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Kuresel Kriz, Avrupa Borc Krizi ve Gelismekte Olan Piyasalarda Bulasicilik Etkisi (Global Crisis, European Debt Crisis and Contagion in Emerging Markets)

Author

Listed:
  • Doruk Kucuksarac
  • Pinar Ozlu
  • Deren Unalmis

Abstract

This study investigates whether the response of Turkey to the common shocks during 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.

Suggested Citation

  • Doruk Kucuksarac & Pinar Ozlu & Deren Unalmis, 2012. "Kuresel Kriz, Avrupa Borc Krizi ve Gelismekte Olan Piyasalarda Bulasicilik Etkisi (Global Crisis, European Debt Crisis and Contagion in Emerging Markets)," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 12(2), pages 25-35.
    • Handle: RePEc:tcb:cebare:v:12:y:2012:i:2:p:25-35
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    References listed on IDEAS

    as
    1. 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.
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    Keywords

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    JEL classification:

    • F42 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Policy Coordination and Transmission
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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