LINEAR PROFILE MONITORING ADAPTED TO CONSTRUCT EARLY WARNING SYSYTEM IN ECONOMICS: A PILOT STUDY FROM ENERGY SECTOR
Year 2019,
, 47 - 55, 21.01.2019
ÖZLEM Türker Bayrak
BURCU Aytaçoğlu
,
EBRU Yüksel Haliloğlu
Abstract
In this study, control charts for monitoring linear profiles are adopted to early warning system (EWS) to see if global crises can be detected before they occur so that preventive actions can be taken by the policy makers. For this purpose, the relation between the annual gross domestic product (GDP) and energy consumption of G8 and big emerging countries through the years 1980-2012 is observed. Phase I analysis indicated that the model parameters are autocorrelated through time. Thus, the Shewhart and EWMA charts for linear profile monitoring are adopted to take this into account and found that EWMA is better. It is seen that the 2008 global crisis can be detected whereas relatively local Asian crisis cannot. This is the first study that integrates linear profile monitoring schemes to EWS and that takes into account the correlation among profiles with different explanatory variables (x-values) for each profile.
References
- Abiad, A. (2003). “Early Warning Systems: A Survey and a Regime-Switching Approach”, IMF Working Papers, 03/32.
- Alessi, L. and Detken, C. (2011). “Quasi real time early warning indicators for costly asset price boom/bust cycles: a role for global liquidity”, European Journal of Political Economy, 27(3):520–533.
- Berg, A. and Pattillo, C. (1999). “Are currency crises predictable? A test”, IMF Staff Papers, 46(2):107–138.
- Berg, J. V. D., Candelon, B. and Urbain, J.P. (2008). “A cautious note on the use of panel models to predict financial crises”, Economics Letters, 101:80-83.
- Bilson, J. F. O. (1979). “Leading indicators of currency devaluations”, Columbia Journal of World Business, 14(4):62-76.
- Caprio, G. and Klingebiel, D. (2003). Episodes of Systemic and Borderline Financial Crises, World Bank. http://go.worldbank.org/5DYGICS7B0.
- Frankel, J. A. and Rose, A. K. (1996). “Currency crashes in emerging markets: an empirical treatment”, Journal of International Economics, 41(3–4):351–366.
- Hawkins, J. and Klau, M. (2000). “Measuring potential vulnerabilities in emerging market economies”, BIS Working Papers, 91, Bank for International Settlements.
- Frankel, J. A. and Saravelos, G. (2012). “Can leading indicators assess country vulnerability? Evidence from the 2008–09 global financial crisis”, Journal of International Economics, 87(2):216–231.
- Grammatikos, T. and Vermeulen, R. (2010). “Transmission of the Financial and Sovereign Debt Crises to the EMU: Stock Prices, CDS Spreads and Exchange Rates”, DNB Working Paper, No 287, Netherlands Central Bank.
- Huang, B. N., Hwang, M. J. and Yang, C. W. (2008). “Causal relationship between energy consumption and GDP growth revisited: A dynamic panel data approach”, Ecological Economics, 67:41-54.
- Kaminsky, G. L. and Reinhart, C. M. (1999). “The twin crises: the causes of banking and balance-of-payments problems”, American Economic Review, 89(3):473–500.
- Kaminsky, G. L., Lizondo, S. and Reinhart, C. M. (1998). “The leading indicators of currency crises”, IMF Staff Papers, 45(1):1–48.
- Kang, L. and Albin, S. L. (2000). “On-line monitoring when the process yields a linear profile”, Journal of Quality Technology, 32(4):418–426.
- Kim, K., Mahmoud, M. A. and Woodall, W. H. (2003). “On the monitoring of linear profiles”, Journal of Quality Technology, 35(3):317–328.
- Kraft, J. and Kraft, A. (1978). “On the relationship between energy and GNP”, Journal of Energy Development, 3:401-403.
- Krugman, P. (1979). “A model of balance-of-payments crises”, Journal of Money, Credit and Banking, 11(3):311–325.
- Laeven, L. and Valencia, F. (2008). “Systemic Banking Crises: a New Database”, IMF Working Paper, No 08/224.
