In this study the contagion of the 2008 global financial crisis among developing countries through geographical, financial, commercial interaction channels analyzed with spatial panel data analysis. For this purpose, 14 developing countries according to IMF country classification were investigated during the 2001-2016 period. One of the crisis indicator, ratio of non-performing loans is considered as dependent variable. By using the literature, the effect of 9 macroeconomic indicators on non-performing loans is investigated as explanatory variables. According to the findings, the best spatial model selection is determined by using Hendry (general-to-specific) approach. Based on our findings, in developing economies, it is observed that the fixed effects model is preferred to the random effects model. Spatial Durbin Model is accepted as the best model among 14 developing countries geographically and financially close to each other. The model considers the presence of the influence of independent variables in a country on the non-performing loan ratio with the spatial effect of the non-performing loans. Considering the commercial neighborhood relationship, it is observed that the spatial relationship between developing countries has decreased and the Spatial Error Model is considered as the best model compared to others. Therefore, in terms of commercial relations it is concluded that by the effect of variables excuded in the model, sudden changes or shocks in neighboring countries are effective on non-performing loans. Results show that there is a significant spatial autocorrelation between geographically and financially close countries and this is the main reason for the spillover of the crisis.
Key words: Keywords: Spatial Panel Data Analysis, Crisis, Contagion. JEL Codes: G01, C31, C33, F60 Article Language: EnglishTurkish
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