Identifying Turkish business cycle regimes in real time
Küçük Resim Yok
Tarih
2020
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Routledge Journals, Taylor & Francis Ltd
Erişim Hakkı
info:eu-repo/semantics/closedAccess
Özet
In this study, we analyse the real-time identification performance of the BBQ method and the Markov switching (MS) model in the case of Turkey by comparing their real-time and ex-post identification results between 1997M01-2017M12. We show that both the BBQ and the MS methodologies identify the nearly same turning point dates for the Turkish economy both ex-post and in real time by using a pseudo real-time data set. We also calculate the real-time identification lag of models and show that the MS model and the BBQ method identify a turning point with a 3-4 months lag and a 6 months lag, respectively. Finally, we show that data revisions do not have a significant impact on the real-time identification performance of the models between 2005M01-2017M12.
Açıklama
Anahtar Kelimeler
Business Cycles, Turning Points, Markov Switching, Bbq, Turkey, Series
Kaynak
Applied Economics Letters
WoS Q Değeri
Q4
Scopus Q Değeri
Q2
Cilt
27
Sayı
1
