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An Analysis of Early Warning Signals of Currency Crises in Turkey, 1986-2004

Author

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  • Aykut Kibritçioğlu

    (Ankara University)

Abstract

Within a signals approach framework à la Kaminsky, Lizondo and Reinhart, this paper aims both to detect the early warning signals of currency crises in Turkey and to discuss the reliability of an early warning system for this country. To determine major leading indicators of currency crises in Turkey, more than 45 variables are tested, and by using the most relevant 15 variables, a composite index is constructed to estimate the probabilities of currency crises in the country.

Suggested Citation

  • Aykut Kibritçioğlu, 2004. "An Analysis of Early Warning Signals of Currency Crises in Turkey, 1986-2004," International Finance kibritcioglu_aykut.62178-, Socionet.
    • Handle: RePEc:nos:wuwpif:kibritcioglu_aykut.62178-iks-ak-001
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    File URL: http://kibritcioglu.socionet.ru/files/OENB-Kibritcioglu-20041108.pdf
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    Cited by:

    1. Rezaei , Pooria & Ebrahimi , Seyed Babak & Azin , Pejman, 2019. "Evaluating the Application of a Financial Early Warning System in the Iranian Banking System," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 14(2), pages 177-204, April.

    More about this item

    Keywords

    Currency crises; signals approach; early warning system; real exchange rate misalignment; foreign trade; Turkish economy;
    All these keywords.

    JEL classification:

    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F47 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Forecasting and Simulation: Models and Applications
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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