An Analysis of Regime Shifts in the Turkish Economy

42 Pages Posted: 22 Jun 2007 Last revised: 26 May 2010

See all articles by Hakan Yilmazkuday

Hakan Yilmazkuday

Florida International University (FIU) - Department of Economics

Koray Akay

Istanbul Bilgi University - Department of Economics

Date Written: January 1, 2008

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 Classification: E44, E52, E62

Suggested Citation

Yilmazkuday, Hakan and Akay, Koray, An Analysis of Regime Shifts in the Turkish Economy (January 1, 2008). Economic Modelling, Vol. 25, No. 5, pp. 885-898, 2008, Available at SSRN: https://ssrn.com/abstract=995557

Hakan Yilmazkuday (Contact Author)

Florida International University (FIU) - Department of Economics ( email )

11200 SW 8th Street
Miami, FL 33199
United States

HOME PAGE: http://faculty.fiu.edu/~hyilmazk/

Koray Akay

Istanbul Bilgi University - Department of Economics ( email )

Kustepe, Istanbul, 80310
Turkey

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