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Financial Stress and Economic Activity : A Threshold VAR Analysis for Turkey

Author

Listed:
  • Didem Gunes
  • Ferhat Camlica
Abstract
[EN] This study aims to analyze empirically how economic activity reacts to financial stress during different stress episodes in Turkey. Thus, we use monthly data for the period 2002-2015 and estimate a Threshold Vector Autoregression Model (TVAR) with industrial production and an unique financial stress index as endogenous variables. The main findings show that, in case of a given financial stress shock the economic activity loss in a high stress regime is about five times larger than a shock in a normal stress regime. Also, the effect of financial stress on economic activity during a high financial stress episode is more long-lasting than a financial stress shock during a normal stress episode. [TR] Bu calismanin amaci, Turkiye icin farkli finansal stres donemlerinde ekonomik aktivitenin finansal stres soklarini nasil tepki verdigini ampirik olarak analiz etmektir. Bunun icin, 2002-2015 donemine ait aylik frekansta veriler kullanilarak, sanayi uretimi ile ozgun bir finansal stres endeksinin icsel degiskenler olarak yer aldigi Esik VAR tahmini yapilmaktadir. Calismanin temel bulgulari, veri bir finansal stres sokundan sonra ekonomik aktivite kaybinin yuksek finansal stres doneminde normal stres donemine kiyasla bes kat daha yuksek olduguna isaret etmektedir. Ayrica, yuksek finansal stres doneminde gerceklesen bir finansal stres sokunun etkisi normal donemdekine gore ekonomik aktivite uzerinde daha uzun sureli bir etki yaratmaktadir.

Suggested Citation

  • Didem Gunes & Ferhat Camlica, 2016. "Financial Stress and Economic Activity : A Threshold VAR Analysis for Turkey," CBT Research Notes in Economics 1628, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    • Handle: RePEc:tcb:econot:1628
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    References listed on IDEAS

    as
    1. Troy Davig & Craig S. Hakkio, 2010. "What is the effect of financial stress on economic activity," Economic Review, Federal Reserve Bank of Kansas City, vol. 95(Q II), pages 35-62.
    2. António Afonso & Jaromír Baxa & Michal Slavík, 2018. "Fiscal developments and financial stress: a threshold VAR analysis," Empirical Economics, Springer, vol. 54(2), pages 395-423, March.
    3. Stijn Claessens & M.Ayhan Köse & Marco E.Terrones, 2008. "Financial Stress and Economic Activity," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, vol. 2(2), pages 11-24.
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    5. Kremer, Manfred & Lo Duca, Marco & Holló, Dániel, 2012. "CISS - a composite indicator of systemic stress in the financial system," Working Paper Series 1426, European Central Bank.
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    7. Koop, Gary & Pesaran, M. Hashem & Potter, Simon M., 1996. "Impulse response analysis in nonlinear multivariate models," Journal of Econometrics, Elsevier, vol. 74(1), pages 119-147, September.
    8. Mr. Subir Lall & Mr. Roberto Cardarelli & Mr. Selim A Elekdag, 2009. "Financial Stress, Downturns, and Recoveries," IMF Working Papers 2009/100, International Monetary Fund.
    9. Erkan Kilimci & Hakan Er & Irfan Cercil, 2014. "Devlet Ic Borclanma Senetleri Ikincil Piyasa Likiditesini Etkileyen Faktorler," CBT Research Notes in Economics 1419, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
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    Cited by:

    1. Yusuf Yildirim & Anirban Sanyal, 2023. "Financial Stress and Effect on Real Economy: Turkish Experience," Politická ekonomie, Prague University of Economics and Business, vol. 2023(1), pages 46-67.

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