- Lee, C. C. (2005). “Energy consumption and GDP in developing countries: A cointegrated panel analysis”, Energy Economics, 27:415-427.
- Lee, C. C. (2006). “The causality relationship between energy consumption and GDP in G-11 countries revisited”, Energy Policy, 34:1086-1093.
- Lucas, J. M. and Saccucci, M. S. (1990). “Exponentially weighted moving average control schemes: properties and enhancements”, Technometrics, 32(1):1–29.
- Mestek, O., Pavlik, J. and Such´anek, M. (1994). “Multivariate control charts: control charts for calibration curves”, Fresenius’ Journal of Analytical Chemistry, 350(6):344–351.
- Noorossana, R., Amiri, A., Vaghefi, S. A. and Roghanian, E. (2004). “Monitoring quality characteristic using linear profile”, Proceedings of the 3rd International Industrial Engineering Conference, Tehran, Iran.
- Noorossana, R., Amiri, A. and Soleimani, P. (2008). “On the monitoring of autocorrelated linear profiles”, Communications in Statistics-Theory and Methods, 37(3):425–442.
- Noorossana, R., Saghaei, A. and Amiri, A. (2011). Statistical Analysis of Profile Monitoring, John Wiley & Sons, Inc., Hoboken, New Jersey.
- Saghaei, A., Mehrjoo, M. and Amiri, A. (2009). “A CUSUM-based method for monitoring simple linear profiles”, The International Journal of Advanced Manufacturing Technology, 45(11):1252–1260.
- Stover, F. S. and Brill, R. V. (1998). “Statistical quality control applied to ion chromatography calibrations”, Journal of Chromatography A, 804(1–2):37–43.
DOĞRUSAL PROFİLLERE DAYALI KONTROL ŞEMALARININ EKONOMİDE ERKEN UYARI SİSTEMİ OLUŞTURMAK İÇİN UYARLANMASI: ENERJİ SEKTÖRÜNDE BİR PİLOT ÇALIŞMA
Year 2019,
, 47 - 55, 21.01.2019
ÖZLEM Türker Bayrak
BURCU Aytaçoğlu
,
EBRU Yüksel Haliloğlu
Abstract
Bu çalışmada, küresel krizleri öngörebilmek ve dolayısıyla karar alıcılar
tarafından önleyici aksiyonlar alınabilmesi amacıyla erken uyarı sistemi
oluşturmak üzere doğrusal profil için kontrol şemaları adapte edilmiştir. Bu
doğrultuda, gayri safi yurt içi hasıla (GSYH) ile G8 ve gelişmekte olan büyük
ülkelerin 1980-2012 yıllarındaki enerji tüketimi arasındaki ilişki
incelenmiştir. Faz I analizi model parametrelerinin zaman içinde otokorelasyon
içerdiğini göstermiştir. Dolayısıyla, bu otokorelasyonu dikkate alan, doğrusal
profiller için Shewhart ve EWMA şemaları kullanılmış ve EWMA şemasının daha iyi
olduğu tespit edilmiştir. 2008 küresel krizinin tespit edilebildiği ancak yerel
Asya krizinin tespit edilemediği görülmüştür. Bu çalışma, hem doğrusal profillerin
izlenmesi için geliştirilen kontrol şemalarını erken uyarı sistemi oluşturmak
amacıyla kullanan hem de açıklayıcı değişkenlerin (x-değerleri) profilden
profile çeşitlilik arz etmesi ile profiller arası korelasyonu da dikkate alan
ilk çalışmadır.
References
- Abiad, A. (2003). “Early Warning Systems: A Survey and a Regime-Switching Approach”, IMF Working Papers, 03/32.
- Alessi, L. and Detken, C. (2011). “Quasi real time early warning indicators for costly asset price boom/bust cycles: a role for global liquidity”, European Journal of Political Economy, 27(3):520–533.
- Berg, A. and Pattillo, C. (1999). “Are currency crises predictable? A test”, IMF Staff Papers, 46(2):107–138.
- Berg, J. V. D., Candelon, B. and Urbain, J.P. (2008). “A cautious note on the use of panel models to predict financial crises”, Economics Letters, 101:80-83.
