Transmission mechanisms of financial stress into economic activity in Turkey

POLAT O., Ozkan I.

Journal of Policy Modeling, cilt.41, sa.2, ss.395-415, 2019 (SSCI) identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 41 Sayı: 2
  • Basım Tarihi: 2019
  • Doi Numarası: 10.1016/j.jpolmod.2019.02.010
  • Dergi Adı: Journal of Policy Modeling
  • Derginin Tarandığı İndeksler: Social Sciences Citation Index (SSCI), Scopus
  • Sayfa Sayıları: ss.395-415
  • Anahtar Kelimeler: Financial Stability, Financial Stress Index, Systemic Risk
  • Bilecik Şeyh Edebali Üniversitesi Adresli: Hayır

Özet

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.