Transmission mechanisms of financial stress into economic activity in Turkey
Onur Polat and
Journal of Policy Modeling, 2019, vol. 41, issue 2, 395-415
Measuring, analyzing and understanding systemic risk in financial system have become very important in the light of the recent global crisis. In this study, we follow Holló, Kremer, and Lo Duca (2012) and evaluate systemic stress of financial system of Turkey with a high frequency (daily) financial stress index which consists of daily 13 financial market indicators. Dynamics of the financial stress index indicate that the index creates proper signals to the well-known financial stress events. The dynamic interaction between financial stress and real economic activity is investigated with application of structural VAR (SVAR) model. Results of the study suggest that deterioration of financial conditions impacts real economic activity significantly and adversely.
Keywords: Financial Stability; Financial Stress Index; Systemic Risk (search for similar items in EconPapers)
JEL-codes: C32 C58 E37 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jpolmo:v:41:y:2019:i:2:p:395-415
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