An analysis of regime shifts in the Turkish economy

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Date

2008

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Volume Title

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Elsevier

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info:eu-repo/semantics/closedAccess

DOI

10.1016/j.econmod.2007.11.013

Abstract

We use a time-varying dynamic factor model with regime switching to construct and estimate the leading indicators of the currency crises in Turkey. After that, we analyze the business cycles of the Turkish economy, by using a three-state univariate Markov-switching model. Both models capture the observed dynamics of the Turkish economy over the period 1987-2002. (C) 2007 Elsevier B.V. All rights reserved.

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Keywords

Currency Crisis , Markov-Switching , Time-Varying Parameter , Three-State Model , Turkey , Likelihood Ratio Test , Exchange-Rates , Markov , Series

Journal or Series

Economic Modelling

WoS Q Value

Q4

Scopus Q Value

Q1

Volume

25

Issue

5

Citation

URI

https://doi.org/10.1016/j.econmod.2007.11.013
 https://hdl.handle.net/11411/7333

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info:eu-repo/semantics/closedAccess