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J. Risk Financial Manag. 2015, 8(3), 337-354; doi:10.3390/jrfm8030337

An Empirical Analysis for the Prediction of a Financial Crisis in Turkey through the Use of Forecast Error Measures

Halic University, Faculty of Business, Okcu Musa Cad. Emekyemez Mah. Mektep Sok. No. 21, Sishane, 34420, Istanbul, Turkey
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Academic Editor: Michael McAleer
Received: 3 June 2015 / Revised: 1 August 2015 / Accepted: 12 August 2015 / Published: 24 August 2015
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Abstract

In this study, we try to examine whether the forecast errors obtained by the ANN models affect the breakout of financial crises. Additionally, we try to investigate how much the asymmetric information and forecast errors are reflected on the output values. In our study, we used the exchange rate of USD/TRY (USD), the Borsa Istanbul 100 Index (BIST), and gold price (GP) as our output variables of our Artificial Neural Network (ANN) models. We observe that the predicted ANN model has a strong explanation capability for the 2001 and 2008 crises. Our calculations of some symmetry measures such as mean absolute percentage error (MAPE), symmetric mean absolute percentage error (sMAPE), and Shannon entropy (SE), clearly demonstrate the degree of asymmetric information and the deterioration of the financial system prior to, during, and after the financial crisis. We found that the asymmetric information prior to crisis is larger as compared to other periods. This situation can be interpreted as early warning signals before the potential crises. This evidence seems to favor an asymmetric information view of financial crises. View Full-Text
Keywords: symmetry measurements; forecast error measures; asymmetric information; artificial neural network; machine learning; Shannon entropy; financial crisis. symmetry measurements; forecast error measures; asymmetric information; artificial neural network; machine learning; Shannon entropy; financial crisis.
This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. (CC BY 4.0).

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MDPI and ACS Style

Cavdar, S.C.; Aydin, A.D. An Empirical Analysis for the Prediction of a Financial Crisis in Turkey through the Use of Forecast Error Measures. J. Risk Financial Manag. 2015, 8, 337-354.

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