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A.B.D. FİNANS PİYASALARINDAKİ KREDİ KRİZİNİN GELİŞMEKTE OLAN PİYASA EKONOMİLERİNE BULAŞMA ETKİSİ: TÜRKİYE ÜZERİNE BİR UYGULAMA

CONTAGION EFFECTS OF THE CREDIT CRISIS IN FINANCIAL MARKETS OF THE UNITED STATES TO EMERGING COUNTRIES: AN EVIDENCE FROM TURKEY

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Abstract (2. Language): 
This study aims to analyze any probable contagion effects of fluctuations in the U.S. stock market on the financial markets of Turkey, namely stock, interest rate, and exchange rate markets. Furthermore, it is also aimed to investigate the intertemporal effects and the degree of these effects among the above-mentioned markets in Turkey. The empirical analysis takes into consideration the volatility changes which are initially observed in May 2006 and deepened in July 2007 in the U.S.A. Granger Causality tests and Vector Autoregressive (VAR) Model have been employed for determining the presence and the degree of the contagion effect. Significant relationships between the markets have been observed.
Abstract (Original Language): 
Bu çalışma ABD hisse senedi piyasalarındaki volatilitenin gelişmekte olan ekonomiler kategorisinde yer alan Türkiye'de hisse senedi, faiz ve döviz piyasaları üzerindeki olası bulaşma etkisini ve derecesini ve bu piyasaların kendi aralarındaki etkileşimlerini Granger Nedensellik testleri ve Vektör-Otoregresif Modeli (VAR) ile incelemektedir. Çalışmada A.B.D. finans piyasalarında Mayıs 2006'da ilk belirtilerini gösteren ve Temmuz 2007'den itibaren yaşanan finansal kriz öncesi ve kriz dönemleri ele alınmaktadır. Bulgular, piyasalar arasında anlamlı ilişkileri ortaya koymaktadır.
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