Predicting Financial Stress in Turkey

Sonmez E., KANDEMİR KOCAASLAN Ö.

MALIYE DERGISI, sa.182, ss.30-50, 2022 (ESCI) identifier

  • Yayın Türü: Makale / Tam Makale
  • Basım Tarihi: 2022
  • Dergi Adı: MALIYE DERGISI
  • Derginin Tarandığı İndeksler: Emerging Sources Citation Index (ESCI), TR DİZİN (ULAKBİM)
  • Sayfa Sayıları: ss.30-50
  • Anahtar Kelimeler: Markov Switching Model with Time-Varying Transition Probabilities, Financial Stress Index, Early Warning Models, EXCHANGE MARKET PRESSURE, SYSTEMS, BANKING, CRISES, MODEL
  • Hacettepe Üniversitesi Adresli: Evet

Özet

The aim of this study is to predict financial stress periods in Turkey within the framework of Markov Regime Switching method. For this study, a new "Turkey Financial Stress Index" was prepared and used as dependent variable to predict regime changes. The results of the empirical analysis indicate that spread between commercial and housing loan interest rates at monthly frequency provides a warning signal four months prior to transition from low financial stress to high financial stress regime. At quarterly frequency, debt service ratio issues signal three quarters before entering into high financial stress regime, whereas industrial production issues signal four quarters before exiting from high financial stress period.