Measurement of the Financial Stress Index for Turkey and Examination of the Dynamic Relationship between FSI and Oil Prices Using the Time-Varying Parameter VAR Approach

Emine Karaçayır; Müge Sağlam Bezgin

Makale detayları

Measurement of the Financial Stress Index for Turkey and Examination of the Dynamic Relationship between FSI and Oil Prices Using the Time-Varying Parameter VAR Approach

Yazarlar:

Emine Karaçayır | Müge Sağlam Bezgin

Yayıncı:

Cankiri Karatekin University

Ana Başlıklar:

Finans

Dergi:

Çankırı Karatekin Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi Vol.15 Issue 1, pp.1-24

Belge Tipi:

Makale

Yayın Tarihi:

3/2025

Belge Dili:

Türkçe

Document ID (Org No.):

2001343435

pISSN:

1308-5549

Anahtar kelimeler:

Özet:

 The purpose of this study is to create a Financial Stress Index for Turkey FSE-T and investigate the relationship between this index and changes in oil prices. In the development of this index, this study utilized Borsa Istanbul BIST 100 Index returns, a BIST 100 Index GARCH 1,1 model for expressing volatility, differences between 10-year and 2-year bond yields for the measurement of the debit spread in Turkey, the Exchange Market Pressure Index that is calculated using the real USDTRY exchange rate and changes in reserves, and the BIST Banks Index. In the study where monthly data for the period between January 2010 and May 2022 were used, after developing the FSE, the TVP-VAR model was predicted using the Brent Oil Prices variable. This model allows the prediction of parameters for each period. This way, the effects of structural changes and fluctuations originating from economic and financial crises on the coefficients can be determined. To predict time-varying parameters in terms of hidden latent variables, the Markov-Chain Monte Carlo MCMC method was used. As a result of the study, it was determined that FSE-T responded to the shocks that occurred in oil prices.

 The purpose of this study is to create a Financial Stress Index for Turkey FSE-T and investigate the relationship between this index and changes in oil prices. In the development of this index, this study utilized Borsa Istanbul BIST 100 Index returns, a BIST 100 Index GARCH 1,1 model for expressing volatility, differences between 10-year and 2-year bond yields for the measurement of the debit spread in Turkey, the Exchange Market Pressure Index that is calculated using the real USDTRY exchange rate and changes in reserves, and the BIST Banks Index. In the study where monthly data for the period between January 2010 and May 2022 were used, after developing the FSE, the TVP-VAR model was predicted using the Brent Oil Prices variable. This model allows the prediction of parameters for each period. This way, the effects of structural changes and fluctuations originating from economic and financial crises on the coefficients can be determined. To predict time-varying parameters in terms of hidden latent variables, the Markov-Chain Monte Carlo MCMC method was used. As a result of the study, it was determined that FSE-T responded to the shocks that occurred in oil prices.

 The purpose of this study is to create a Financial Stress Index for Turkey FSE-T and investigate the relationship between this index and changes in oil prices. In the development of this index, this study utilized Borsa Istanbul BIST 100 Index returns, a BIST 100 Index GARCH 1,1 model for expressing volatility, differences between 10-year and 2-year bond yields for the measurement of the debit spread in Turkey, the Exchange Market Pressure Index that is calculated using the real USDTRY exchange rate and changes in reserves, and the BIST Banks Index. In the study where monthly data for the period between January 2010 and May 2022 were used, after developing the FSE, the TVP-VAR model was predicted using the Brent Oil Prices variable. This model allows the prediction of parameters for each period. This way, the effects of structural changes and fluctuations originating from economic and financial crises on the coefficients can be determined. To predict time-varying parameters in terms of hidden latent variables, the Markov-Chain Monte Carlo MCMC method was used. As a result of the study, it was determined that FSE-T responded to the shocks that occurred in oil prices.

 Çalışmanın amacı Türkiye için bir finansal stres endeksi oluşturmak ve endeksin petrol fiyatlarında meydana gelen değişimlerle olan ilişkisini incelemektir. Çalışmada finansal stres endeksinin oluşturulmasında Borsa İstanbul 100 endeksi getirileri, volatiliteyi temsilen Borsa İstanbul 100 endeksi GARCH 1,1 modeli, Türkiye borç yayılımı ölçümünün göstergesi 10 yıllık ve 2 yıllık tahvil faizleri arasındaki fark, reel dolarTL kuru ile rezervlerdeki değişim aracılığıyla hesaplanan Döviz Piyasası Baskı Endeksi ve Borsa İstanbul Bankacılık Endeksinden yararlanılmıştır. Ocak 2010- Mayıs 2022 aylık verilerin kullanıldığı bu çalışmada FSE oluşturulduktan sonra, FSE ve Brent Petrol fiyat değişkeniyle TVP-VAR modeli tahmin edilmiştir. Bu model, genel olarak her bir dönem için parametrelerin tahmin edilmesine izin vermektedir. Bu sayede yapısal değişimlerin, ekonomik ve finansal krizlerden kaynaklanan dalgalanmaların neden olduğu etkiler belirlenebilmektedir. Zamanla değişen parametreleri tahmin etmek amacıyla Markov Zinciri Monte Carlo MCMC yöntemi kullanılmıştır. Çalışma sonucunda petrol fiyatlarında meydana gelen şokları karşısında Türkiye Finansal Stres Endeksinin tepki verdiği görülmektedir.

Makale detayları

Measurement of the Financial Stress Index for Turkey and Examination of the Dynamic Relationship between FSI and Oil Prices Using the Time-Varying Parameter VAR Approach

Yazarlar:

Emine Karaçayır | Müge Sağlam Bezgin

Yayıncı:

Cankiri Karatekin University

Ana Başlıklar:

Finans

Dergi:

Çankırı Karatekin Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi Vol.15 Issue 1, pp.1-24

Belge Tipi:

Makale

Yayın Tarihi:

3/2025

Belge Dili:

Türkçe

Document ID (Org No.):

2001343435

pISSN:

1308-5549

Finansal kriz

finansal stres

zaman serisi analizi

TVP-VAR ModelFinansal kriz

finansal stres

zaman serisi analizi

TVP-VAR Model

Sayı

Makale detayları

Yazarlar: Emine Karaçayır | Müge Sağlam Bezgin

Yayıncı: Cankiri Karatekin University

Ana Başlıklar: Finans

Dergi: Çankırı Karatekin Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi Vol.15 Issue 1, pp.1-24

Belge Tipi: Makale

Yayın Tarihi: 3/2025

Belge Dili: Türkçe

Document ID (Org No.): 2001343435

pISSN: 1308-5549

Sayı

Yazarlar:

Emine Karaçayır | Müge Sağlam Bezgin

Yayıncı:

Cankiri Karatekin University

Ana Başlıklar:

Finans

Dergi:

Çankırı Karatekin Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi Vol.15 Issue 1, pp.1-24

Belge Tipi:

Makale

Yayın Tarihi:

3/2025

Belge Dili:

Türkçe

Document ID (Org No.):

2001343435

pISSN:

1308-5549