Suchergebnisse

We are all impatient to know what is going on in the economy 'right now'. But given the delays in the publication of official data, effectively economists are driving looking through the rear-view mirror as they do not know where the economy is until they have driven well past it. The statistical office in the UK (the ONS), for example, publishes quarterly GDP estimates about 27 days after the end of the quarter, and this is relatively quick by international standards.

This study empirically observes the leading indicators of 1994, 2000/2001 and 2009 Turkish financial crises. Stepwise regression, Probit and Logit models have been applied to three sets of quarterly data covering the periods of Q1-1990 to Q4- 1999 to investigate the leading indicators of the 1994 crisis, from Q3-1996 to Q2-2005 to capture the 2000/2001 twin crises, and from Q3-2005 to Q3-2015 to see the global financial crisis effect on Turkey. Results assert that the three crises of Turkey are different in structure and each has different characteristics with different leading indicators. The results provide a new set of leading indicators that includes capital adequacy and long-term interest rates as well as international variables, and these indicators are compatible with the new structure of Turkish economy. Regulators and policymakers should pay close attention to macroeconomic variables and the banking sector stability of Turkey as well as the status of the global economy as the results show that many banking and international related variables increase the probability of the crisis, this can be through imposing tighter regulations on banks to avoid default and credit risk, following the liquidity levels in the markets and closely following the stability of global economic indicators. Keywords: Financial crisis, Turkey, stepwise regression, probit and logit models, leading indicators. ; ÖZ: Bu çalışmada, 1994, 2000/2001 ve 2009 Türkiye finansal krizlerinin öncü göstergeleri Stepwise regresyon, Probit ve Logit tahmin yöntemleri kullanılarak ampirik olarak incelenmiştir. 1990-2015 yıllarını kapsayan çeyreklik veri seti her bir krizin öncü göstergelerinin tespit edilebilmesi amacıyla 1990-1999, 1996-2005, 2005-2015 olmak üzere üç alt gruba ayrılmıştır. Sonuçlar, Türkiye'de yaşanan her üç krizin de birbirinden yapısal olarak belirli ölçüde farklı olduğunu göstermiş ve her bir kriz için elde edilen öncü göstergelerde farklılıklar olduğu görülmüştür. Çalışma sermaye yeterliliği, uzun vadeli faiz oranları ile uluslararası değişkenleri içeren ve Türk ekonomisinin değişen yapısıyla uyumlu yeni bir öncü göstergeler seti önermektedir. Bulgular bankacılık sektörü ile ilgili çeşitli değişkenlerin yanında, ülke dışında yaşanan olumsuz gelişmelerin de ülkede bir kriz yaşanma ihtimalini artırdığını göstermektedir. Elde edilen sonuçlar politika yapıcıların ve düzenleyici organların ülkenin temel makroekonomik göstergeleri yanında, küresel ekonomideki gelişmeleri de yakından takip etmelerinin ve bankacılık sektöründe istikrarın sağlanmasının önemine işaret etmektedir. Uygulanabilecek önlemler arasında piyasalardaki likidite seviyesinin kontrol altında tutulması, kredi riskini azaltabilmek için bankaların gözetim-denetimine önem verilmesi ve küresel ekonomik şoklara karşı alınacak önlemlerin planlanması sayılabilir. Anahtar Kelimeler: Finansal kriz, Türkiye, stepwise regresyonu, probit ve legit modelleri, öncü göstergeler. ; Master of Science in Banking and Finance. Thesis (M.S.)--Eastern Mediterranean University, Faculty of Business and Economics, Dept. of Banking and Finance, 2017. Supervisor: Assoc. Prof. Dr. Korhan K. Gökmenoğlu.

One method of short-term economic forecasting is the use of indicators which normally change direction in advance of business activity as a whole. This method has been extensively developed over many years, with some success, by the National Bureau of Economic Research in the United States. In the present article we have explored the possibility of finding such a set of leading indicators for the British economy, with special reference to post-war movements.

The introduction of a common monetary policy in eleven European countries increased the need for leading indicators for that area. A reliable leading indicator should possess the following properties: (1) The movements in the indicator series should resemble those in the business cycle reference series. (2) The relation between the reference series and the indicator should be statistically significant and stable over time. (3) The inclusion of the indicator in out-of-sample forecasting procedures should improve the predictive power. Our analysis deals with tests for these requirements applied to Euroland data. We use frequency domain analysis, Granger-causality tests and out-of sample forecasts. Only a few indicators pass all tests, while the non-monetary indicators perform best. ; Die Einführung einer gemeinsamen Geldpolitik in elf europäischen Ländern erhöhte die Bedeutung von konjunkturellen Frühindikatoren für dieses Gebiet. Brauchbare Frühindikatoren sollten folgende Eigenschaften besitzen: (1) Die konjunkturellen Bewegungen des Frühindikators sollten denen der Referenzreihe folgen. (2) Die Beziehung zwischen den Reihen sollte stabil und signifikant sein. (3) Die Einbeziehung des Indikators sollte die Out-of-sample-Prognose verbessern. Unsere Untersuchung testet diese Anforderungen für Euroland-Daten. Dazu werden Methoden der Spektralanalyse, verschiedene Granger-Kausalitäts-Tests und Out-of-sample-Prognosen verwendet. Nur wenige Indikatoren bestehen die Tests auf die geforderten Eigenschaften, wobei die nichtmonetären Indikatoren besser abschneiden.