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 Turkey’s 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 Logit/Probit 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 Logit/Probit 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 Logit/Probit 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 Logit/Probit Models provide important results. In the Logit/Probit 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 Logit/Probit Model-3, decreases in BIST100 index and CPI-based real exchange rate index in Logit/Probit Model-4 may increase the probability of occurrence of stress periods in the economy.

Anahtar Kelimeler: