The regime switching evidence of financial-economic-political risk in Turkey
Kirikkaleli, Dervis; Alola, Andrew Adewale (2022-09-22)
Springer
22.09.2022
Julkaisun pysyvä osoite on
https://urn.fi/URN:NBN:fi-fe2022092259940
https://urn.fi/URN:NBN:fi-fe2022092259940
Kuvaus
vertaisarvioitu
© The Author(s) 2022. This article is licensed under a Creative Commons Attribution 4.0 International License, which permits use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons licence, and indicate if changes were made. The images or other third party material in this article are included in the article’s Creative Commons licence, unless indicated otherwise in a credit line to the material. If material is not included in the article’s Creative Commons licence and your intended use is not permitted by statutory regulation or exceeds the permitted use, you will need to obtain permission directly from the copyright holder. To view a copy of this licence, visit http://creativecommons.org/licenses/by/4.0/.
© The Author(s) 2022. This article is licensed under a Creative Commons Attribution 4.0 International License, which permits use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons licence, and indicate if changes were made. The images or other third party material in this article are included in the article’s Creative Commons licence, unless indicated otherwise in a credit line to the material. If material is not included in the article’s Creative Commons licence and your intended use is not permitted by statutory regulation or exceeds the permitted use, you will need to obtain permission directly from the copyright holder. To view a copy of this licence, visit http://creativecommons.org/licenses/by/4.0/.
Tiivistelmä
In recent time, Turkey could be said to have experienced different levels of Economic Risk, Financial Risk, and Political Risk from low- to high-level. This study investigates the linkage between country risks, namely Financial Risk, Economic Risk, and Political Risk (FEP risk) in Turkey for the period 1984Q1 to 2019Q1 by using threshold cointegration, Markow-switching regression (given the nonlinearity and structural breaks observed in the time series variables), and frequency domain causality approaches. The empirical findings of this study reveal that (i) nonlinear cointegration between Economic Risk, Financial Risk, and Political Risk in Turkey is statistically significant given the evidence of threshold cointegration test, which determines the structural breaks endogenously; (ii) there is positive linkage among the component of country risk at different volatility periods; (iii) there is a significant Granger causal linkage between Economic Risk, Financial Risk and Political Risk at the different frequency levels. The study is likely to open debate about the literature since the study concludes with a discussion on short-run and long-run implications for economic, political, and financial stabilises, thus offering policy suggestions for the policymakers in Turkey.
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