.publicationcategory | Makale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı | en_US |
dc.institutionauthor | Akkaya, Murat | |