Please use this identifier to cite or link to this item: https://hdl.handle.net/20.500.11851/6228
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dc.contributor.authorÖzlale, Ümit-
dc.contributor.authorÖzcan, Kıvılcım Metin-
dc.date.accessioned2021-09-11T15:35:23Z-
dc.date.available2021-09-11T15:35:23Z-
dc.date.issued2007en_US
dc.identifier.issn0378-4371-
dc.identifier.urihttps://doi.org/10.1016/j.physa.2007.03.031-
dc.identifier.urihttps://hdl.handle.net/20.500.11851/6228-
dc.description.abstractThis paper utilizes an early warning system in order to measure the likelihood of a financial crisis in an emerging market economy. We introduce a methodology, where we can both obtain a likelihood series and analyze the time-varying effects of several macroeconomic variables on this likelihood. Since the issue is analyzed in a non-linear state space framework, the extended Kalman filter emerges as the optimal estimation algorithm. Taking the Turkish economy as our laboratory, the results indicate that both the derived likelihood measure and the estimated time-varying parameters are meaningful and can successfully explain the path that the Turkish economy had followed between 2000 and 2006. The estimated parameters also suggest that overvalued domestic currency, current account deficit and the increase in the default risk increase the likelihood of having an economic crisis in the economy. Overall, the findings in this paper suggest that the estimation methodology introduced in this paper can also be applied to other emerging market economies as well. (c) 2007 Elsevier B.V. All rights reserved.en_US
dc.language.isoenen_US
dc.publisherElsevier Science Bven_US
dc.relation.ispartofPhysica A-Statistical Mechanics And Its Applicationsen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectextended Kalman filteren_US
dc.subjectfinancial crisesen_US
dc.subjectemerging marketsen_US
dc.titleAn alternative method to measure the likelihood of a financial crisis in an emerging marketen_US
dc.typeArticleen_US
dc.departmentFaculties, Faculty of Economics and Administrative Sciences, Department of International Entrepreneurshipen_US
dc.departmentFakülteler, İktisadi ve İdari Bilimler Fakültesi, Uluslararası Girişimcilik Bölümütr_TR
dc.identifier.volume381en_US
dc.identifier.startpage329en_US
dc.identifier.endpage337en_US
dc.authorid0000-0002-9310-3492-
dc.identifier.wosWOS:000247700900027en_US
dc.identifier.scopus2-s2.0-34249707380en_US
dc.institutionauthorÖzlale, Ümit-
dc.identifier.doi10.1016/j.physa.2007.03.031-
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.identifier.scopusqualityQ2-
item.openairecristypehttp://purl.org/coar/resource_type/c_18cf-
item.grantfulltextnone-
item.fulltextNo Fulltext-
item.openairetypeArticle-
item.cerifentitytypePublications-
item.languageiso639-1en-
crisitem.author.dept04.02. Department of International Entrepreneurship-
Appears in Collections:Scopus İndeksli Yayınlar Koleksiyonu / Scopus Indexed Publications Collection
Uluslararası Girişimcilik Bölümü / Department of International Entrepreneurship
WoS İndeksli Yayınlar Koleksiyonu / WoS Indexed Publications Collection
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