| dc.contributor.advisor | Özkan, İbrahim | |
| dc.contributor.author | Polat, Onur | |
| dc.date.accessioned | 2017-11-08T12:07:06Z | |
| dc.date.available | 2017-11-08T12:07:06Z | |
| dc.date.issued | 2017 | |
| dc.date.submitted | 2017-10-19 | |
| dc.identifier.citation | APA | tr_TR |
| dc.identifier.uri | http://hdl.handle.net/11655/4047 | |
| dc.description.abstract | Stability of financial system has become very important not only for practitioners and policy makers but also for researchers, since lack of it can trigger to turmoil and bursts in global financial system. Besides, hazardous effects of financial instability states can quickly spread out globally thanks to financial connectedness and the last global financial crisis sets an example of this. Hence, there exist increasing number of studies in the literature which determine early warning indicators of financial instability states in order to avoid from their catastrophic effects into economy. In the light of this, empirical studies in the related literature constructed financial stress indexes in low frequency (weekly, monthly, quarterly or annually) or in high frequency (daily) in order to measure risks and fragilities of financial system.
On the other hand, energy price shocks have detrimental effects into economies by different transmission channels due to energy dependency of emerging and developed countries. 1973 and 1979 oil price shocks set example of these effects since they harmfully affected both developed and emerging economies. Along with that, since oil usage consist of the greatest amount in total energy consumption, researchers investigated the impacts of oil price shocks on macro economies or financial systems of countries.
In this study; in the first step, we identify systemic stress of financial systems of 9 countries (G-7, Norway and Turkey) with high frequency (daily) financial stress indexes which consists of daily financial market indicators. Graphical illustrations of financial stress indexes show that all indexes response effectively to well-known financial stress events. In the second step, the impacts of oil price shocks on financial stability are discussed for 9 net oil importer/exporter countries with an application of SVAR model. Finally, similarities/dissimilarities of impacts of oil price shocks on 9 net oil importer/exporter countries’ financial stabilities are analyzed. | tr_TR |
| dc.description.tableofcontents | Despite there is no widely accepted definition on it, the term “financial stability” has been discussed frequently in recent years. Along with that; since Central Banks’ main responsibilities (providing and sustaining price stability) are dependent on a stable financial system, studies that are under the guidance of Central Banks have investigated the term. Besides, the Central Banks and the International Monetary Fund (IMF) publish reports on the financial system’s possible risks and fragilities are determined on a regular basis.
On the other hand, financial instability can rapidly pass from one country to another. The recent global financial crisis was an example of this. Because of the contagious effects of financial crises or financial instability, ensuring and maintaining financial stability is not only important for countries' financial health but also for the rest of the world. For this reason, policy makers and authorities not only develop policies to ensure financial stability, but they also regularly monitor their financial stress.
There also exists a vast literature on co-movements and co-integrations between financial markets during financial instability states. The researchers investigated the interaction and transmission channels between financial markets during periods of calm and financial instability. Since strengthen co-movements and correlations are observed during financial instability states, high financial stress can rapidly spread out between financial markets during these periods. Therefore, monitoring co-movements and correlations between financial markets in regular intervals has become important in order to determine early warning indicators of financial instability states.
What is more; researchers, practitioners and policy makers try to determine early warning indicators of financial instability states and they construct “financial stress indexes” (or “financial conditions indexes”), FSI, that measure financial stability with low (weekly, monthly, quarterly or annually) or high frequency (daily) financial market indicators. They develop FSI with application of different econometric models. Among them, Principal Component Analysis, Equal Weight Method, Variance Equal Weight Method, Credit Equal Weight Method, Logit Method, Composite Indicator of Systemic Stress Method can be mentioned. Policy makers and authorities can measure financial stress levels by monitoring these indexes and they can develop policies in order to inhibit hazardous effects of high level financial stress into economy.
Because of the importance of energy use and energy dependence of the real sector of the economy , energy price shocks can affect the economy detrimentally through different transmission channels . For example, 1973, 1979 oil crisis had not only negative impacts on developed countries’ economies, but they also harmfully affected emerging countries’ economies since oil usage constitutes the greatest amount of total energy consumption (BP Statistical Review of World Energy, 2016). Hence the impacts of oil price shocks on macro economy or on the financial indicators have been analyzed by researchers. However, these effects might be different for oil importer/exporter countries. Therefore, the analysis of the patterns of impacts should consider net oil importer/exporter countries. In addition, focusing on (dis)similarities of different patterns of impact provide important information for developing and implementing different policies.
The impacts of oil price shocks on macroeconomic indicators have been investigated with application of different econometric methods (DCC-GARCH, GARCH, Haar A Trous Wavelet, Granger Causality, OLS, SVAR, VAR). Short or long run bi-directional relationships between variables have been examined with implementation of these methods.
