BibTex RIS Kaynak Göster

REJİM DEĞİŞİMİ ALTINDA TÜRKİYE EKONOMİSİNİN VE SANAYİ SEKTÖRÜNÜN DEVRESEL HAREKETLERİNİN ANALİZİ

Yıl 2008, Cilt: 23 Sayı: 2 - Cilt: 23 Sayı: 2, 135 - 151, 25.07.2016

Öz

This paper analyzes the time series behavior of the annual growth rate of Turkey’s GDP and growth rate of its industrial sector GDP’s. Drawing on the work of Hamilton (1989), we examine the two series for evidence of periodic, discrete shifts in the mean using a two-state Markov regime switching model. The results provide strong evidence that shifts in the mean of the growth process both general and sectoral is a prominent feature of the data. According to probability results, there is one switch between the regimes in general growth process and there are five switches in industrial sector growth process.

Kaynakça

  • BROCK, W. A., W. DECHERT, and J. SCHEİNKMAN, (1987), “A Test for Independence Based on the Correlation Dimension,” Working Paper, University of Wisconsin at Madison, University of Houston and University of Chicago.
  • BROWN, R. L., J. DURBİN, and J. M. EVANS, (1975), “Techniques for Testing the Constancy of Regression Relationships over Time,” Journal of the Royal Statistical Society, B37, 149-192.
  • CHOW, G. (1960), “Tests of the Equality between Two Sets of Coefficients in Two Linear Regressions,” Econometrica, 28, 561-605.
  • ÇINLAR, E. (1975), Introduction to Stochastic Processes, N.J.: Englewood Cliffs.
  • Devlet İstatistik Enstitüsü, (1973), Türkiye Milli Geliri, Kaynak ve Yöntemler: 1948-1972, Ankara, Devlet İstatistik Enstitüsü Matbaası.
  • DURLAUF, S., N. (2001), “Manifesto for Growth Econometrics,” Journal of Econometrics, 100, 65-69.
  • FARLEY, J. U. and M. J. HİNİSH. (1970), “A Test of a Shifting Slope Coefficient in a Linear Model,” Journal of the American Statistical Association, 65, 1321-1329.
  • GOLDFELD, S. M. and R., E. QUANDT, (1973), “A Markov Model for Switching Regressions,” Journal of Econometrics, 1, 3-16.
  • GRANGER, C. W. J. (1993), “Strategies for Modelling Nonlinear Time Series Relationships,” The Economic Record, 69, 233-238.
  • GRAY, S. F. (1995), “An Analysis of Conditional Regime-Switching Models,” Working Paper, Fuqua School of Business, Duke University, Durham, NC.
  • HAMILTON, J. D. (1989), “A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle,” Econometrica, 57(2), 357-384.
  • HAMILTON, J. D. (1994), Time Series Analysis, Princeton, N. J: Princeton University Press.
  • KIM, Chang-Jin and C. R. NELSON, (1999), State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications, Cambridge, Massachusetts: The MIT Press.
