Prediction of Currency Crises: Case of Turkey
Roberto Mariano (),
Gultekin Bulent N,
Suleyman Ozmucur (),
Shabbir Tayyeb and
C. Emre Alper ()
Additional contact information
Gultekin Bulent N: Wharton School, University of Pennsylvania
Shabbir Tayyeb: Univ of Pennsylvania
Review of Middle East Economics and Finance, 2004, vol. 2, issue 2, 1-21
This paper explores the issue of constructing an economic predictive model of financial vulnerability through an alternative econometric methodology that addresses drawbacks in existing approaches. The methodology entails estimating a Markov regime switching model of exchange rate movements, with time-varying transition probabilities. Experiments with monthly and weekly models indicate that real exchange rate, foreign exchange reserves and domestic credit/deposit ratio are the most important determinants of financial vulnerability. These variables should be observed very closely by researchers and policy makers in order to determine if the country is heading for financially difficult times.
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (14) Track citations by RSS feed
Downloads: (external link)
For access to full text, subscription to the journal or payment for the individual article is required.
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:bpj:rmeecf:v:2:y:2004:i:2:n:1
Ordering information: This journal article can be ordered from
Access Statistics for this article
Review of Middle East Economics and Finance is currently edited by Ghassan Dibeh
More articles in Review of Middle East Economics and Finance from De Gruyter
Bibliographic data for series maintained by Peter Golla ().