Les Indicateurs d'Alerte de la Crise Financière de 2000-2001 en Turquie: Un Modèle de Prévision de Crise Jumelle

Ari, Ali and Dagtekin, Rustem (2007): Les Indicateurs d'Alerte de la Crise Financière de 2000-2001 en Turquie: Un Modèle de Prévision de Crise Jumelle. Published in: Région et Développement No. 26 (2007): pp. 35-50.

Abstract

The 2000-2001 Turkish crisis has often been analysed in the literature without a solid econometric basis. This article presents a linear regression model as well as a logit model that enable us to measure the extent to which economic fundamentals and banking variables can account for the outcome of the Turkish crisis. We aim to determine which factors have led Turkey to experience this crisis and to gain deeper insight into its nature.

• Item Type: MPRA Paper
• English Title: Early Warning Indicators of the 2000-2001 Turkish Financial Crisis: A Twin Crisis Prediction Model
• Language: French
• Keywords: Currency Crisis; Banking System Fragility; Third Generation Crisis Model; Turkey
• Subjects: C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C53 - Forecasting and Prediction Methods ; Simulation Methods; F - International Economics > F4 - Macroeconomic Aspects of International Trade and Finance > F47 - Forecasting and Simulation: Models and Applications; C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes; G - Financial Economics > G2 - Financial Institutions and Services > G21 - Banks ; Depository Institutions ; Micro Finance Institutions ; Mortgages

References

Abiad A., 1999, "Early Warning Systems for Currency Crises: A Markov-Switching Approach with Application to Southeast Asia ", Working Paper, University of Pennsylvania.

Abiad A., 2003, "Early Warning Systems: A Survey and a Regime Switching Approach", IMF Working Paper, n°03-02.

Agence de Régulation et Supervision Bancaire, 2002, "Rapport annuel de 2000".

Akyuz Y., Boratav K., 2001, "The Making of the Turkish Financial Crisis", Papier présenté à la Conference on Financialization of the Global Economy, University of Massachusetts, 7-9 décembre.

Alper E.C., Onis Z., 2003, "The Turkish Banking System, Financial Crises and the IMF in the Age of Capital Account Liberalization: A Political Economy Perspective", Papier présenté au Fourth Mediterranean Social and Political Research Meeting, Florence-Montecatini Terme, 19-23 mars.

Ari A., 2003, "Les récentes crises financières dans les marchés financiers émergents : Le cas de la crise financière turque de 2000-2001", Mémoire de DEA, Université du Sud Toulon -Var, septembre.

Association des Banques de Turquie, 2001, "Système Bancaire Turc", Rapport annuel, juin.

Banque Centrale de Turquie, 2001, "Rapport annuel de 2001".

Bussière M., Fratzscher M., 2002, "Towards a New Early Warning System of Financial Crises", European Central Bank Working Paper Series, n°145.

Cartapanis A., Dropsy V., Mametz S., 1998, "Crises de change et indicateurs de vulnérabilité: Le cas des pays émergents d’Amérique latine et d’Asie ", communication présentée aux Journées Internationales d'Economie Monétaire et Bancaire du GDR du CNRS Economie Monétaire et financière, Toulouse, 4-5 juin.

Cartapanis A., Dropsy V., Mametz S., 2002, "The Asian Currency Crises : Vulnerability, Contagion or Unsustainability?", Review of International Economics, n° 10.

Crockett A., 2000, "Marrying the Micro and Macro-prudential Dimensions of Financial Stability", communication présentée au BIS Financial Stability Forum, Basel, 21 septembre.

Dagtekin R., 2002a, "Analyse de la Crise Financière de 2000/2001 en Turquie: Elaboration d’un Early Warning System", CEFI Working Paper, septembre.

Dagtekin R., 2002b, "Turbulences, Crises Financières et Nouvelle Architecture: Le Cas de la Turquie ", Mémoire de DEA, Université de la Méditerranée, septembre.

Demirguc-Kunt A., Detragiache E., 1997, "The Determinants of Banking Crises: Evidence from Developing and Developed Countries", IMF Working Paper, n°97/106.

Eichengreen B., A.K. Rose, Wyplosz C., 1995, "Exchange Market Mayhem: The Antecedents and Aftermath of Speculative Attacks", Economic Policy: A European Forum, n°21.

Kaminsky G., Lizondo S., Reinhart C.M., 1998, "Leading Indicators of Currency Crises", IMF Staff Papers, vol. 5, n°1.

Kaminsky G., Reinhart C.M., 1999, "The Twin Crises: The Causes of Banking and Balance-of-Payments Problems ", The American Economic Review, vol. 89, n°3.

Kibritcioglu A., 2003, "Monitoring Banking Sector Fragility", The Arab Bank Review, vol. 5, n°2.

OECD, 2001, "OECD Economic Surveys-Turkey" (Country Reviews), février.

Ozatay F., Sak, G., 2003, "Banking Sector Fragility and Turkey’s 2000-01 Financial Crisis", The Central Bank of Republic of Turkey Research Department Working Paper.

Sachs J., Tornell A., Velasco A., 1996, "Financial Crises in Emerging Markets : The Lessons Learned From 1995 ?", Brookings Papers on Economics Activity.

Vlaar J.G., 2000, "Currency Crises Models for Emerging Markets", De Nederlandsche Bank Staff Report, n°45.