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dc.contributor.authorÇepni, Elif
dc.contributor.authorKöse, Nezir
dc.date.accessioned2014-06-29T15:06:07Z
dc.date.available2014-06-29T15:06:07Z
dc.date.issued2006
dc.identifier.citationÇEPNİ, E., KÖSE, N. (2006). Assessing the currency crises in Turkey. Central Bank Review, 6 (1), 37-64.ss.en_US
dc.identifier.issn1303-0701
dc.identifier.issn1305-8800
dc.identifier.urihttp://hdl.handle.net/11376/175
dc.description.abstractThis study presents the significance of the currency crises, discusses the related literature and applies a model of economic vulnerability to Turkey during 1985Q2-2004Q2. The common approach in currency crisis literature is to focus on the performance of thresholds for a set of early warning indicators. Following the explanation of “Index of Speculative Pressure” (ISP), Granger causes of the ISP is discussed. The study shows that, current account/ GDP ratio, M2/international reserves ratio, real credit growth and current account/foreign direct investment ratio are Granger causes of the ISP at 1% level. Then by using Vector Auto Regression (VAR) model, the ISP index is forecasted. The study shows that the combination of VAR(1)+VAR(2)+VAR(5) models generate relatively better forecast values than all other single models. Finally the study estimates dynamic probit and logit models by using maximum likelihood to predict currency crises. It shows that logit model gives a better performance than the probit, for a better prediction of the probabilities of the Turkish currency crises. The most important contribution of this study is to show that the logit model has a very high performance in the prediction of Turkish currency crises. It can be used to foresee forthcoming currency crises. Also the forecast of the ISP (as a level) is giving very successful results. It is observed that the ISP and forecasted ISP values are almost moving together or very close to each other.en_US
dc.language.isoengen_US
dc.publisherCentral Bank of the Republic of Turkeyen_US
dc.publisherTürkiye Cumhuriyet Merkez Bankasıen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectCurrency Crisesen_US
dc.subjectSpeculative Pressureen_US
dc.subjectExchange Ratesen_US
dc.subjectFinancial Crisesen_US
dc.subject.otherC25
dc.subject.otherE44
dc.subject.otherF30
dc.subject.otherF47
dc.titleAssessing the currency crises in Turkeyen_US
dc.typearticleen_US
dc.relation.journalCentral Bank Reviewen_US
dc.contributor.departmentDoğuş Üniversitesi, İktisadi ve İdari Bilimler Fakültesi, Ekonomi ve Finans Bölümüen_US
dc.contributor.authorIDTR4358
dc.contributor.authorIDTR8004


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