The impact of the Greek economic crisis on the sustainability of the Turkish economy: A GARCH-based decision-making methodology

Abstract

Purpose

This paper aims to examine the impact of the Greek economic crisis on the sustainability of the Turkish economy.

Design/methodology/approach

A generalized autoregressive conditional heteroskedasticity (GARCH) model is used over the Thomson Reuter’s Turkey Index for the period of May 1999 to August 2018 using monthly data. The control variables introduced in the proposed model are the S&P 500 of the US stock market and crude oil prices which are used to isolate more general systemic factors.

Findings

The structural analysis of volatility with the EGARCH model has shown that current volatility is more influenced by past volatility than by previous month shocks.

Research limitations/implications

The results can be exploited by investors, portfolio managers and policy makers in their decision-making process.

Originality/value

It is a first-time effort that examines the impact of the Greek economic crisis on the sustainability of the Turkish economy. The developed methodology can be used by investors, portfolio managers and policy makers in their decision-making process.

Citation

Tsioptsia, K.A., Mallidis, I., Siskou, T. and Sariannidis, N. (2020), "The impact of the Greek economic crisis on the sustainability of the Turkish economy: A GARCH-based decision-making methodology", Kybernetes, Vol. 49 No. 4, pp. 1127-1142. https://doi.org/10.1108/K-10-2018-0547