  • Mcleod, A. I. and LI, W. K. (1983), “Diagnostic Checking ARMA Time Series Models Using Squared Residual Autocorrelations,” Journal of Time Series Analysis, 4, 269–273.
  • ÖZDEMİR, Z.A. and H. Olgun, (2007), “Foreign Exchange Crises, Structural Shifts and Volatility: An Interpretation of the Turkish Case,” The Journal of International Trade and Diplomacy, 1(2), 3-139-158.
  • QUANDT, R. E. (1972), “A New Approach to Estimating Switching Regressions,” Journal of the American Statistical Association, 55,
  • QUANDT, R. E. (1960), “Tests of the Hypothesis that Linear Regression System Obeys Two Separate Regimes,” Journal of the American Statistical Association, 67, 306-310.
  • QUANDT, R. E. (1958), “The Estimation of Parameters of A Linear Regression System Obeying Two Separate Regimes,” Journal of the American Statistical Association, 53, 873-880.
  • RAMSEY, J. B. (1969), “Tests for Specification Error in Classical Linear Least Squares Regressions Analysis,” Journal of Royal Statistical Society, B31, 250-271.
  • ROSS, S. M. (1983), Stochastic Processes, New York: John Wiley.
  • STOCK, J. H. (1987), “Measuring Business Cycle Time,” Journal of Political Economy, 95, 1240-1261.
  • STOCK, J. H. and M. W. WATSON, (1989), “New Indexes of Coincident and Leading Indicators,” in O. J. Blanchard and S. Fischer (Eds.), MBER Macroeconomics Annual, 351-393, Cambridge: MIT Press.
  • STOCK, J. H. and M. W. WATSON, (1993), “A Procedure for Predicting Recessions with Leading Indicators: Econometric Issues and Recent Experiences,” in J. H. Stock and M. W. Watson (Eds.), Business Cycles, Indicators and Forecasting, 95-156, Chicago: Chicago University Press.
  • STOCK, J. H. and M. W. WATSON, (1999), “Business Cycle Fluctuations in US Macroeconomic Time Series,” in J. B. Taylor and M. Woodford (eds.), Handbook of Macroeconomics, 3-64, Amsterdam: Elsevier.
  • TAYLOR, H.M. and S. KARLIN, (1984), An Introduction to Stochastic Modeling, Orlando, Filorida: Academic Press.
  • Türkiye İstatistik Kurumu. (2006), İstatistik Göstergeler: 1923-2005, Ankara: Türkiye İstatistik Kurumu Matbaası.
  • UTKULU, U. and H. KAHYAOĞLU, (2005), “Ticari ve Finansal Dışa Açıklık Türkiye’de Büyümeyi Nasıl Etkiledi?,” Türkiye Ekonomi Kurumu Tartışma Metinleri, No: 2005/13, http://www.tek.org.tr/dosyalar/Utkulu-2005.pdf (05/05/2006)
  • UTKULU, U. and D. ÖZDEMİR, (2004), “Does Trade Liberalization Cause a Long Run Economic Growth in Turkey?,” Economics of Planning, 37,

AN ANALYSIS OF BUSINESS CYCLES UNDER REGIME SHIFTS: THE TURKISH ECONOMY AND INDUSTRIAL SECTOR

Yıl 2008, Cilt: 23 Sayı: 2 - Cilt: 23 Sayı: 2, 135 - 151, 25.07.2016

Öz

This paper analyzes the time series behavior of the annual growth rate of Turkey’s GDP and growth rate of its industrial sector GDP’s. Drawing on the work of Hamilton (1989), we examine the two series for evidence of periodic, discrete shifts in the mean using a two-state Markov regime switching model. The results provide strong evidence that shifts in the mean of the growth process both general and sectoral is a prominent feature of the data. According to probability results, there is one switch between the regimes in general growth process and there are five switches in industrial sector growth process.

Kaynakça

  • BROCK, W. A., W. DECHERT, and J. SCHEİNKMAN, (1987), “A Test for Independence Based on the Correlation Dimension,” Working Paper, University of Wisconsin at Madison, University of Houston and University of Chicago.
  • BROWN, R. L., J. DURBİN, and J. M. EVANS, (1975), “Techniques for Testing the Constancy of Regression Relationships over Time,” Journal of the Royal Statistical Society, B37, 149-192.
  • CHOW, G. (1960), “Tests of the Equality between Two Sets of Coefficients in Two Linear Regressions,” Econometrica, 28, 561-605.
  • ÇINLAR, E. (1975), Introduction to Stochastic Processes, N.J.: Englewood Cliffs.
  • Devlet İstatistik Enstitüsü, (1973), Türkiye Milli Geliri, Kaynak ve Yöntemler: 1948-1972, Ankara, Devlet İstatistik Enstitüsü Matbaası.
  • DURLAUF, S., N. (2001), “Manifesto for Growth Econometrics,” Journal of Econometrics, 100, 65-69.
  • FARLEY, J. U. and M. J. HİNİSH. (1970), “A Test of a Shifting Slope Coefficient in a Linear Model,” Journal of the American Statistical Association, 65, 1321-1329.
  • GOLDFELD, S. M. and R., E. QUANDT, (1973), “A Markov Model for Switching Regressions,” Journal of Econometrics, 1, 3-16.
  • GRANGER, C. W. J. (1993), “Strategies for Modelling Nonlinear Time Series Relationships,” The Economic Record, 69, 233-238.
  • GRAY, S. F. (1995), “An Analysis of Conditional Regime-Switching Models,” Working Paper, Fuqua School of Business, Duke University, Durham, NC.
  • HAMILTON, J. D. (1989), “A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle,” Econometrica, 57(2), 357-384.
  • HAMILTON, J. D. (1994), Time Series Analysis, Princeton, N. J: Princeton University Press.
  • KIM, Chang-Jin and C. R. NELSON, (1999), State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications, Cambridge, Massachusetts: The MIT Press.
  • Mcleod, A. I. and LI, W. K. (1983), “Diagnostic Checking ARMA Time Series Models Using Squared Residual Autocorrelations,” Journal of Time Series Analysis, 4, 269–273.
  • ÖZDEMİR, Z.A. and H. Olgun, (2007), “Foreign Exchange Crises, Structural Shifts and Volatility: An Interpretation of the Turkish Case,” The Journal of International Trade and Diplomacy, 1(2), 3-139-158.
  • QUANDT, R. E. (1972), “A New Approach to Estimating Switching Regressions,” Journal of the American Statistical Association, 55,
  • QUANDT, R. E. (1960), “Tests of the Hypothesis that Linear Regression System Obeys Two Separate Regimes,” Journal of the American Statistical Association, 67, 306-310.
  • QUANDT, R. E. (1958), “The Estimation of Parameters of A Linear Regression System Obeying Two Separate Regimes,” Journal of the American Statistical Association, 53, 873-880.
  • RAMSEY, J. B. (1969), “Tests for Specification Error in Classical Linear Least Squares Regressions Analysis,” Journal of Royal Statistical Society, B31, 250-271.
  • ROSS, S. M. (1983), Stochastic Processes, New York: John Wiley.
  • STOCK, J. H. (1987), “Measuring Business Cycle Time,” Journal of Political Economy, 95, 1240-1261.
  • STOCK, J. H. and M. W. WATSON, (1989), “New Indexes of Coincident and Leading Indicators,” in O. J. Blanchard and S. Fischer (Eds.), MBER Macroeconomics Annual, 351-393, Cambridge: MIT Press.
  • STOCK, J. H. and M. W. WATSON, (1993), “A Procedure for Predicting Recessions with Leading Indicators: Econometric Issues and Recent Experiences,” in J. H. Stock and M. W. Watson (Eds.), Business Cycles, Indicators and Forecasting, 95-156, Chicago: Chicago University Press.
  • STOCK, J. H. and M. W. WATSON, (1999), “Business Cycle Fluctuations in US Macroeconomic Time Series,” in J. B. Taylor and M. Woodford (eds.), Handbook of Macroeconomics, 3-64, Amsterdam: Elsevier.
  • TAYLOR, H.M. and S. KARLIN, (1984), An Introduction to Stochastic Modeling, Orlando, Filorida: Academic Press.
  • Türkiye İstatistik Kurumu. (2006), İstatistik Göstergeler: 1923-2005, Ankara: Türkiye İstatistik Kurumu Matbaası.
  • UTKULU, U. and H. KAHYAOĞLU, (2005), “Ticari ve Finansal Dışa Açıklık Türkiye’de Büyümeyi Nasıl Etkiledi?,” Türkiye Ekonomi Kurumu Tartışma Metinleri, No: 2005/13, http://www.tek.org.tr/dosyalar/Utkulu-2005.pdf (05/05/2006)
  • UTKULU, U. and D. ÖZDEMİR, (2004), “Does Trade Liberalization Cause a Long Run Economic Growth in Turkey?,” Economics of Planning, 37,
Toplam 28 adet kaynakça vardır.

