Buradasınız

“FİNANSAL KABARCIKLAR” TEORİSİ ve FİNANSAL KRİZLER

“Financial Bubbles” Theory and Financial Crises

Journal Name:

Publication Year:

Abstract (2. Language): 
In the micro frame, the financial bubble is that the current price of the asset increases continually, and deviates from its fundemantal value. In the bubble the incrase in the price is so important and permanent that it causes a very strong expectation in the market as the increase in the price continues in the future. In the macro frame, the bubble is that the increase rate (%) in the asset real price index exceeds the real economic growth rate (%) significally in the same country and period. The bubble disrupts distribution of the resource and decreases “effiency” of market. Thus, even if it doesn’t burst, the bubble causes very serious and negative affects in the real economy, and consequently decrease the actual (occurred) and real economic growth. The bubble, if it burst, at least leads to a sharp decline in the asset prices but it can trigger a financial crisis also. Previously the bubble’s theories had been mainly built in order to explain the price bubbles in the stock market. However, the bubble’s theories are used in order to explain the price bubbles occurred in all asset markets, includs stock market also, and real estate (house) markets. In our papper at first the bubble was defined theoretically and the theories of bubble vere examined. Later the stages of occurrence of the bubble were scrutinized and its affects on the real economy were argued. Subsequently, the matter as “reactive or proactive strategy” in the monetarist policy in regard to the financial bubble was discussed. Afterwards, the various definitions were examined and an appropriate amprical definition was tried in order to describe the cases of bubble and bubble’s burst. Finally, the occurrences of bubbles that 3 Latin American countries (Brazil, Argentine, and Mexico) experienced since 1990 were defined and studied amprically. In the conclusion’s part of the papper, some results we arrived were counted.
Abstract (Original Language): 
Finansal kabarcık mikro çerçevede münferit bir aktifin cari fiyatının sürekli yükselerek içsel (temel) değerinden sapmasıdır. Kabarcıkta fiyat artışı o kadar önemli ve süreklidir ki piyasada sözkonusu artışın gelecekte de devam edeceği istikametinde kuvvetli bir beklenti oluşturur. Kabarcık makro çerçevede aktif piyasası reel fiyat endeksinde meydana gelen sürekli artış oranının aynı dönemde ülke ekonomisinin kaydettiği reel ekonomik büyüme oranını aşmasıdır. Kabarcıkların varlığı finansal ve reel sektörde kaynak tahsisini bozmakta, piyasanın “etkinliği”ni azaltmaktadır. Sonuçta patlamamış olsa bile kabarcık reel ekonomi üzerinde olumsuz önemli etkiler doğurarak ülke ekonomisinde gerçekleşen (fiilî) reel ekonomik büyüme oranını düşürmektedir. Patlaması halinde kabarcık hiç değilse aktif piyasasında keskin bir fiyat düşüşüne götürür. Ancak kabarcığın patlaması bir finansal krizi de tetikleyebilir. Kabarcık teorileri esas olarak hisse senedi piyasasında meydana gelen aktif fiyat kabarcıklarını açıklamak üzere inşa edilmişlerdir. Bununla beraber kabarcık teorileri tahvil piyasası dahil tüm aktif piyasalarında ve emlâk piyasasında görülen fiyat kabarcıklarını açıklamak için de kullanılmaktadır. Çalışmada kabarcık önce teorik olarak tanımlanmaya çalışılmış ve kabarcık teorileri ele alınmıştır. Sonra kabarcığın vuku bulma safhalarına yer verilmiş ve reel ekonomi üzerindeki etkileri tartışılmıştır. Müteakiben kabarcığa müdahale açısından proaktif-reaktif para politikası tercihi üzerine tartışmaya yer verilmiştir. Daha sonra kabarcık oluşumu ve patlaması vakalarını teşhis etmek maksadıyla muhtelif tanımlar gözden geçirilmiş ve uygun bir amprik tanım inşa edilmeye çalışılmıştır. Son olarak 3 Latin Amerika ülkesinin (Brezilya, Arjantin, Meksika) 1990 sonrasında tecrübe ettikleri kabarcık vakaları amprik olarak tanımlanıp ele alınmıştır. Çalışmanın sonuç kısmında ulaşılan bazı sonuçlar sıralanmıştır.
117-176

REFERENCES

References: 

