Türkiye GSYH büyümesinin MIDAS ile şimdi tahmini

Year 2024, Volume: 51 Issue: 1, 75 - 103, 28.06.2024

Güzin Bayar Melekgül Kargı Baki Ozan Kuş

Abstract

GSYH büyümesi ekonominin durumunu ve potansiyelini gösteren önemli bir gösterge olarak algılanmaktadır ve ekonomik birimler büyüme oranlarını yakın şekilde takip etmektedir. Ancak pek çok ülkede GSYH istatistikleri hem çeyreklik sıklıkta, hem de oldukça gecikmeli olarak açıklanmaktadır. Bu durum ekonomistleri geçmiş fakat henüz istatistiği açıklanmamış yakın dönemin “şimdi tahmin”lerini yapmaya yönlendirmiştir. Bu konuda geniş bir iktisat yazını oluşmaya başlamıştır ve çok sayıda yeni teknik geliştirilmiştir.
Bu çalışmada, Türkiye GSYH büyümesinin şimdi tahmini bu alanda yeni geliştirilen ve sıklıkla kullanılmaya başlanan tahmin tekniklerinden MIDAS (karma veri örnekleme-mixed data sampling) teknikleriyle yapılmaktır. MIDAS, çeyreklik veriyi daha sık yayımlanan aylık, haftalık, hatta günlük veriler aynı denklemde kullanılarak tahmin etme imkanı vermektedir. Çalışmamızda temel MIDAS modellerinin statik faktör modelleri ile genişletilmiş bir hali olan FADL-MIDAS (Faktör Otoregresif Gecikmesi Dağıtılmış-MIDAS) denklemi kurulmuştur ve ARMA ve köprü modelleri ile karşılaştırılmıştır. FADL-MIDAS modeli iki aşamada tahmin edilmektedir. Birinci aşamada reel ekonomiye ve finansal kesime ait çok sayıda verinin faktörleri statik temel bileşenler yöntemi (principal components analysis) ile bulunmuştur. Buradan elde edilen temel bileşenler, bağımlı değişkenin gecikmeli değerleri ile birlikte denklemde kullanılmış ve denklem doğrusal olmayan en küçük kareler yöntemi ile tahmin edilmiştir.
Analiz sonuçları Türkiye GSYH büyümesinin tahmininde kendi gecikmeli değerleri ile reel kesime ait aylık sıklıkta açıklanan cari dengenin, kapasite kullanım oranının, cari işlemler hesabı hizmet gelirleri kaleminin, ihracatın, işsizlik oranının, istihdam oranının, otomobil üretim rakamlarının, reel kurların, sanayi üretim endeksinin ve seyahat gelirlerinin temel bileşenlerinin en iyi sonuçları verdiğini göstermektedir. Analiz sonuçları FADL-MIDAS modelinin MIDAS, köprü ve ARMA modellerinin hepsinden daha iyi tahmin performansı gösterdiğine işaret etmektedir.

Keywords

GSYH, MIDAS, Temel Bileşenler Analizi, Doğrusal Olmayan En Küçük Kareler

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