Ayrıntılar

Diğer ID JA38EK39CS
Bölüm Makaleler
Yazarlar

Şenay Açıkgöz Bu kişi benim

Yayımlanma Tarihi 25 Temmuz 2016
Yayımlandığı Sayı Yıl 2008 Cilt: 23 Sayı: 2 - Cilt: 23 Sayı: 2

Kaynak Göster

APA Açıkgöz, Ş. (2016). REJİM DEĞİŞİMİ ALTINDA TÜRKİYE EKONOMİSİNİN VE SANAYİ SEKTÖRÜNÜN DEVRESEL HAREKETLERİNİN ANALİZİ. Dokuz Eylül Üniversitesi İktisadi İdari Bilimler Fakültesi Dergisi, 23(2), 135-151.
AMA Açıkgöz Ş. REJİM DEĞİŞİMİ ALTINDA TÜRKİYE EKONOMİSİNİN VE SANAYİ SEKTÖRÜNÜN DEVRESEL HAREKETLERİNİN ANALİZİ. Dokuz Eylül Üniversitesi İktisadi İdari Bilimler Fakültesi Dergisi. Temmuz 2016;23(2):135-151.
Chicago Açıkgöz, Şenay. “REJİM DEĞİŞİMİ ALTINDA TÜRKİYE EKONOMİSİNİN VE SANAYİ SEKTÖRÜNÜN DEVRESEL HAREKETLERİNİN ANALİZİ”. Dokuz Eylül Üniversitesi İktisadi İdari Bilimler Fakültesi Dergisi 23, sy. 2 (Temmuz 2016): 135-51.
EndNote Açıkgöz Ş (01 Temmuz 2016) REJİM DEĞİŞİMİ ALTINDA TÜRKİYE EKONOMİSİNİN VE SANAYİ SEKTÖRÜNÜN DEVRESEL HAREKETLERİNİN ANALİZİ. Dokuz Eylül Üniversitesi İktisadi İdari Bilimler Fakültesi Dergisi 23 2 135–151.
IEEE Ş. Açıkgöz, “REJİM DEĞİŞİMİ ALTINDA TÜRKİYE EKONOMİSİNİN VE SANAYİ SEKTÖRÜNÜN DEVRESEL HAREKETLERİNİN ANALİZİ”, Dokuz Eylül Üniversitesi İktisadi İdari Bilimler Fakültesi Dergisi, c. 23, sy. 2, ss. 135–151, 2016.
ISNAD Açıkgöz, Şenay. “REJİM DEĞİŞİMİ ALTINDA TÜRKİYE EKONOMİSİNİN VE SANAYİ SEKTÖRÜNÜN DEVRESEL HAREKETLERİNİN ANALİZİ”. Dokuz Eylül Üniversitesi İktisadi İdari Bilimler Fakültesi Dergisi 23/2 (Temmuz 2016), 135-151.
JAMA Açıkgöz Ş. REJİM DEĞİŞİMİ ALTINDA TÜRKİYE EKONOMİSİNİN VE SANAYİ SEKTÖRÜNÜN DEVRESEL HAREKETLERİNİN ANALİZİ. Dokuz Eylül Üniversitesi İktisadi İdari Bilimler Fakültesi Dergisi. 2016;23:135–151.
MLA Açıkgöz, Şenay. “REJİM DEĞİŞİMİ ALTINDA TÜRKİYE EKONOMİSİNİN VE SANAYİ SEKTÖRÜNÜN DEVRESEL HAREKETLERİNİN ANALİZİ”. Dokuz Eylül Üniversitesi İktisadi İdari Bilimler Fakültesi Dergisi, c. 23, sy. 2, 2016, ss. 135-51.
Vancouver Açıkgöz Ş. REJİM DEĞİŞİMİ ALTINDA TÜRKİYE EKONOMİSİNİN VE SANAYİ SEKTÖRÜNÜN DEVRESEL HAREKETLERİNİN ANALİZİ. Dokuz Eylül Üniversitesi İktisadi İdari Bilimler Fakültesi Dergisi. 2016;23(2):135-51.