Türkiye İçin Finansal Koşulların Bir Analizi: Faktör ve VAR Modellerinden Bulgular

Öz

Bu çalışma 1992:1 ve 2015:12 dönemini kapsayacak şekilde Türkiye için alternatif finansal koşullar endekslerinin (FKE) hesaplanması ve öngörü güçlerinin değerlendirilmesini amaçlamaktadır. Bu çerçevede, ilk olarak finansal koşullar endeksleri dört metodolojiye dayanılarak elde edilmiştir: İndirgenmiş form talep denklemleri, VAR genelleştirilmiş etki-tepki fonksiyonları, dinamik faktör modeli ve faktör-genişletilmiş VAR modelleri (FAVARs). Çalışmanın ikinci kısmında alternatif FKE’ler sanayi üretim açığını örneklem içi ve örneklem dışı öngörü gücü açısından karşılaştırılmıştır. Sonuçlar eş varyanslı FAVAR yönteminden elde edilen FKE’nin en iyi örneklem dışı öngörüyü sağladığını ortaya koymaktadır, bu nedenle söz konusu FKE iktisadi aktivitenin öncül bir göstergesi olarak önerilmektedir.   

Anahtar Kelimeler

• Finansal Koşullar Endeksi,VAR,Dinamik Faktör Modeli,FAVAR

An Analysis of Financial Conditions for Turkey: Evidences from Factor and VAR models

Öz

This paper aims to calculate alternative financial conditions indexes (FCIs) and evaluate the forecasting performance of them for Turkey covering the period 1992:1 and 2015:12. For this purpose, first financial conditions indexes are constructed based on four methodologies: Reduced form demand functions, VAR generalized impulse-response functions, dynamic factor model and factor-augmented VAR models (FAVARs). In the second part of the study the performance of the alternative FCIs are assessed in terms their in-sample and out-of-sample forecasting ability to industrial production gap. The results suggest that the FCI obtained from the homoscedastic FAVAR model provides the best  out-of-sample forecasts, hence it is suggested as a leading indicator of economic activity.

Anahtar Kelimeler

• Financial Conditions Index,VAR,Dynamic Factor Model,FAVAR

Kaynakça

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