Generic economic stability ındex generation for emerging markets
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Tarih
2008
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
İstanbul Bilgi Üniversitesi
Erişim Hakkı
Attribution-NonCommercial-NoDerivs 3.0 United States
info:eu-repo/semantics/openAccess
info:eu-repo/semantics/openAccess
Özet
Bu tezde, yeni gelişen pazarlarda lojistik regresyon modelleri kullanarak mali kriz tahmin hedefleyen bir sayısal bileşik öncü göstergesi tasarladık. Arjantin, Rusya, Brezilya, Tayland ve Türkiye, gelişmekte olan piyasalarda ana mali kriz temsil etmek üzere seçildi. Belirli bir ülkedeki finansal krizin diğer gelişmekte olan ülkelerdeki krizi tetikleyip tetiklemediği incelendi. Ayrıca, gelişmekte olan ülkelerdeki ekonomik stabilitenin bir göstergesi olan kredi temerrüt takası ile oluşturulan endeks arasındaki ilişkileri analiz edildi.
In this paper, I have designed a scalar composite leading indicator that aims to predict financial crisis in emerging markets by utilizing logistic regression models. Argentina, Russia, Brazil, Thailand and Turkey are selected to represent the main financial crisis in the emerging markets. It is also questioned whether a financial crisis in one country leads another crisis in the other country by checking the causality relations. I have also analyzed the relations among the credit default swap spreads for emerging markets which is a sign of the expectations about the economic stability of the associated country.
In this paper, I have designed a scalar composite leading indicator that aims to predict financial crisis in emerging markets by utilizing logistic regression models. Argentina, Russia, Brazil, Thailand and Turkey are selected to represent the main financial crisis in the emerging markets. It is also questioned whether a financial crisis in one country leads another crisis in the other country by checking the causality relations. I have also analyzed the relations among the credit default swap spreads for emerging markets which is a sign of the expectations about the economic stability of the associated country.
