TY  - JOUR
T1  - Regime Switching Stochastic Volatility: The Output Growth Behaviour
TT  - Regime Switching Stochastic Volatility: The Output Growth Behaviour
AU  - Terzioğlu, Mehmet Kenan
PY  - 2018
DA  - April
Y2  - 2018
DO  - 10.25287/ohuiibf.407225
JF  - Ömer Halisdemir Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi
JO  - ÖHÜİİBFD
PB  - Nigde Omer Halisdemir University
WT  - DergiPark
SN  - 2564-6931
SP  - 195
EP  - 202
VL  - 11
IS  - 2
LA  - en
AB  - The outputvolatility can cause the recession in the economy by random shocks. Growthvolatility, output variability, fluctuation in output, and business cyclevolatility are used as the output uncertainty in the literature. Regime switchingand the stochastic volatility is combined within this paper to explain thebehaviour of output growth and its volatility. Moreover, this studypointed out the sign and direction of the relation between output growth andits uncertainty in Turkey as a developing country. In the scope of the study, a singleeconomic variable is preferred as a reference series and, although GDP is the“reference” series that determines the situation of economic activity, monthlyindustrial production index series is used instead of quarterly basis GDPbetween 1987: 01-2017: 04 monthly periods.
KW  - Stochastic volatility
KW  - Markov regime switching model
KW  - output uncertainty
KW  - causality
N2  - The outputvolatility can cause the recession in the economy by random shocks. Growthvolatility, output variability, fluctuation in output, and business cyclevolatility are used as the output uncertainty in the literature. Regime switchingand the stochastic volatility is combined within this paper to explain thebehaviour of output growth and its volatility. Moreover, this studypointed out the sign and direction of the relation between output growth andits uncertainty in Turkey as a developing country. In the scope of the study, a singleeconomic variable is preferred as a reference series and, although GDP is the“reference” series that determines the situation of economic activity, monthlyindustrial production index series is used instead of quarterly basis GDPbetween 1987: 01-2017: 04 monthly periods.
CR  - Burns, A. & Mitchell, F.W, C. (1946). Measuring Business Cycles. National Bureau of Economic Research.
CR  - Delong, J. & Summers B.L.H. (1984).Are Business Cycles Symmetric?. National Bureau of Economic Research.
CR  - Diebold, F. & Rudebusch, G. (1996).Measuring Business Cycles: A Modern Perspective. Review of Economics and Statistics, 78, 68- 77.
CR  - Frisch, R. (1993).Propagation Problems and Impulse Problems in Dynamic Economics Economic Essays in Honor of Gustav Cassel, Taylor And Francis Group, 171–205.
CR  - Hall, S., Psaradakis, Z., & M. Sola, M. (1999). Detecting Periodically Collapsing Bubbles: A Markov-Switching Unit Root Test. Journal of Applied Econometrics, 14, 143- 154.
CR  - Hamilton, J. D.(1989). A New Approach to the Economic Analysis of Non-stationary Time Series and The Business Cycle. Econometrica, 57, 357—384.
CR  - Hamilton, J. D. (1994). Time Series Analysis. Princeton Universities Press, New Jersey.
CR  - Harding, D. & Pagan, A. (2002a). A Comparison of Two Business Cycle Dating Methods. Journal of Economic Dynamics and Control, 1681- 1690.
CR  - Keynes, J., M. (1936). The General Theory Of Employment, Interest And Money. Macmillan.
CR  - Kim, Ch. & Nelson, Ch. (1999). Friedman's Plucking Model of Business Fluctuations: Tests and Estimates of Permanent and Transitory Components. Journal of Money, Credit, and Banking 31, 317-334.
CR  - Koopmans, T., C. (1947) .Measurement without Theory. The Review Of Economics And Statistics, 29, 3, 161- 172
CR  - Lam, P. (1990).The Hamilton Model with A General Autoregressive Component. Journal of Monetary Economics, 26, 409-432.
CR  - Lumsdaine, R. & Papell, D. (1997). Multiple Trend Breaks and the Unit-Root Hypothesis. The Review of Economics and Statistics, 79, 212-218.
CR  - Lucas, Jr. R.E. (1983).Studies in Business Cycle Theory.The MIT Press.
CR  - Mintz, I. (1969). Dating Postwar Business Cycles: Methods and Their Application to Western Germany, 1950- 1967”. National Bureau Of Economic Research, 107
CR  - Mitchell, W., C. (1968).Business Cycles, The Problem and Its Setting. National Bureau Of Economic Research.
CR  - Neftçi, S. (1984).Are Economic Time Series Asymmetric Over The Business Cycle?. Journal of Political Economy, University of Chicago Press, 92(2), 307-28
CR  - Nelson, Ch., Piger, J., & Zivot, E. (2001) .Markov Regime Switching and Unit root Tests. Journal of Business and Economic Statistics, 19, 404-415.
CR  - Slutzky, E. (1937).The Summation of Random Causes as the Source of Cyclic Processes. Econometrica, 5, 2, 105 – 146.
CR  - Yamasawa, N. (2008). China’s Business Cycle and Early Warning Indicators. Japan Center for Economic Research Discussion Paper, 115.
UR  - https://doi.org/10.25287/ohuiibf.407225
L1  - https://dergipark.org.tr/en/download/article-file/461541
ER  -