An Application of the Logit/Probit Model for Estimating Economic Stress Periods Using Macroeconomic Indicators

Ali Cüneyt Çetin

Makale detayları

An Application of the Logit/Probit Model for Estimating Economic Stress Periods Using Macroeconomic Indicators

Yazarlar:

Ali Cüneyt Çetin

Yayıncı:

Afyon Kocatepe University

Dergi:

Afyon Kocatepe Üniversitesi Sosyal Bilimler Dergisi Vol.25 Issue 1, pp.88-104

Belge Tipi:

Makale

Yayın Tarihi:

3/2023

Belge Dili:

Türkçe

Document ID (Org No.):

2001286117

pISSN:

1302-1265

Anahtar kelimeler:

Özet:

 The main subject of this study is to determine the predictability of the stress periods of the economy with macroeconomic indicators. For this purpose on Turkeys macroeconomic indicators during 1996:01- 2020:10 the speculative pressure index has been established and identified the leading indicators of the stress periods of the economy using LogitProbit models. It was observed that the speculative pressure index exceeded the threshold value in August 1998, December 2000, February, March, April and June 2001, June 2006, October 2008, January 2014, June, August and September 2018, March and April 2020. Exceeding the threshold value can be explained by the 1998 Russian crisis, 2001 currency crisis, 2008 global financial crisis, the crisis due to fluctuations in the exchange rate and financial markets in 2018, and the change in gross reserves in 2020. It has been determined that the LogitProbit Model-1, which explains the probability of the occurrence of stress periods in the economy at the highest rate, consists of dollar interest rate and overnight interest rate variables. In the LogitProbit Model-1, it has been determined that increases in the dollar interest rate and the overnight interest rate increase the likelihood of stress periods in the economy. In addition, it has been seen that some variables with significant coefficients in other LogitProbit Models provide important results. In the LogitProbit Model-2, which has a high rate of reliability, it has been determined that the decrease in portfolio investments may increase the probability of occurrence of stress periods in the economy. It was concluded that the increases in loans given by banks and consumer price index in LogitProbit Model-3, decreases in BIST100 index and CPI-based real exchange rate index in LogitProbit Model-4 may increase the probability of occurrence of stress periods in the economy.

 The main subject of this study is to determine the predictability of the stress periods of the economy with macroeconomic indicators. For this purpose on Turkeys macroeconomic indicators during 1996:01- 2020:10 the speculative pressure index has been established and identified the leading indicators of the stress periods of the economy using LogitProbit models. It was observed that the speculative pressure index exceeded the threshold value in August 1998, December 2000, February, March, April and June 2001, June 2006, October 2008, January 2014, June, August and September 2018, March and April 2020. Exceeding the threshold value can be explained by the 1998 Russian crisis, 2001 currency crisis, 2008 global financial crisis, the crisis due to fluctuations in the exchange rate and financial markets in 2018, and the change in gross reserves in 2020. It has been determined that the LogitProbit Model-1, which explains the probability of the occurrence of stress periods in the economy at the highest rate, consists of dollar interest rate and overnight interest rate variables. In the LogitProbit Model-1, it has been determined that increases in the dollar interest rate and the overnight interest rate increase the likelihood of stress periods in the economy. In addition, it has been seen that some variables with significant coefficients in other LogitProbit Models provide important results. In the LogitProbit Model-2, which has a high rate of reliability, it has been determined that the decrease in portfolio investments may increase the probability of occurrence of stress periods in the economy. It was concluded that the increases in loans given by banks and consumer price index in LogitProbit Model-3, decreases in BIST100 index and CPI-based real exchange rate index in LogitProbit Model-4 may increase the probability of occurrence of stress periods in the economy.

 The main subject of this study is to determine the predictability of the stress periods of the economy with macroeconomic indicators. For this purpose on Turkeys macroeconomic indicators during 1996:01- 2020:10 the speculative pressure index has been established and identified the leading indicators of the stress periods of the economy using LogitProbit models. It was observed that the speculative pressure index exceeded the threshold value in August 1998, December 2000, February, March, April and June 2001, June 2006, October 2008, January 2014, June, August and September 2018, March and April 2020. Exceeding the threshold value can be explained by the 1998 Russian crisis, 2001 currency crisis, 2008 global financial crisis, the crisis due to fluctuations in the exchange rate and financial markets in 2018, and the change in gross reserves in 2020. It has been determined that the LogitProbit Model-1, which explains the probability of the occurrence of stress periods in the economy at the highest rate, consists of dollar interest rate and overnight interest rate variables. In the LogitProbit Model-1, it has been determined that increases in the dollar interest rate and the overnight interest rate increase the likelihood of stress periods in the economy. In addition, it has been seen that some variables with significant coefficients in other LogitProbit Models provide important results. In the LogitProbit Model-2, which has a high rate of reliability, it has been determined that the decrease in portfolio investments may increase the probability of occurrence of stress periods in the economy. It was concluded that the increases in loans given by banks and consumer price index in LogitProbit Model-3, decreases in BIST100 index and CPI-based real exchange rate index in LogitProbit Model-4 may increase the probability of occurrence of stress periods in the economy.

