Year 2018, Volume 13, Issue 3, Pages 125 - 140 2018-12-31

Financial Stress Index of Turkey and Determination of High Stress Periods by Markov Regime Switching Model
Türkiye Finansal Stres Endeksi ve Markov Rejim Değişim Modeli ile Yüksek Stres Dönemlerinin Belirlenmesi

Hoşeng Bülbül [1] , Işıl Akgül [2]

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Developing countries are more sensitive to developments in global markets and capital movements. Therefore, their financial stress should not be high enough to put the economic recovery in danger when faced with problems originating from financial markets. In this paper, it is aimed to provide benefit to policymakers by creating a financial stress index that covers the period from 1990:01 to 2017:02 for Turkey in order to monitor financial stability. The variables included in the index are chosen among the variables that define the high stress conditions in financial markets. Markov regime switching models have been defined for this financial stress index, with the help of these models, low stress, normal stress and high stress periods in financial markets have been determined. The findings have been reached that high stress periods concentrated in the crisis years of 1991, 1994, 1998, 2000-2001 and 2008. This shows the success of the financial index to predict the crises in Turkey.

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Primary Language tr
Subjects Social
Journal Section Articles
Authors

Orcid: 0000-0002-4541-8916
Author: Hoşeng Bülbül (Primary Author)
Institution: MARMARA ÜNİVERSİTESİ, İKTİSAT FAKÜLTESİ
Country: Turkey


Orcid: 0000-0003-4133-1378
Author: Işıl Akgül (Primary Author)
Country: Turkey


Bibtex @research article { oguiibf427265, journal = {Eskişehir Osmangazi Üniversitesi İktisadi ve İdari Bilimler Dergisi}, issn = {1306-6730}, address = {Eskişehir Osmangazi University}, year = {2018}, volume = {13}, pages = {125 - 140}, doi = {10.17153/oguiibf.427265}, title = {Türkiye Finansal Stres Endeksi ve Markov Rejim Değişim Modeli ile Yüksek Stres Dönemlerinin Belirlenmesi}, key = {cite}, author = {Bülbül, Hoşeng and Akgül, Işıl} }
APA Bülbül, H , Akgül, I . (2018). Türkiye Finansal Stres Endeksi ve Markov Rejim Değişim Modeli ile Yüksek Stres Dönemlerinin Belirlenmesi. Eskişehir Osmangazi Üniversitesi İktisadi ve İdari Bilimler Dergisi, 13 (3), 125-140. DOI: 10.17153/oguiibf.427265
MLA Bülbül, H , Akgül, I . "Türkiye Finansal Stres Endeksi ve Markov Rejim Değişim Modeli ile Yüksek Stres Dönemlerinin Belirlenmesi". Eskişehir Osmangazi Üniversitesi İktisadi ve İdari Bilimler Dergisi 13 (2018): 125-140 <http://dergipark.gov.tr/oguiibf/issue/41673/427265>
Chicago Bülbül, H , Akgül, I . "Türkiye Finansal Stres Endeksi ve Markov Rejim Değişim Modeli ile Yüksek Stres Dönemlerinin Belirlenmesi". Eskişehir Osmangazi Üniversitesi İktisadi ve İdari Bilimler Dergisi 13 (2018): 125-140
RIS TY - JOUR T1 - Türkiye Finansal Stres Endeksi ve Markov Rejim Değişim Modeli ile Yüksek Stres Dönemlerinin Belirlenmesi AU - Hoşeng Bülbül , Işıl Akgül Y1 - 2018 PY - 2018 N1 - doi: 10.17153/oguiibf.427265 DO - 10.17153/oguiibf.427265 T2 - Eskişehir Osmangazi Üniversitesi İktisadi ve İdari Bilimler Dergisi JF - Journal JO - JOR SP - 125 EP - 140 VL - 13 IS - 3 SN - 1306-6730- M3 - doi: 10.17153/oguiibf.427265 UR - https://doi.org/10.17153/oguiibf.427265 Y2 - 2018 ER -
EndNote %0 Eskişehir Osmangazi University Journal of Economics and Administrative Sciences Türkiye Finansal Stres Endeksi ve Markov Rejim Değişim Modeli ile Yüksek Stres Dönemlerinin Belirlenmesi %A Hoşeng Bülbül , Işıl Akgül %T Türkiye Finansal Stres Endeksi ve Markov Rejim Değişim Modeli ile Yüksek Stres Dönemlerinin Belirlenmesi %D 2018 %J Eskişehir Osmangazi Üniversitesi İktisadi ve İdari Bilimler Dergisi %P 1306-6730- %V 13 %N 3 %R doi: 10.17153/oguiibf.427265 %U 10.17153/oguiibf.427265
ISNAD Bülbül, Hoşeng , Akgül, Işıl . "Türkiye Finansal Stres Endeksi ve Markov Rejim Değişim Modeli ile Yüksek Stres Dönemlerinin Belirlenmesi". Eskişehir Osmangazi Üniversitesi İktisadi ve İdari Bilimler Dergisi 13 / 3 (December 2019): 125-140. https://doi.org/10.17153/oguiibf.427265