Akademik Veri Yönetim Sistemi
12th International Conference on Computational and Financial Econometrics (CFE 2018) http://www.cfenetwork.org/CFE2018, Lucca, İtalya, 14 - 16 Aralık 2018, ss.184
The economic crisis analysis remains at the center stage of the economic policy discussions. Short term private external debt has crucial potential
to foresee the crisis in emerging economies. A dynamic linear growth model and a Bayesian estimation method have been recently used to fit short
term private external debt data. The model was outperformed to capturing unstable terms of the Turkey’s economy. We move to the next step with
the motives of producing an early warning system based on this model and searching its potential for other emerging economies. We develop a
signal detecting indicator, which we inspired from the KLR model. We focus on 17 emerging economies data covering the period of 1998 to 2017
and we estimate an index based on the models estimated parameters and test if the index is successful in detecting the signal of the crisis terms.
Our empirical findings reveal that the procedure has given signals for the crisis in considered period of the emerging economies data. Thus, we
have more evidence that a signal detecting indicator serves for emerging economies.