Financial Stress and Economic Activity: A Threshold VAR Analysis for Turkey

Didem Gunes and Ferhat Camlica

CBT Research Notes in Economics from Research and Monetary Policy Department, Central Bank of the Republic of Turkey

Abstract: [EN] This study aims to analyze empirically how economic activity reacts to financial stress during different stress episodes in Turkey. Thus, we use monthly data for the period 2002-2015 and estimate a Threshold Vector Autoregression Model (TVAR) with industrial production and an unique financial stress index as endogenous variables. The main findings show that, in case of a given financial stress shock the economic activity loss in a high stress regime is about five times larger than a shock in a normal stress regime. Also, the effect of financial stress on economic activity during a high financial stress episode is more long-lasting than a financial stress shock during a normal stress episode. [TR] Bu calismanin amaci, Turkiye icin farkli finansal stres donemlerinde ekonomik aktivitenin finansal stres soklarini nasil tepki verdigini ampirik olarak analiz etmektir. Bunun icin, 2002-2015 donemine ait aylik frekansta veriler kullanilarak, sanayi uretimi ile ozgun bir finansal stres endeksinin icsel degiskenler olarak yer aldigi Esik VAR tahmini yapilmaktadir. Calismanin temel bulgulari, veri bir finansal stres sokundan sonra ekonomik aktivite kaybinin yuksek finansal stres doneminde normal stres donemine kiyasla bes kat daha yuksek olduguna isaret etmektedir. Ayrica, yuksek finansal stres doneminde gerceklesen bir finansal stres sokunun etkisi normal donemdekine gore ekonomik aktivite uzerinde daha uzun sureli bir etki yaratmaktadir.

Date: 2016
New Economics Papers: this item is included in nep-ara and nep-cwa
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Persistent link: https://EconPapers.repec.org/RePEc:tcb:econot:1628

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