Kuresel Kriz, Avrupa Borc Krizi ve Gelismekte Olan Piyasalarda Bulasicilik Etkisi
Abstract[TR] Son donemde yasanan krizlerin etkisiyle finansal bulasicilik ekonomi ve finans yazininda en cok tartisilan konulardan birisi olmustur. Bu calismada, gelismekte olan ulkelere iliskin 2002 : 01-2011 : 10 donemi verileri kullanilarak kriz donemlerinde Turkiye’nin ortak soklara goreli tepkisinin farklilasip farklilasmadigi (degisim bulasiciligi) test edilmistir. Degisim bulasiciligi testlerinin sonuclari, son donemde yasanan krizlerde Turkiye’nin diger gelismekte olan ulkelerden ayrismadigini ve ortak soklardan diger ulkeler ile benzer sekilde etkilendigini ortaya koymaktadir. Bu sonuc tum gelismekte olan ulke gruplari ve calismada incelenen tum piyasalar (doviz kuru, sermaye ve tahvil piyasalari) icin gecerlidir. Ote yandan, finansal piyasalarda beklenen getiriler kriz donemlerinde ve normal donemlerde farklilasmakta ve gelismekte olan ulkelere yonelen sermaye akimlarinin kriz donemlerinde tersine dondugu gorulmektedir. [EN] This study investigates whether the response of Turkey to the common shocks during the recent financial crises has changed or not (i.e. tests for shift-contagion) relative to a wide group of other emerging countries for the period 2002 : 01-2011 : 10. The shift contagion tests indicate that the adverse effects of the crisis episodes on Turkish financial markets have been similar to other emerging markets in Europe, Asia and Latin America. This result is common across all country groups and markets (currency, capital and bond markets) investigated in the study. The analysis also shows that the expected returns display a significant shift between the low- and high- volatility regimes and there is a capital outflow from the emerging markets during times of turmoil.
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Bibliographic InfoPaper provided by Research and Monetary Policy Department, Central Bank of the Republic of Turkey in its series CBT Research Notes in Economics with number 1204.
Date of creation: 2012
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