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Turkiye'nin Finansal Piyasa Likiditesi, Olcumu ve Analizi

Author

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  • Burcu Deniz Yildirim

Abstract

In this study, a market liquidity index for Turkey is built, which presents information about the course of the liquidity in the financial markets. Moreover, the impact of the 2007-2009 global financial crisis on Turkey's financial system is examined by comparing the index to VIX, a risk appetite and a volatility indicator. According to the conducted stochastic analysis, the results suggest that Turkish financial markets were affected by the said global crisis for a shorter period of time compared to the financial markets in the US.

Suggested Citation

  • Burcu Deniz Yildirim, 2011. "Turkiye'nin Finansal Piyasa Likiditesi, Olcumu ve Analizi," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 11(1), pages 11-28.
    • Handle: RePEc:tcb:cebare:v:11:y:2011:i:1:p:11-28
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    File URL: http://www.tcmb.gov.tr/wps/wcm/connect/EN/TCMB+EN/Main+Menu/Publications/Central+Bank+Review/2011/Volume+11-1/
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    More about this item

    Keywords

    Market liquidity index; Bid-ask spread; illiquidity ratio; SWARCH;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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