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An Analysis of Regime Shifts in the Turkish Economy

Koray Akay
Istanbul Bilgi University - Department of Economics

Hakan Yilmazkuday
Temple University - Department of Economics

Economic Modelling, Forthcoming

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.

Keywords: Currency Crisis, Markov-switching, Time-varying parameter, Three-state model, Turkey

JEL Classifications: E44, E52, E62

Accepted Paper Series

Date posted: June 22, 2007 ; Last revised: June 21, 2008

Suggested Citation

Yilmazkuday, Hakan and Akay, Koray, An Analysis of Regime Shifts in the Turkish Economy. Economic Modelling, Forthcoming. Available at SSRN: http://ssrn.com/abstract=995557

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Contact Information

Hakan Yilmazkuday (Contact Author) Temple University - Department of Economics ( email ) Philadelphia, PA 19122 United States
Koray Akay Istanbul Bilgi University - Department of Economics ( email ) Kustepe, Istanbul, 80310 Turkey