Türkiye’de Finansal Baskının Öngörülmesi

Bu çalışmanın amacı Türkiye’de finansal baskı dönemlerinin Markov rejim değişimi yöntemi çerçevesinde öngörülmesidir. Bu çalışma için ilk olarak yeni bir “Türkiye Finansal Baskı Endeksi” hazırlanmış ve rejim değişimlerini öngörebilmek adına bağımlı değişken olarak kullanılmıştır. Aylık veriler ile yapılan ampirik analiz sonuçlarına göre, ticari ile konut kredi faiz oranları arasındaki fark değişkeni düşük finansal baskı rejiminden yüksek finansal baskı rejimine geçiş olmadan dört ay önce uyarı sinyali verebilmektedir. Çeyrek dönemlik veriler kullanılarak elde edilen analiz sonuçlarına göre borç servis oranı yüksek finansal baskı rejimine girmeden üç çeyrek önce, sanayi üretimi ise yüksek finansal baskı döneminden çıkmadan dört çeyrek önce sinyal vermektedir.

Predicting Financial Stress in Turkey

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.

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