caa a22 4500 378911910 CHVBK 20180305123543.0 cr unu---uuuuu 161128e20040801xx s 000 0 eng 10.2202/1475-3693.1022 doi (NATIONALLICENCE)gruyter-10.2202/1475-3693.1022 Prediction of Currency Crises: Case of Turkey [Elektronische Daten] [Roberto S Mariano, Bulent N Gultekin, Suleyman Ozmucur, Tayyeb Shabbir, C. Emre Alper] This paper explores the issue of constructing an economic predictive model of financial vulnerability through an alternative econometric methodology that addresses drawbacks in existing approaches. The methodology entails estimating a Markov regime switching model of exchange rate movements, with time-varying transition probabilities. Experiments with monthly and weekly models indicate that real exchange rate, foreign exchange reserves and domestic credit/deposit ratio are the most important determinants of financial vulnerability. These variables should be observed very closely by researchers and policy makers in order to determine if the country is heading for financially difficult times. ©2011 Walter de Gruyter GmbH & Co. KG, Berlin/Boston JEL Classification: C50 nationallicence F30 nationallicence O16 nationallicence O50 nationallicence Markov switching financial vulnerability nationallicence foreign exchange crises nationallicence banking crises nationallicence Turkey nationallicence Mariano Roberto S. School of Economics and Social Sciences, Singapore Management University and Department of Economics aut Gultekin Bulent N. Wharton School, University of Pennsylvania aut Ozmucur Suleyman University of Pennsylvania aut Shabbir Tayyeb Univ of Pennsylvania aut Alper C. Emre Department of Economics, Bogazici University aut Review of Middle East Economics and Finance De Gruyter 2/2(2004-08-01), 1-21 2:2<1 2004 2 rmeef https://doi.org/10.2202/1475-3693.1022 text/html Onlinezugriff via DOI 1 research article jats NATIONALLICENCE 856 40 https://doi.org/10.2202/1475-3693.1022 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Mariano Roberto S. School of Economics and Social Sciences, Singapore Management University and Department of Economics aut NATIONALLICENCE 700 1- Gultekin Bulent N. Wharton School, University of Pennsylvania aut NATIONALLICENCE 700 1- Ozmucur Suleyman University of Pennsylvania aut NATIONALLICENCE 700 1- Shabbir Tayyeb Univ of Pennsylvania aut NATIONALLICENCE 700 1- Alper C. Emre Department of Economics, Bogazici University aut NATIONALLICENCE 773 0- Review of Middle East Economics and Finance De Gruyter 2/2(2004-08-01), 1-21 2:2<1 2004 2 rmeef CC0 http://creativecommons.org/publicdomain/zero/1.0 nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-gruyter