Advanced Search
MyIDEAS: Login

Kuresel Kriz, Avrupa Borc Krizi ve Gelismekte Olan Piyasalarda Bulasicilik Etkisi

Contents:

Author Info

  • Doruk Kucuksarac
  • Pinar Ozlu
  • Deren Unalmis

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.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.tcmb.gov.tr/research/ekonominotlari/2012/tr/EN1204.php
Download Restriction: no

Bibliographic Info

Paper 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.

as in new window
Length:
Date of creation: 2012
Date of revision:
Handle: RePEc:tcb:econot:1204

Contact details of provider:
Postal: Head Office, Istiklal Cad. 10 Ulus, 06100 Ankara
Phone: (90 312) 507 5000
Fax: (90 312) 507 5640
Email:
Web page: http://www.tcmb.gov.tr/
More information through EDIRC

Related research

Keywords:

This paper has been announced in the following NEP Reports:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Marcello Pericoli & Massimo Sbracia, 2001. "A Primer on Financial Contagion," Temi di discussione (Economic working papers) 407, Bank of Italy, Economic Research and International Relations Area.
  2. Flavin, Thomas J. & Panopoulou, Ekaterini & Unalmis, Deren, 2008. "On the stability of domestic financial market linkages in the presence of time-varying volatility," Emerging Markets Review, Elsevier, vol. 9(4), pages 280-301, December.
  3. Gravelle, Toni & Kichian, Maral & Morley, James, 2006. "Detecting shift-contagion in currency and bond markets," Journal of International Economics, Elsevier, vol. 68(2), pages 409-423, March.
  4. Kristin J. Forbes & Roberto Rigobon, 2002. "No Contagion, Only Interdependence: Measuring Stock Market Comovements," Journal of Finance, American Finance Association, vol. 57(5), pages 2223-2261, October.
  5. Moser, Thomas, 2003. "What Is International Financial Contagion?," International Finance, Wiley Blackwell, vol. 6(2), pages 157-78, Summer.
  6. Dornbusch, Rudiger & Park, Yung Chul & Claessens, Stijn, 2000. "Contagion: Understanding How It Spreads," World Bank Research Observer, World Bank Group, vol. 15(2), pages 177-97, August.
Full references (including those not matched with items on IDEAS)

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:tcb:econot:1204. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Soner Baskaya).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.