Detection and forecasting of financial bubbles in BRICS-T countries: An analysis based on GSADF, panel logit, and TVP-VAR
Borsa Istanbul Review, 2026 (SSCI, Scopus)
- Yayın Türü: Makale / Derleme
- Basım Tarihi: 2026
- Doi Numarası: 10.1016/j.bir.2026.100873
- Dergi Adı: Borsa Istanbul Review
- Derginin Tarandığı İndeksler: Social Sciences Citation Index (SSCI), Scopus, EconLit, Directory of Open Access Journals
- Anahtar Kelimeler: BRICS-T economies, Financial bubbles, Financial stability, GSADF test, Panel logit model, TVP-VAR
- Dokuz Eylül Üniversitesi Adresli: Evet
Özet
This study examines the macro-financial dynamics shaping financial bubble formations in BRICS-T countries using monthly data spanning January 2010 to June 2025. The analysis is conducted in three stages. First, explosive price regimes in stock markets are identified using the GSADF test developed by Phillips, Shi, and Yu (2015). Second, the macro-financial determinants of the bubble periods identified by the GSADF test are examined through a panel logit model, and the predictive performance of early warning indicators is also assessed. Finally, a time-varying parameter VAR (TVP-VAR) model is estimated to further investigate the panel findings at the country level. The results indicate that credit expansion and increases in the money supply raise the probability of bubble formation, whereas increases in the policy interest rate reduce this probability. Moreover, the effects of monetary and financial shocks differ across countries and exhibit significant variation over time.