Advance Warning Indicators of Past Severe GDP per Capita Recessions in Turkey: = Indicateurs d'alerte des récessions sévères passées en Turquie

The global financial crisis and its high economic and social costs have revived academic and policy interest in "early warning indicators" of crises. This paper aims to investigate the performance of vulnerability indicators as advance warning indicators of past severe GDP per capita reces...

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Bibliographic Details
Main Author: Röhn, Oliver (Author)
Format: Electronic eBook
Language:English
Published: Paris OECD Publishing 2016
Series:OECD Economics Department Working Papers no.1334
Subjects:
Online Access:DE-862
DE-863
Summary:The global financial crisis and its high economic and social costs have revived academic and policy interest in "early warning indicators" of crises. This paper aims to investigate the performance of vulnerability indicators as advance warning indicators of past severe GDP per capita recessions in Turkey. It draws on the recently established database of vulnerability indicators (Röhn et al., 2015) and employs the signalling approach as in Hermansen and Röhn (2015) complemented by visual inspections to detect vulnerability indicators that performed particularly well in the Turkish context. The evidence suggests that an index of the global stock market performs extremely well in the Turkish context. This index, which could be interpreted as a proxy for the risk appetite of global investors, exceeded its critical threshold before almost all past severe GDP per capita recessions in Turkey while sending only very few false alarms. Among domestic indicators, large positive deviations of household credit and the domestic stock market from trend also perform relatively well in signalling subsequent past severe GDP per capita recessions. The evidence is broadly robust to considering a more homogenous set of lower income OECD countries when defining the critical thresholds.
Physical Description:1 Online-Ressource (23 Seiten) 21 x 29.7cm.

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