Year 2013,
Volume: 9 Issue: 19, 107 - 119, 01.05.2013
Abstract
In the study, the business cycles of Turkish Economy were analyzed on GDP per capita by Hodrick-Prescott filters and Markov Switching models. The time series period of the article covers the years between 1987 and 2011 in quarter term data. As a result, it is observed that Turkish Economy moves in two regimes. The turning points of the cycles were stated and the duration of the cycles phases were calculated
References
- Açıkgöz, Ş. (2008). An analysis of business cycles under regime shifts: The Turkish economy and industrial sector. Dokuz Eylül Üniversitesi İktisadi ve İdari
- Bilimler Fakültesi Dergisi, 23(2), 135-151. Akgül, I., Koç, S., & Koç, S. Ö. (2007). Cari işlemler dengesi rejim değişim modelleri ile modellenebilir mi? 8. Türkiye Ekonometri ve İstatistik Kongresi, Malatya.
- Alizadeh, A. H., Nomikos, N. K. & Pouliasis, P. K. (2008). A Markov regime switching approach for hedging energy commodities. Journal of Banking & Finance, 32, 1983.
- Altuğ, S. ve Bildirici, M. (2010). Business cycles around the globe: A regime switching approach. International Business Cycle-Linkages, Differences and Implications, Budapeşte.
- Bazdrescha, S. & Wernerb, A. (2005). Regime switching models for the Mexican peso.
- Journal of International Economics, 65, 185–201. Bildirici, M. & Bozoklu, Ü. (2010) Beklentilerin ekonomi üzerindeki etkileri: MS-VAR yaklaşımı. TÜSİAD-KOÇ University Economic Research Forum, Working Paper, 1019.
- Bilgili, F., Tülüce, N. S. H. & Doğan, İ. (2012). The determinants of FDI in Turkey: A
- Markov regime-switching approach. Economic Modelling 29, 1161–1169.
- Burns, A. F. & Mitchell W. C. (1946). Measuring business cycles. NBER, 0-870-14085- X.
- Diebold, F. X. & Rudebusch, G. (1996). Measuring business cycles: A Modern perspective. Review of Economics and Statistics, 78, 67-77.
- Garcia, R. (1992). Asymptotic null distribution of the likelihood ratio test in Markov switching models. Manuscript, Department of Economics, University of Montreal.
- Gujarati, D. N. (2009). Temel ekonometri. (Çev. Ü. Şenesen, G. G. Şenesen) İstanbul: Ayhan Matbaası.
- Hamilton, J. D. (1989). A new approach to the economic analysis of nonstationary time series and the business cycle. Econometrica, 57(2), 357-384.
- Hodrick, R. J. & Prescott, E. C. (1997). Postwar U.S. business cycles: An empirical investigation. Journal of Money, Credit and Banking, 29(1).
- Karabulut, G. (2005). Konjonktürün dönüm noktalarının tahmini için bir probit modeli
- Türkiye örneği. D.E.Ü.İİ.B.F. Dergisi, 20(2), 1-9. Kondratieff, N. D. & Stolper, W. F. (1935). The long waves in economic life. The Review of Economics and Statistics, 17(6), 105–115.
- Kuznets, S. (1930). Secular movements in production and prices:their nature and bearing upon cyclical fluctuations. Cambridge: MA: Harvard University Press.
- Iiboshi, H. (2007). Duration dependence of the business cycle in Japan: A Bayesian analysis of extended Markov switching model. Japan and the World Economy, , 86–111.
- Moolman, E. (2004). A Markov switching regime model of the South African business cycle. Economic Modelling, 21, 631–646.
- Moore, T. & Wang, P. (2007).Volatility in stock returns for new EU member states
- Markov regime switching model. International Review of Financial Analysis, 16, –292. Nefçi, S. N. (1984). Are economic time series asymmetric over the business cycle?
- Journal of Political Economy, 92(2). Schumpeter, J. A. (1935). The analysis of economic change. The Review of Economics and Statistics, 17(4).
- Schumpeter, J. A. (1939). Business cycles. a theoretical, historical and statistical analysis of the capitalist process. New York: Mc Graw-Hill.
- Tsay, R. S. (2005). Analysis of financial time series. USA: Wiley.
- Yamak, N. & Topbaş, F. (2008). Stok yatırmları ve konjonktürel dalgalanmalar. 2.
- Ulusal İktisat Kongresi, İzmir. Zivot, E. & Andrews; D. W. K. (1992). Further evidence of great crash, the oil-price shock and the unit root hypothesis. Journal of Business and Economic Statistics, (3), 251-270. Ekler
- Tablo 1: MS Modeli Katsayıları Parametreler Katsayılar z değerleri c1 0,220A 5,747 c2 ,033A ,753 Ø ,027 ,247 σ 2,780A 35,550 p11 58 p22 91 J-B ,800A Log likelihood ,881 DW ,763 AIC Not: A %1 önem düzeyinde anlamlılığı belirtmektedir. J-B Jarque-Bera dağılımı, DW Durbin Watson istatistiği AIC Akaike Bilgi Kriterini ifade etmektedir. 2,268
Year 2013,
Volume: 9 Issue: 19, 107 - 119, 01.05.2013
Abstract
Çalışmada Türkiye Ekonomisinde meydana gelen dalgalanmalar kişi başına GSYİH değişkeni üzerinden Hodrick-Prescott ve Markov rejim değişimi modelleriyleanaliz edilmiştir. Makalede kullanılan veriler çeyrek dönemlik veriler cinsinden olup1987-2011 yılları arası dönemi kapsamaktadır.Sonuç olarak Türkiye Ekonomisinin iki farklı rejimde hareket ettiği gözlemlenmiştir. Ekonomide meydana gelen dalgalanmaların dönüm noktaları belirtilmiş ve dalgalanma fazlarının süreleri hesaplanmıştır.
