Türkiye’de durgunlukların mars yöntemi ile tahmini ve kestirimi

Bu çalışmada Türkiye’de durgunlukların tahmin ve kestiriminin yapılması amaçlanmaktadır. NBER’in tanımlaması temel alınarak belirlenen durgunluk olaylarına dair gözlemler kullanılarak, MARS yöntemiyle örneklem içi kestirimler yapılmıştır. Parametrik ve doğrusal olmayan MARS yöntemi kestirimlerde önemli üstünlükler sunmaktadır. 1986:I-2010:IV dönemini kapsayan analizin bulguları, MARS modelinin Türkiye’deki durgunlukları başarıyla tahmin ettiğini göstermektedir. Modelin kestirim performansı da bir hayli yüksektir.

Estimation and forecasting with mars method of recessions in Turkey

In this study aims to estimate and to forecast recessions in Turkey. Using observations relating to recession cases that determined based on NBER definition, in-sample forecasting for recessions is performed by MARS method. Non-parametric and non-linear MARS method presents considerable superiorities for forecastings. The findings of analysis that contained 1986:I-2010:IV period is showed that the MARS model had successfully estimated recessions in Turkey. Forecasting performance of the model is quite high.

PDF

___

ARESTIS, Philip. (2009), “New Consensus Macroeconomics: A Critical Appraisal”, Cambridge Centre for Economic and Public Policy, Working Papers, No: WP05-09, February.
ARMESTO, Michelle T. (2009), “How Would Modern Macroeconomic Scholls of Thought Respond to Recent Economic Crisis?”, Federal Reserve Bank of St. Louis, Economic Information Newsletter, November.
BOLDER, David J. ve RUBIN, Tiago. (2007). “Optimization in a Simulation Setting: Use of Function Approximation in Debt Strategy Analysis”, Bank of Canada Working Papers, No: 2007-13.
CENCINI, Alvaro. (2003), “Neoclassical, New Classical and New Business Cycle Economics: A Critical Survey”, Research Laboratory of Monetary Economics Working Papers, No: 2003-01 (http://www.csbancari.ch/ pubblicazioni/RMElab/workingpapers.htm).
CHAUVET, Marcelle. ve POTTER, Simon. (2005), “Forecasting Recessions Using the Yield Curve”, Journal of Forecasting, 24(2), 77-103.
CHAUVET, Marcelle ve POTTER, Simon. (2001), “Forecasting Recessions Using the Yield Curve”, Federal Reserve Bank of New York, Staff Reports, No: 134, August.
CHEN, Zhihong – IQBAL, Azhar ve LAI, Huiwen. (2008), “Forecasting US Recession: Probit and Dynamic Factor Modeling Approach”, FEMES 2008, Far Eastern and South Asian Meeting of the Economic Society, 16-18 July, 2008 (http://www.economics.smu.edu.sg/femes/2008/ papers/483.pdf).
COTTRELL, Allin. (1994), “Post Keynesian Monetary Economics: A Critical Survey”, Cambridge Journal of Economics, 18, 587-605.
DUEKER, Michael J. (2005). “Dynamic Forecasts of Qualitative Variables: A Qual VAR Model of U.S. Recessions”, Journal of Business and Economic Statistics, 23(1), 96-104.
ESTRELLA, Arturo ve MISHKIN, Frederic S. (1998), “Predicting U.S. Recessions: Financial Variables as Leading Indicators”, Review of Economics and Statistics, 80(1), 45-61.
FRIEDMAN, Jerome H. (1991), “Multivariate Adaptive Regression Splines”, Annals of Statistics, 19(1), 1-67.
HANSEN, Peter R. (2009), “In-Sample and Out-of-Sample Fit: Their Joint Distribution and its Implications for Model Selection”, Stanford University Working Paper, 2008-12.
IRELAND, Peter N. (2010), “A New Keynesian Perspective on the Great Recession”, NBER Working Papers, No: 16420, September.
