Para Krizlerinin Sinyal Yaklaşımı ile Öngörülebilirliği: Türkiye Uygulaması

Para krizleri ekonomilerde büyük maliyetlere yol açmaktadır. Para krizlerinden etkilenen ülkeler- de döviz rezervlerinde azalma, aşırı bir resesyon ve negatif büyüme oranları gözlenmektedir. Bu neden- le para krizlerinin öngörülmesini sağlayacak güvenilir erken uyarı göstergelerinin tanımlanması büyük yarar sağlayacaktır. Böylece politika yapıcıları da ülkenin döviz kuru sistemi üzerinde ortaya çıkabile- cek baskıyı erken uyarı göstergelerini kullanarak önleyebilecektir. Para krizlerini öngörmek için Ka- minsky ve Reinhart tarafından önerilen sinyal yaklaşımı, erken uyarı sisteminin temelini oluşturmakta- dır. Bu yaklaşım, kriz öncesi dönemde farklı seyir gösteren veya normal davranış göstermeyen çok sa- yıdaki değişkenin izlenmesini içermektedir. Her gösterge için belirli bir eşik değer belirlenmekte ve eşik değeri aşan göstergeler belirli bir dönemde ortaya çıkabilecek bir krizin sinyali sayılmaktadır.Bu çalışma, Türkiye’de 1994 ve 2001 para krizlerinin sinyal yaklaşımıyla öngörmeyi amaçlamak- tadır. Ampirik analiz, incelenen göstergelerin yaklaşık yüzde 67’sinin para krizlerinin ortaya çıkmasın- da sinyal verdiğini göstermektedir. Gürültü sinyal oranı esas alınarak yapılan sinyal yaklaşımında 15 göstergeden 9’u öncü gösterge olarak belirlenmiş ve anlamlı bulunmuş, 6’sının ise krizi öngörme gücünün yetersiz olduğu sonucuna varılmıştır.

Predicting Currency Crises with Signal Approach: The Case of Turkey

Currency crises creates extremely high costs in economies. The depletion of foreign exchange reserves, a severe recession and negative GDP growth rates are observe in the countries where the currency crises are occurred. There seems to be great benefits from identifying reliable early warning indicators helping to predict currency crisis. Thus, policy makers would enable to forestall impending pressure on their countries currency system by using early warning indicators. The “signal approach” to proposed by Kaminsky ve Reinhart (1998) to predict currency crisis is commonly employed in empirical studies as an early warning system. It involves monitoring a number of variables that tend to behave differently or to exhibit an unusual behavior in the periods preceding a crisis. A certain threshold is determined for each indicator, which, when exceeded, issues a warning signal that a crisis may occur within a period of time.This study aims to predict the 1994 and 2001 currency crises in Turkey by using signal approach. Empirical analysis reveals that almost 67 percent of the indicators examined signal the occurrence of currency crises. It is concluded that 9 of 15 indicators are determined as leading indicators and are found to be significant in signal approach based on their noise to signal ratio and six of indicators lacked predictive power from list of potential indicators.

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