Keywords
Rejim Değişimi Konjonktür Dalgalanmaları Hodrick-Prescott Filtresi Markov Rejim Değişimi Modeli.
References
- Açıkgöz, Ş. (2008). An analysis of business cycles under regime shifts: The Turkish economy and industrial sector. Dokuz Eylül Üniversitesi İktisadi ve İdari
- Bilimler Fakültesi Dergisi, 23(2), 135-151. Akgül, I., Koç, S., & Koç, S. Ö. (2007). Cari işlemler dengesi rejim değişim modelleri ile modellenebilir mi? 8. Türkiye Ekonometri ve İstatistik Kongresi, Malatya.
- Alizadeh, A. H., Nomikos, N. K. & Pouliasis, P. K. (2008). A Markov regime switching approach for hedging energy commodities. Journal of Banking & Finance, 32, 1983.
- Altuğ, S. ve Bildirici, M. (2010). Business cycles around the globe: A regime switching approach. International Business Cycle-Linkages, Differences and Implications, Budapeşte.
- Bazdrescha, S. & Wernerb, A. (2005). Regime switching models for the Mexican peso.
- Journal of International Economics, 65, 185–201. Bildirici, M. & Bozoklu, Ü. (2010) Beklentilerin ekonomi üzerindeki etkileri: MS-VAR yaklaşımı. TÜSİAD-KOÇ University Economic Research Forum, Working Paper, 1019.
- Bilgili, F., Tülüce, N. S. H. & Doğan, İ. (2012). The determinants of FDI in Turkey: A
- Markov regime-switching approach. Economic Modelling 29, 1161–1169.
- Burns, A. F. & Mitchell W. C. (1946). Measuring business cycles. NBER, 0-870-14085- X.
- Diebold, F. X. & Rudebusch, G. (1996). Measuring business cycles: A Modern perspective. Review of Economics and Statistics, 78, 67-77.
- Garcia, R. (1992). Asymptotic null distribution of the likelihood ratio test in Markov switching models. Manuscript, Department of Economics, University of Montreal.
- Gujarati, D. N. (2009). Temel ekonometri. (Çev. Ü. Şenesen, G. G. Şenesen) İstanbul: Ayhan Matbaası.
- Hamilton, J. D. (1989). A new approach to the economic analysis of nonstationary time series and the business cycle. Econometrica, 57(2), 357-384.
- Hodrick, R. J. & Prescott, E. C. (1997). Postwar U.S. business cycles: An empirical investigation. Journal of Money, Credit and Banking, 29(1).
- Karabulut, G. (2005). Konjonktürün dönüm noktalarının tahmini için bir probit modeli
- Türkiye örneği. D.E.Ü.İİ.B.F. Dergisi, 20(2), 1-9. Kondratieff, N. D. & Stolper, W. F. (1935). The long waves in economic life. The Review of Economics and Statistics, 17(6), 105–115.
- Kuznets, S. (1930). Secular movements in production and prices:their nature and bearing upon cyclical fluctuations. Cambridge: MA: Harvard University Press.
- Iiboshi, H. (2007). Duration dependence of the business cycle in Japan: A Bayesian analysis of extended Markov switching model. Japan and the World Economy, , 86–111.
- Moolman, E. (2004). A Markov switching regime model of the South African business cycle. Economic Modelling, 21, 631–646.
- Moore, T. & Wang, P. (2007).Volatility in stock returns for new EU member states
- Markov regime switching model. International Review of Financial Analysis, 16, –292. Nefçi, S. N. (1984). Are economic time series asymmetric over the business cycle?
- Journal of Political Economy, 92(2). Schumpeter, J. A. (1935). The analysis of economic change. The Review of Economics and Statistics, 17(4).
- Schumpeter, J. A. (1939). Business cycles. a theoretical, historical and statistical analysis of the capitalist process. New York: Mc Graw-Hill.
- Tsay, R. S. (2005). Analysis of financial time series. USA: Wiley.
- Yamak, N. & Topbaş, F. (2008). Stok yatırmları ve konjonktürel dalgalanmalar. 2.
- Ulusal İktisat Kongresi, İzmir. Zivot, E. & Andrews; D. W. K. (1992). Further evidence of great crash, the oil-price shock and the unit root hypothesis. Journal of Business and Economic Statistics, (3), 251-270. Ekler
- Tablo 1: MS Modeli Katsayıları Parametreler Katsayılar z değerleri c1 0,220A 5,747 c2 ,033A ,753 Ø ,027 ,247 σ 2,780A 35,550 p11 58 p22 91 J-B ,800A Log likelihood ,881 DW ,763 AIC Not: A %1 önem düzeyinde anlamlılığı belirtmektedir. J-B Jarque-Bera dağılımı, DW Durbin Watson istatistiği AIC Akaike Bilgi Kriterini ifade etmektedir. 2,268
There are 27 citations in total.
Details
| Primary Language | Turkish |
|---|---|
| Journal Section | Research Article |
| Authors | |
| Publication Date | May 1, 2013 |
| Published in Issue | Year 2013 Volume: 9 Issue: 19 |