KATAYAMA, Munechika. (2009), “Improving Recession Probability Forecasts in the U.S. Economy”, Lousiana State University Working Papers, (http://www.bus.lsu.edu/mkatayama).
KAUPPI, Heikki ve SAIKKONEN, Pentti. (2008), “Predicting U.S. Recessions with Dynamic Binary Response Models”, Review of Economics and Statistics, 90(4), 777-791.
KHOMO, Melvin M. ve AZIAKPONO, M. Jesse. (2007), “Forecasting Recession in South Africa: A Comparison of the Yield Curve and Other Economic Indicators”, South African Journal of Economics, 75(2), 194-212.
KIANI, Khurshid. (2008), “On Forecasting Recessions via Neural Nets”, Economic Bulletin, 3(13), 1-15.
KING, Thomas B. – LEVIN, Andrew T. ve PERLI, Roberto. (2007), “Financial Market Perceptions of Recession Risk”, Federal Reserve Board, Finance and Economics Discussion Series, No: 2007-57.
KRINER, Monika. (2007), “Survival Analysis with Multivariate Adaptive Regression Splines”, Universitat München, Faculty of Mathematic, Informatic and Statistics, Doctorate Dissertation.
LEATHWICK, J.R. - ROWE, D.; RICHARDSON, J.; ELITH, J. ve HASTIE, T. (2005). “Using Multivariate Adaptive Regression Splines to Predict the Distributions of New Zealand’s Freshwater Diadromous Fish”, Freshwater Biology, 50, 2034-2052.
MANKIW, Gregory N. (1989), “Real Business Cycles: A New Keynesian Perspective”, Journal of Economic Perspectives, 3(3), 79-90.
McCRACKEN, Michael W. (2009), “How Accurate Are Forecasts in a Recession?” Federal Reserve Bank of St. Louis, Economic Synopses, No: 9, February.
McCRACKEN, Michael W. (2010), “Using Stock Market Liquidity to Forecast Recessions”, Federal Reserve Bank of St. Louis, Economic Synopses, No: 20, July.
REBELO, Sergio. (2005), “Real Business Cycle Models: Past, Present and Future”, NBER Working Papers, No: 11401, June.
RUDEBUSCH, Glenn D. ve WILLIAMS, John C. (2008), “Forecasting Recessions: The Puzzle of the Enduring Power of the Yield Curve”, Federal Reserve Bank of San Francisco, Working Paper Series, No: 2007-16, July.
SHEPTON, Peter. (2001), “Forecasting Recessions: Can We Do Beter on MARS”, Federal Reserve Bank of St. Louis Review, March/April, 39-49.
SHEPTON, Peter. (2009), “Predicting Recessions: A Regression (Probit) Model Approach”, Foresight: The International Journal of Applied Forecasting, Issue 12, Winter, 26-32.
SMITH, Douglas C. (2009), “What is Recession?”, Federal Reserve Bank of St. Louis, Economic Information Newsletter, February.
STOCK, James H. ve WATSON, Mark W. (1989), “New Indices of Coincident and Leading Economic Indicators”, NBER Macroeconomics Annual içinde, (Eds.) Oliver Blanchard ve Stanley Fisher, Vol 4, Cambridge: MIT Press, 351-394.
TAYLAN, Pakize. ve WEBER, Gerhard-Wilhelm. (2007), “Multivariate Adaptive Regression Spline and Continuous Optimization for Modern Applications in Science, Economy and Technology”, METU Institute of Applied Mathematics, Preprints, No: 2007-09.
TUNAY, K. Batu. (2001), “Türkiye’de Paranın Dolaşım Hızlarının MARS Yöntemiyle Tahmini”, ODTÜ Gelişme Dergisi, 28(3-4), 431-454.
TUNAY, K. Batu. (2007), Makro Ekonomi: Teori ve Politika, İstanbul: Arıkan Yayınevi.
TUNAY, K. Batu. (2010), “Bankacılık Krizleri ve Erken Uyarı Sistemleri: Türk Bankacılık Sektörü İçin Bir Model Önerisi”, BDDK Bankacılık ve Finansal Piyasalar Dergisi, 4(1), 9-46.
WRIGHT, Jonathan H. (2006), “The Yield Curve and Predicting Recessions”, Federal Reserve Board, Finance and Economics Discussion Series, No: 2006-07.