Allen, Franklin and Gorton, Gary (May 1991), “Rational Finite Bubbles”, NBER, Working Paper
No. 3707,
Baker, Dean (November 2005), “Financial Bubbles: What They Are and What Should Be
Done?”, CEPR Basic Economics Seminar,
Blanchard, Oliver J. and Watson, Mark W. (July 1982), “Bubbles, Rational Expectations and
Financial Markets”, NBER, Working Paper No. 945,
Bordo, M (2003), “a Historical Perspective on Booms, Bust, and Recessions” (IMF WEO April
2003, Chapter II içinde)
Bordo, Michael D. and
Jeanne, Oliver (June 2002), “Boom-Bust in Asset Prices, Economic Instability, and Monetary
Policy”, NBER, Working Paper 8966,
Caballero, Ricardo J. and Krishnamurthy, Arvind (September 2005), “Bubbles and Capital Flow
Volatility: Causes and Risk Management”, NBER, Working Paper No. 11618,
Daye, Zhongyin John, and et. all (2002), Topic in Financial Engineering: Analysis of Bubbles
(from inception to aftermath of its burst)”,
Dillén, Hans and Sellin, Peter (2003), “Financial Bubbles and Monetary Policy”, Economic
Review 3/2003, page: 119-144,
Dimitriadi, G. G. (2004), “What are „Financial Bubbles‟: Approaches and Definitions”, Electronic
Journal “Investigated in Russia”, No. 245, page: 2627-2633,
________________(2005), “Financial Bubbles in Terms of the Scenario Approach: Bubble
“Step” and its Lifetime”, Electronic Journal “Investigated in Russia”, No. 023, page: 257-
260,
EconomyWatch (Economy, Investment & Financial Reports), “a History of World Financial
Crises”,
http://www.economywatch.com/economy-business-and-financenews/
A_history_of_world_financial_crises_07-14.html, (Erişim: Eylül 2010),
IMF, World Economic Outlook (April 2003), “When Bubbles Burst” (Chapter II),
Kaminsky, Graciela L. (?), Crisis Cronology Data, http://home.gwu.edu/~graciela/HOMEPAGE/
RESEARCH-WORK/WORKING-PAPERS/Varieties-Crisis-Chronology.xls,
(Erişim: Eylül 2010),
Kaminsky, Graciela, Mati, Amine, and Choueiri, Nada (2009), “Thirty Years of Currency Crises
in Argentina External Shocks or Domestic Fragility?”,
http://home.gwu.edu/~graciela/HOME-PAGE/RESEARCH-WORK/MAINPAGE/
working-papers.htm, (Erişim: Eylül 2010),
Kindleberger, Charles P., (1978), “Manias, Panics and Crashes: a History of Financial Crises”,
New York Basic Books,
_________________ (1991), “Bubbles” In Eatwell, J.&al. (eds.): the New Palgrave, the World of
Economics, Macmillian Press Limited, UK,
_________________(1993), “a Financial History of Western Europe”, Second Edition, Oxford
Univ. Press,
Komáromi, György (2004), “Which Stock Market Fluctuations Are Bubbles?”,
Krugman, Paul (1998a), “Bubble, boom, crash: theoretical notes on Asia‟s crisis”, mimeo,
____________ (1998b), “What Happened to Asia?”,
Levin, Sheen S. and Zajac, Edward J. (December 2006), “the Institutional Life of Financial
Bubbles”,
______________________ (2006), “the Social Life of Financial Bubbles”,
Manasse, Paolo and Roubini, Nouriel (2005), “‟Rules of Thumb‟ for Sovereign Debt Crises”,
IMF Working Paper, WP/05/42,
Manasse, Paolo, Roubini, Nouriel, and Schimmelpfennig, Axel (2003), “Predicting Sovereign
Debt Crises”, IMF Working Paper, WP/03/221,
Mishkin, Frederic S. (2001), “the Transmission Mechanism and the Role of Asset Prices in
Monetary Policy, NBER, Working Paper No. 8617,
______________________ (2008), “How Should We Respond to Asset Price Bubbles?”, Board
of Governors of the Federal Reserve System (speech),
Mishkin, Frederic S. and White, Eugene N., “U.S. Stock Market Crashes and Their Aftermath:
Implications for Monetary Policy,” Paper presented to the Asset Price Bubbles
Conference, Federal Reserve Bank of Chicago and the World Bank, Chicago, April 23,
2002,
Samur, Cengiz (2008), “Finansal Krizler ve Kriz Yönetme Politikaları: 1980 Sonrası Türkiye
Örneği”, Uludağ Üniv. Sosyal Bilimler Enst. (Basılmamış Doktora Tezi),
Saxton, Jim (April 2003) “Monetary Policy and Asset Prices”, Joint Economic Committee,
Shiller, Robert J. (March 2006), “Irrational Exuberance”, Princeton University Press,
_________________(July/August 2008), “Infectious Exuberances”, (comment) the Atlantic.com,
Turner, Garth (2008), “Greater Fool: the roubled future of real estate”,
Ventura, Jaume (October 2002), “Bubbles and Capital Flows”, NBER, Working Paper No. 9304,
Bovespa indeksi aylık verileri; Yahoo finance,
http://finance.yahoo.com/q/hp?s=%5EBVSP&a=03&b=27&c=1980&d=07&e=25&f=201
0&g=m, (Erişim: Temmuz 2010)
Merval Buenos Aires indeksi aylık verileri; Yahoo finance,
http://finance.yahoo.com/q/hp?s=%5EMERV&a=09&b=8&c=1990&d=07&e=25&f=201
0&g=m, (Erişim: Temmuz 2010)
Mexican IPC indeksi aylık verileri; Yahoo finance,
http://finance.yahoo.com/q/hp?s=%5EMXX&a=10&b=8&c=1990&d=07&e=25&f=2010
&g=m, (Erişim: Temmuz 2010)
IMF; WEO veritabanı (July 2010),
http://www.imf.org/external/pubs/ft/weo/2010/01/weodata/index.aspx (Erişim: Temmuz
2010)
United Nations ECLAC – CEPALSTAT; Latin America and Caribean Statistics, Economic
Indicators and Statistics,
http://websie.eclac.cl/sisgen/ConsultaIntegrada.asp?idAplicacion=6&idTem...
ador=365&idioma=i, (Erişim: Temmuz 2010).

Thank you for copying data from http://www.arastirmax.com