Turkiye'de Finansal Stresin olculmesi : Yontemsel Bir Karsilastirma

[TR] Bu calismada finansal stres literaturunde en fazla kullanilan tahmin yontemleri olan esit varyans agirliklandirma, temel bilesenler analizi ve portfoy teorisi agirliklandirma yontemi ile uc farkli finansal stres endeksi hesaplanmakta ve Turkiye'de 2002-2015 doneminde yasanan stres olaylari cercevesinde karsilastirilmaktadir. Sonuclar, uc yontemle elde edilen stres endekslerinin finansal stres olaylarini yakalamak konusunda basarili bir performans gosterdigini ortaya koymaktadir. Bununla birlikte, portfoy teorisi agirliklandirma yontemi ile hesaplanan stres endeksinin farkli stres donemleri arasinda finansal stres-ekonomik aktivite baglantisi cercevesinde daha dogru bir siralama yapma imkani verdigi icin finansal stresin olculmesi ve izlenmesinde diger yontemlere gore daha basarili bir performans sergiledigi sonucuna ulasilmistir. [EN] In this study, three different financial stress indexes are estimated with the most frequent used methods in the financial stress literature, i.e. equally variance weighting, principal component analysis and portfolio theoretic weighting, and compared according to the financial stress episodes witnessed in Turkey between 2002 and 2015. The results show that all three stress indexes show a good performance in capturing important stress episodes for the period under question. Nevertheless, the portfolio theoretic stress index stands out with its performance in terms of measuring and monitoring financial stress due to its property of enabling a correct ordering of the stress levels during different financial events implied by the financial stress-economic activity relationship.