Browsing by Subject "Financial crises."

Now showing 1 - 11 of 11

Open Access
An analytical assessment about post-great moderation central banking policies
(2012) Kızıltan, Rabia Zeynep
In this thesis, by focusing on the unconventional monetary policy measures, I have analytically assessed post-great moderation central banking policies and documented the heterogeneity in calibration and design of these policies by exposing the experiences of Japan, United States, United Kingdom and Brazil. Moreover, by estimating a structural vector autoregressive (SVAR) model, I have empirically investigated the macroeconomic effects of unconventional monetary policies. Empirical findings of this study suggest that, unconventional monetary policies have lead a temporary increase in GDP and CPI for United States and United Kingdom while its effects are slightly significant for Japan and diametrically insignificant for Brazil.
Open Access
Currency crises theory : third generation models
(2009) Koç, Emre
This thesis investigates third generation currency crisis literature and concludes that the 2001 Turkish currency crisis can be labeled as a third generation type crisis, despite having unique characteristics. According to the model of Eijffinger and Goderis (2007) which derives risk premium of the economy from the balance sheet structure of the corporate sector, higher domestic debt increases the probability of currency crisis, whereas higher foreign debt can either increase or decrease the probability of a currency crisis depending on the parameter values. This model has little explanatory power for the 2001 crisis, since the crisis predominantly arise from the maturity mismatch problem in the balance sheet of the financial sector, coupled with moral hazard problem driven by implicit government guarantees. In addition to these two issues which are examined by different strands of third generation currency crisis literature, Turkish crisis display distinctive characteristics such as the role of fragile fiscal deficit financing mechanism.
Open Access
Effectiveness of reserve requirements on current account imbalances
(2012) Dalkıran, Dilşat Tugba
Following the recent financial crisis, reserve requirements have become a policy instrument preferred in many emerging markets such as China, Brazil and Turkey for various purposes. Therefore, the formulating a theoretical framework to study the policy effectiveness remains an important issue. In this thesis, I develop a DSGE model with the financial accelerator mechanism so as to see the effectiveness of reserve requirement in small open economies, especially in influencing the external imbalances. External imbalances can either be interpreted as current account imbalances or its mirroring capital account imbalances. The main channel through which the external balances play a role is via the banking sector, which is modelled as engaging in international borrowing. This framework allows examination of the responses of the external imbalances to shocks to the reserve requirement ratio As a result, higher reserve requirements make domestic borrowing cheaper than foreign borrowing and by this way, changes in net foreign liabilities create a current account surplus. Thus, a country with current account deficit can use reserve requirements to readjust its external imbalances.
Open Access
Firm entry, credit shocks and business cycles
(2012) Karasoy, Hatice Gökçe
In this thesis, we investigate whether, modelling firm dynamics together with credit markets in a two country frame, can provide additional information on international real business cycles in matching certain moments and explain other stylized statistics on business entry. Our motivation is the fact that, in the latest financial crisis, firm entry behavior is quite different between high income and low income countries. Solution of the model is provided with both productivity and credit shocks. Both kinds of shocks match a subset of stylized international business cycle facts. Plus in both kinds of shocks model exhibits the fact that volatility of new entrant firms are higher than incumbent ones. We show that credit shocks are better at explaining highly volatile business cycles in financially less developed countries. In the existence of country-specific credit shocks we observe contagion of crisis, comovements across countries do only exist with global credit shocks. We find out that the firm entry behaviour seen in latest financial crisis that financially developed countries has more volatile firm entry, is only possible with global shocks.
Open Access
Global financial crisis and risk perception
(2012) Polat, Tandoğan
The global financial crisis has caused remarkable deterioration in risk appetite and loss of confidence in financial markets. The countries, which succeeded a recovery in their macroeconomic structure, have been relatively less prone to the adverse effects of the crisis. The studies conducted on the impact of global crisis on economic indicators affecting the risk premiums of developing economies have been very limited. The focus of this thesis was on the revealing the change in market risk perceptions towards developing economies within the framework of a rolling base panel data analysis. The five-year Credit Default Swap (CDS) premium has been used as an indicator of country risk premium. According to the results of the panel analysis, in the pre-crisis period risk premiums are more heavily affected from the global developments as compared to domestic indicators, whereas investors have been giving more emphasis on domestic indicators in their risk perceptions with the burst of financial crisis.
Open Access
Impact of probability of crisis on the economy
(2004) Ersal, Eylem
The increased frequency of financial crises in the last two decades led to a surge of interest in search for common elements of those crises and to the creation of early warning systems as instruments to avoid currency crises by predicting the timing of the crises. Along with the early warning systems, observation of increased frequency of crisis called forth deeper research of costs of crisis. This study combines both areas of research in it by employing a new econometric approach in assessing costs of crises. The study utilizes an early warning system in order to measure the impact of the predicted probability of crisis on the economy. Later on, the predicted probabilities of crises obtained are employed in a country-specific VAR system so as to come up with measures of consequences of currency crises. The study predicts crises for a sample of 15 emerging market economies over the period of 1980-2000. The costs of crises analysis for Latin American countries reveals that crises experienced during 1980-2000 caused significant amount of reduction in growth rates of output of those countries. Furthermore, the results suggest that the slowdown in economic activity lasts no more than two years and then the economy recovers.