 Ekonominin stres dönemlerinin öngörülebilirliğinin makroekonomik göstergelerle belirlenmesi bu çalışmanın ana konusunu oluşturmaktadır. Bu amaçla Türkiyenin 1996:01-2020:10 dönemi makroekonomik göstergeleri üzerinden spekülatif baskı endeksi oluşturulmuş ve Logit ve Probit olasılık modelleri kullanılarak ekonominin stres dönemlerinin öncü göstergeleri tespit edilmeye çalışılmıştır. İncelenen dönemde spekülatif baskı endeksinin Ağustos 1998, Aralık 2000, Şubat-Mart-Nisan ve Haziran 2001, Haziran 2006, Ekim 2008, Ocak 2014, Haziran, Ağustos ve Eylül 2018, Mart ve Nisan 2020 tarihlerinde eşik değeri aştığı görülmüştür. Eşik değerin aşılması 1998 Rusya krizi, 2001 döviz krizi, 2008 küresel finansal kriz, 2018 yılında yaşanan döviz kurunda ve finansal piyasalarda ortaya çıkan dalgalanmaya bağlı kriz ve 2020 yılında brüt rezervlerdeki azalış yönlü değişme ile açıklanabilmiştir. Ekonominin stres dönemlerinin oluşma olasılığını en yüksek oranda açıklayan LogitProbit Model-1in dolar faiz oranı ve gecelik faiz oranı değişkenlerinden oluştuğu belirlenmiştir. LogitProbit Model-1de dolar faiz oranındaki ve gecelik faiz oranındaki artışların ekonomide stres dönemlerinin oluşma ihtimalini artırdığı belirlenmiştir. Ayrıca diğer LogitProbit Modellerde yer alan ve anlamlı katsayılara sahip bazı değişkenlerin önemli sonuçlar sunduğu görülmüştür. Güvenirlik bakımından yüksek orana sahip LogitProbit Model-2de portföy yatırımlarındaki azalışın ekonominin stres dönemlerinin oluşma olasılığını artırabileceği belirlenmiştir. LogitProbit Model-3de bankalarca verilen kredilerdeki ve tüketici fiyat endeksindeki artışların, LogitProbit Model-4de BIST100 endeksindeki ve TÜFE bazlı reel kur endeksindeki düşüşlerin ekonomide stres dönemlerinin oluşma olasılığını artırabileceği sonucuna varılmıştır.

Makale detayları

An Application of the Logit/Probit Model for Estimating Economic Stress Periods Using Macroeconomic Indicators

Yazarlar:

Ali Cüneyt Çetin

Yayıncı:

Afyon Kocatepe University

Dergi:

Afyon Kocatepe Üniversitesi Sosyal Bilimler Dergisi Vol.25 Issue 1, pp.88-104

Belge Tipi:

Makale

Yayın Tarihi:

3/2023

Belge Dili:

Türkçe

Document ID (Org No.):

2001286117

pISSN:

1302-1265

Economy

stress period

speculative pressure index

macroeconomic indicators

Ekonomi

stres dönemi

spekülatif baskı endeksi

makroekonomik göstergeler

Sayı

Makale detayları

Yazarlar: Ali Cüneyt Çetin

Yayıncı: Afyon Kocatepe University

Dergi: Afyon Kocatepe Üniversitesi Sosyal Bilimler Dergisi Vol.25 Issue 1, pp.88-104

Belge Tipi: Makale

Yayın Tarihi: 3/2023

Belge Dili: Türkçe

Document ID (Org No.): 2001286117

pISSN: 1302-1265

Sayı

Yazarlar:

Ali Cüneyt Çetin

Yayıncı:

Afyon Kocatepe University

Dergi:

Afyon Kocatepe Üniversitesi Sosyal Bilimler Dergisi Vol.25 Issue 1, pp.88-104

Belge Tipi:

Makale

Yayın Tarihi:

3/2023

Belge Dili:

Türkçe

Document ID (Org No.):

2001286117

pISSN:

1302-1265