A Comparison of Currency Crisis Dating Methods: Turkey 1990-2014

Ari A., Cergibozan R.

MONTENEGRIN JOURNAL OF ECONOMICS, cilt.12, sa.3, ss.19-37, 2016 (ESCI) identifier identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 12 Sayı: 3
  • Basım Tarihi: 2016
  • Doi Numarası: 10.14254/1800-5845.2016/12-3/3
  • Dergi Adı: MONTENEGRIN JOURNAL OF ECONOMICS
  • Derginin Tarandığı İndeksler: Emerging Sources Citation Index (ESCI), Scopus
  • Sayfa Sayıları: ss.19-37
  • Anahtar Kelimeler: Currency Crisis, Crisis Dating, Crisis Indicator, Johansen Cointegration, ARDL Bounds Test, Turkey, EARLY-WARNING SYSTEM, FINANCIAL CRISES, EMERGING MARKETS, TWIN CRISES, DETERMINANTS, INDICATORS, BALANCE, COINTEGRATION, BANKING, MODEL
  • Marmara Üniversitesi Adresli: Hayır

Özet

This paper aims to assess the robustness of currency crisis dating methods. Hence, we reproduce a broad set of the ten most representative indicators from the literature, and develop two new crisis indicators derived from Cointegration and ARDL Bounds tests for the Turkish economy which underwent several currency crises over the last 30 years. Contrary to early studies (Edison, 2003; Perez, 2005; Lestano and Jacobs, 2007), we indicate that different crisis indicators produce similar results, at the same threshold level, in identifying the Turkish currency crises of post-liberalization period.