Open Access
The impacts of global crises on developing economies: the case of Turkey
(1999) Tekindor, Sevinç
In this thesis, after explaining the development of Asian crisis, an attempt is made to show how the Asian crisis affected the Turkish economy within the framework of deficiencies of developing countries during the economic globalization process. Here, it is aigued that globalization in itself is not a bad thing for developing countries, but rather, ‘imperfect globalization’ creates problems for them as the recent Asian crisis demonstrated. Although the Asian crisis did not cause total collapse in the Tmkish economy, it triggered discussions about overhauling of the current economic policies. Without structural adjustments and revision of outmoded mechanisms, no country can be able to catch up with developed countries and benefit from riclmess that globalization promises to bring.
Open Access
Implications of global financial crisis on inflation targetting framework
(2012) Yağcıbaşı, Özge Filiz
Aside from its devastating effects on global economy, global financial crisis has also shaken the mainstream economic theory. After the crisis, policies implemented by governments and Central Banks, issues of financial stability, impacts of international capital flows and exchange rates have become the center of macroeconomic research. This thesis examines the impact of global financial crisis on the IT framework. The aim is to discuss the imperfections and defections in the framework and propose extensions. In this context, a small open economy DSGE model, calibrated for Turkey during 2003- 2012 is proposed. The base model is extended to capture dynamics of Turkish economy better. Since, trade and credit channels of transmission mechanism of crisis are the most powerful channels for the contagion of the crisis to Turkish economy, inclusion of net international investment position (to the problems of households and entrepreneurs) and imported capital good (to the production function) strengthen the explanatory power of the model considerably. Moreover, to address whether allowing Central Bank to respond exchange rates yields gains in terms of output and inflation stabilization, an augmented Taylor rule which incorporates exchange rates is constructed. Responses under the benchmark model where Central Bank uses a traditional Taylor rule and an augmented Taylor rule are obtained. To provide a reference in interpreting the findings of the model, a Vector Auto Regression analysis is performed with interest rates, inflation, output level and exchange rates as endogenous variables. Finally, results of the model experiments and VAR are compared. The results indicate that, the model with the augmented Taylor rule can help to smooth business cycle fluctuations more effectively than conventional Taylor rule but, in some cases, Central Bank may encounter with a tradeoff between output gap and inflation.
Open Access
Macroprudentials : separate from monetary policy or part of it?
(2012) Topaloğlu, Meltem
The structure of central bank in bank supervision is an important issue on which there is not much focus whereas the independence of central banks for the implementation of monetary policy is well investigated. Recently, especially after the financial crisis, there is an increasing attention from policy makers and academicians about financial regulation and monetary policy responsibility issue. Since the crisis turned to have severe macroeconomic consequences, the financial supervision issue is taken into consideration to revise. In this paper, first I briefly explain the policy objectives of both macroand microprudential regulations. Then, I use a dynamic stochastic general equilibrium model which include separated and integrated responsibilities of financial stability and monetary policy. As macroprudential policy tool, time varying capital requirement ratio is used. Under a DSGE framework, it is hard to see the separation of regulators, however the analyses is done in terms of tools. The results imply that incorporating the central bank into financial stability considerations can help smooth business cycle fluctuations, and decreases the loss resulting from variances of main indicators.
Open Access
Predicting crisis : this time is different (?)
(2012) Sağlamdemir, Tuğba
This thesis aims to predict the currency, banking and debt crises and more specifically investigates the effect of the housing sector on the crisis prediction. This study is not only constructing a crisis prediction method, which uses the previous literatures data set, but also proposing a new one including the housing market data, and comparing the performances of the two in order to measure the impact of the housing market on the prediction power. The data are taken from World Bank, IMF, OECD and Eurostat and cover the years between 1999 and 2010. Multinomial logistic regression is used for crisis prediction. As an advantage, it prevents the ‘post-crisis bias’ problem; by this way the robustness of the analysis is also improved. The multinomial logistic regression is run for two different time windows ‘t-1, t, t+1’ and ‘t, t+1, t+2’ as t denoting the current year. By inclusion of the housing market data, the prediction power is increased from 60% to 100% in the case of ‘t-1, t, t+1’. The model sends no false alarms in this case. For the case of ‘t, t+1, t+2’, the in-sample prediction power is improved from 68% to 95% and the false alarm ratio is reduced from 6.6% to 3%. The-out-of-sample predictive performance of the system in ‘t, t+1, t+2’ is improved from 33% to 60% by the inclusion of the housing market data. Due to the restrictions of the data set, out-of-sample analysis could not be performed for the case of ‘t-1, t, t+1’. The proposed crisis prediction method succeeds in predicting the crises of 2000s by using housing sector data. The impact of the housing sector in predicting crisis is clearly shown. Also, it is shown that chosen time window for the multinomial logistic regression in predicting crisis can lead to variations on the predicted results.
Open Access
Soft peg regimes : sensitivity to crises and performance
(2011) Gedik, Nilgün Şayeste
In this thesis, soft peg regimes’ sensitivity to crises and performance are investigated after a brief review of exchange rate regimes and their historical evolutions. The currency crisis faced by emerging countries under adaptation of soft peg regimes in the 1990s and in the beginning of 2000s revealed the suspicions on soft peg regimes’ vulnerability to crisis. With the increased tendency of countries adaptation of floating regimes after abandonment of soft pegs, some arguments emerged inquiring the appearance of soft peg regimes in the literature. The Corner Hypothesis, which defends the disappearance of soft peg regimes and its counter argument The Fear Of Floating, which does not accept the disappearance and another argument The Basket, Band and Crawl Arrangements, which provides alternative soft peg regimes are analyzed in this thesis. However, soft peg regimes’ vulnerability to currency crisis should not be investigated without the emerging countries’ common characteristics, which can be counted as lack of sound financial and fiscal structure and strong institutional framework. At the end of this study, importance of strong financial and fiscal structure of countries to provide macroeconomic balances including exchange rate regime is mentioned.