Çok değişkenli rejim değişimi modelleri ile Türkiye’de durgunlukların analizi

Bu çalışmada, Türkiye’de durgunlukların MD-VAB ve SBMD VAB modelleriyle analiz edilmeleri ve temel özelliklerinin belirlenmesi amaçlanmıştır. 1987:1 ve 2010:4 dönemi üç aylık verileri kullanılarak yapılan tahminlerde, durgunluk ve genişleme dönemleri arasındaki rejim değişmelerinin karşılıklı bağlılık gösterdikleri belirlenmiştir. Genişleme dönemleri uzadıkça, onları izleyen durgunluk dönemlerinin de uzadığı tespit edilmiştir. Ayrıca, durgunlukların ortalama süresinin altı ay ve genişleme dönemlerinin ortalama süresinin de kırk ay olduğu sonucuna varılmıştır. Son olarak her iki modelin de örneklem içi kestirim sonuçları incelendiğinde, referans durgunluk serisini büyük oranda yansıttıkları gözlenmiştir.

Analysis of recessions in Turkey with multivariate regime switching models

This study aims to analyze and determine basic features of recessions in Turkey using MS-VAR and DDMS-VAR models. Estimations made using by quarterly data between periods of 1987:1 and 2010:4, determine that regime changes between recession and expansion periods show interdependence. If expansion periods lengthen, recession period following that expansion period lenghten too. Also, study concludes that average duration of recessions are six months and average duration of expansions are forty months. Finally, the results of in-sample forecast of both models drastically reflect reference recessions.

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