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FİNANSAL KRİZLERİN ÖNGÖRÜSÜNDE REGRESYON AĞAÇLA-RI MODELİ: GELİŞMEKTE OLAN ÜLKELERE YÖNELİK BİR ANALİZ

PREDICTION OF FINANCIAL CRISIS USING REGRESSION TREES MODEL: AN ANALYSIS FOR DEVELOPING COUNTRIES

Journal Name:

  • Uluslararası İktisadi ve İdari İncelemeler Dergisi

Publication Year:

  • 2014

Key Words:

Keywords (Original Language):

Author NameUniversity of AuthorFaculty of Author
Abstract (2. Language): 
The aim of this study is to analyze the predictability of financial crises in the period of 1990-2010 for Turkey, Argentina Mexico, Thailand and Malaysia by regression trees model. In this models financial pressure index is calculated in order to determine the crises period. Fifteen different independent variables are elected from the literature in order to explain the financial pressure index. The most significant indi-cators for predicting financial crises are found to be money market pressure index, ratio of M2 to reserves and ratio of domestic credit to industrial production. With the regression trees model the financial crises experienced in Turkey in 1994 and 2001, Argentina in 2002 and 2009, Mexico in 1994 and 2009, Thai-land in 1997 and Malaysia in 1997 and 2009 are successfully predicted.
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Abstract (Original Language): 
Bu çalışmanın amacı 1990-2010 dönemi için Türkiye, Arjantin, Meksika, Malezya ve Tayland’da yaşa-nan finansal krizlerin öngörülebilirliğini regresyon ağaçları modeli ile analiz etmektir. Modellerde kriz dönemlerini belirlemek amacıyla finansal baskı endeksi hesaplanmış ve bu endeksi açıklamak üzere lite-ratürden on beş farklı gösterge seçilmiştir. Finansal krizlerin öngörüsünde en başarılı bulunan göstergeler para piyasası baskı endeksi, M2’nin rezervlere oranı ve yurtiçi kredilerin endüstriyel üretime oranıdır. Regresyon ağaçları modeli ile 1994 ve 2001 Türkiye, 2002 ve 2009 Arjantin, 1994 ve 2009 Meksika, 1997 ve 2009 Malezya ve 1997 Tayland krizleri farklı göstergeler tarafından başarı ile öngörülmüştür.
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  • 12
191
212
  • Turkish

JEL Codes:

REFERENCES

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