Download This PaperAn Analysis of Regime Shifts in the Turkish Economy
42 Pages Posted: 22 Jun 2007 Last revised: 26 May 2010
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: 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
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