Kuresel Kriz, Avrupa Borc Krizi ve Gelismekte Olan Piyasalarda Bulasicilik Etkisi (Global Crisis, European Debt Crisis and Contagion in Emerging Markets)

Doruk Küçüksaraç, Pınar Özbay Özlü and Deren Ünalmış

Central Bank Review, 2012, vol. 12, issue 2, 25-35

Abstract: This study investigates whether the response of Turkey to the common shocks during financial crises has changed or not (i.e. tests for shift-contagion) relative to a wide group of other emerging countries for the period 2002:01-2011:10. The shift contagion tests indicate that the adverse effects of the crisis episodes on Turkish financial markets have been similar to other emerging markets in Europe, Asia, and Latin America. This result is common across all country groups and markets (currency, capital, and bond markets) investigated in the study. The analysis also shows that the expected returns display a significant shift between the low and high volatility regimes and there is a capital outflow from the emerging markets during times of turmoil.

Keywords: Contagion; Financial crisis; Markov regime switching models (search for similar items in EconPapers)
JEL-codes: C32 F42 G15 (search for similar items in EconPapers)
Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:tcb:cebare:v:12:y:2012:i:2:p:25-35

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