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Currency crises in Turkey: An empirical assessment

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  • Ari, Ali
  • Cergibozan, Raif

Abstract

Contrary to many previous empirical studies on currency crises, this paper aims to test the relevance of different methodologies and crisis definitions in estimating crisis determinants and predicting crisis episodes in the case of Turkey over the period of 1990–2014. Empirical results first show that the inflation rate, portfolio investments, and the ratio of bank foreign deposits to total deposits are found to be the leading determinants of Turkish currency crises in different model estimations. Secondly, empirical findings clearly indicate the superiority of the Markov approach in predicting crisis episodes in Turkey when compared to the logit model.

Suggested Citation

  • Ari, Ali & Cergibozan, Raif, 2018. "Currency crises in Turkey: An empirical assessment," Research in International Business and Finance, Elsevier, vol. 46(C), pages 281-293.
  • Handle: RePEc:eee:riibaf:v:46:y:2018:i:c:p:281-293
    DOI: 10.1016/j.ribaf.2018.04.001
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    1. Lepers, Etienne & Sánchez Serrano, Antonio, 2020. "Decomposing financial (in)stability in emerging economies," Research in International Business and Finance, Elsevier, vol. 51(C).

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    More about this item

    Keywords

    Currency crises; Early warning systems; Logit; Markov-switching; Turkey;
    All these keywords.

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G01 - Financial Economics - - General - - - Financial Crises

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