- Bilson, J. F. O. (1979). “Leading indicators of currency devaluations”, Columbia Journal of World Business, 14(4):62-76.
- Caprio, G. and Klingebiel, D. (2003). Episodes of Systemic and Borderline Financial Crises, World Bank. http://go.worldbank.org/5DYGICS7B0.
- Frankel, J. A. and Rose, A. K. (1996). “Currency crashes in emerging markets: an empirical treatment”, Journal of International Economics, 41(3–4):351–366.
- Hawkins, J. and Klau, M. (2000). “Measuring potential vulnerabilities in emerging market economies”, BIS Working Papers, 91, Bank for International Settlements.
- Frankel, J. A. and Saravelos, G. (2012). “Can leading indicators assess country vulnerability? Evidence from the 2008–09 global financial crisis”, Journal of International Economics, 87(2):216–231.
- Grammatikos, T. and Vermeulen, R. (2010). “Transmission of the Financial and Sovereign Debt Crises to the EMU: Stock Prices, CDS Spreads and Exchange Rates”, DNB Working Paper, No 287, Netherlands Central Bank.
- Huang, B. N., Hwang, M. J. and Yang, C. W. (2008). “Causal relationship between energy consumption and GDP growth revisited: A dynamic panel data approach”, Ecological Economics, 67:41-54.
- Kaminsky, G. L. and Reinhart, C. M. (1999). “The twin crises: the causes of banking and balance-of-payments problems”, American Economic Review, 89(3):473–500.
- Kaminsky, G. L., Lizondo, S. and Reinhart, C. M. (1998). “The leading indicators of currency crises”, IMF Staff Papers, 45(1):1–48.
- Kang, L. and Albin, S. L. (2000). “On-line monitoring when the process yields a linear profile”, Journal of Quality Technology, 32(4):418–426.
- Kim, K., Mahmoud, M. A. and Woodall, W. H. (2003). “On the monitoring of linear profiles”, Journal of Quality Technology, 35(3):317–328.
- Kraft, J. and Kraft, A. (1978). “On the relationship between energy and GNP”, Journal of Energy Development, 3:401-403.
- Krugman, P. (1979). “A model of balance-of-payments crises”, Journal of Money, Credit and Banking, 11(3):311–325.
- Laeven, L. and Valencia, F. (2008). “Systemic Banking Crises: a New Database”, IMF Working Paper, No 08/224.
- Lee, C. C. (2005). “Energy consumption and GDP in developing countries: A cointegrated panel analysis”, Energy Economics, 27:415-427.
- Lee, C. C. (2006). “The causality relationship between energy consumption and GDP in G-11 countries revisited”, Energy Policy, 34:1086-1093.
- Lucas, J. M. and Saccucci, M. S. (1990). “Exponentially weighted moving average control schemes: properties and enhancements”, Technometrics, 32(1):1–29.
- Mestek, O., Pavlik, J. and Such´anek, M. (1994). “Multivariate control charts: control charts for calibration curves”, Fresenius’ Journal of Analytical Chemistry, 350(6):344–351.
- Noorossana, R., Amiri, A., Vaghefi, S. A. and Roghanian, E. (2004). “Monitoring quality characteristic using linear profile”, Proceedings of the 3rd International Industrial Engineering Conference, Tehran, Iran.
- Noorossana, R., Amiri, A. and Soleimani, P. (2008). “On the monitoring of autocorrelated linear profiles”, Communications in Statistics-Theory and Methods, 37(3):425–442.
- Noorossana, R., Saghaei, A. and Amiri, A. (2011). Statistical Analysis of Profile Monitoring, John Wiley & Sons, Inc., Hoboken, New Jersey.
- Saghaei, A., Mehrjoo, M. and Amiri, A. (2009). “A CUSUM-based method for monitoring simple linear profiles”, The International Journal of Advanced Manufacturing Technology, 45(11):1252–1260.
- Stover, F. S. and Brill, R. V. (1998). “Statistical quality control applied to ion chromatography calibrations”, Journal of Chromatography A, 804(1–2):37–43.