This dissertation mainly composed of two parts. In the first part, we develop high frequency (daily) financial stress indexes for 9 net oil importer/exporter countries in order to measure risks and fragilities of their financial systems effectively. In the second part, we explore the impacts of oil price shocks on financial stress indexes of these 9 oil importer/exporter countries.
Our research questions are given as follows:
• Could it be possible to construct high frequency (daily) indexes to determine early warning symptoms of financial instability states?
• Do the financial stress indexes react to well-known financial stress events effectively?
• How do oil price shocks affect financial stability of countries in daily?
• Is the reaction of financial stability of a net oil importer country to oil price shock different than the reaction of financial stability of a net oil exporter country to oil price shock?
This dissertation consists of two phases and hence contributes to the related literature in two ways. In the first phase, as given in chapter two, high frequency financial stress indexes for G-7 countries, Turkey and Norway are constructed. In these indexes some new indicators (i.e. dynamic beta of banking sector, realized volatility of slope of the yield curve) are also added to the model in addition to common used indicators in the related literature . It is observed that all indexes properly create signals for well-known financial stress events.
In the second phase, given in the chapter 3, the response of financial stress indexes to daily oil price shocks for net oil importer/exporter countries are analyzed separately. This approach not only provide valuable information to researchers and practitioners, it also offers a different perspective on this research area to policy makers.
In chapter 3, the impacts of oil prices shocks on financial stability are discussed for 9 net oil importer/exporter countries with an application of SVAR model. In addition, dis(similarities) of impacts of oil price and oil price volatility shocks on financial stabilities are analyzed. | tr_TR |
| dc.language.iso | en | tr_TR |
| dc.publisher | Sosyal Bilimler Enstitüsü | tr_TR |
| dc.rights | info:eu-repo/semantics/openAccess | tr_TR |
| dc.subject | Financial stability | tr_TR |
| dc.subject | Financial stress indexes | |
| dc.subject | Systemic stress | |
| dc.subject | Dynamic conditional correlations | |
| dc.subject | Oil price shocks | |
| dc.subject | Structural var | |
| dc.title | The Impacts of Energy Price Shocks on Financial Stability | tr_TR |
| dc.type | info:eu-repo/semantics/doctoralThesis | tr_TR |
| dc.description.ozet | Finansal sistemin istikrarı yalnızca uygulayıcılar ve politika yapıcılar için değil, araştırmacılar için de önemlidir çünkü eksikliği, küresel finans sistemde kargaşa ve patlamaları tetikleyebilir. Ayrıca, finansal bağlantılılık sayesinde finansal istikrarsızlık durumlarının tehlikeli etkileri hızlı bir şekilde yayılabilir ve son küresel kriz buna örnek teşkil eder. Dolayısıyla, literatürde, ekonomiye olan yıkıcı etkilerini engellemek için finansal istikrarsızlık durumlarının erken uyarı göstergelerini belirleyen artan sayıda çalışma bulunmaktadır. Bu bağlamda, ilgili literatürdeki ampirik çalışmalar finansal sistemin risk ve kırılganlıklarını ölçmek için düşük sıklıkta (haftalık, aylık, çeyreklik veya yıllık) veya yüksek sıklıkta (günlük) finansal stres endeksleri oluşturmuştur.
Öte yandan, enerji fiyat şoklarının, gelişmekte olan ve gelişmiş ülkelerin ekonomilerine ülkelerin enerji bağımlılıkları nedeniyle farklı iletim kanalları vasıtasıyla zararlı etkileri bulunmaktadır. Gelişmiş ve gelişmekte olan ekonomileri zararlı etkilediği için 1973 ve 1979 petrol krizleri bu etkilerin örneğini oluşturmaktadır. Bununla birlikte, petrol kullanımı enerji tüketimi içindeki en büyük miktarı oluşturduğundan dolayı, araştırmacılar petrol fiyat şoklarının ülkelerin makro ekonomilerine veya finansal sistemlerine olan etkilerini araştırmıştır.
Bu çalışmada; birinci adımda, 9 ülkenin (G-7, Norveç ve Türkiye) finansal sistemlarinin sistemik riskini ölçmek için günlük piyasa göstergelerinden oluşan yüksek frekanslı (günlük) finansal stress endekslerini oluşturuyoruz. Finansal stres indekslerinin grafiksel gösterimi indekslerin bilinen finansal stress olaylarına etkili bir şekilde tepki verdiklerini göstermektedir. İkinci adımda, petrol fiyat şoklarının 9 net petrol ithalatçısı/ihracatçısı ülkenin finansal istikrarlarına olan etkileri SVAR modeliyle incelenmektedir. Son olarak, petrol fiyat şoklarının 9 net petrol ithalatçısı/ihracatçısı ülkenin finansal istikrarlarına olan etkilerinin benzerlikleri/farklılıkları araştırılmaktadır. | tr_TR |
| dc.contributor.department | İktisat | tr_TR |
