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Sectoral Business Cycle Asymmetries and Regime Shifts: Evidence from Turkey

Author

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  • Ozdemir, Dicle

    (Department of Economics, Faculty of Economics and Administrative Sciences, Mugla Sitki Kocman University, Kotekli Kampusu, 48000, Mugla, Turkey.)

Abstract

The aim of this paper is to fit Markov regime switching behavior models to the sectoral GDP growth rates in Turkey for the period 1998: Q1 to 2019: Q2. The findings support the existence of two regimes as low-growth and high-growth for all three sectors. The mean growth rate of the total GDP is closer to the mean growth rate of the industry sector than to the mean growth rate of the agricultural and services sectors. Moreover, the regime volatilities are higher in the low-growth regime for the industry and services sectors and vice versa for the agricultural sector and the total GDP. The results also show that the high-growth regime periods are longer than the low-growth regime periods. Finally, it is observed that there are more frequent fluctuations in the agricultural sector than the other sectors’ cycles based on the smoothed probabilities for low-growth regime. Moreover, since 2016 till now, the services sector’s regime switching behavior is associated with the lowgrowth regimes of GDP, which indicates that Turkey's largely free-market economy is driven by the services sector. The findings also show that Markov switching model used in this study provides an advantage to model the nonlinearities in GDP fluctuations which assume different behaviors in different regime periods.

Suggested Citation

  • Ozdemir, Dicle, 2019. "Sectoral Business Cycle Asymmetries and Regime Shifts: Evidence from Turkey," Asian Journal of Applied Economics/ Applied Economics Journal, Kasetsart University, Faculty of Economics, Center for Applied Economic Research, vol. 26(2), pages 59-80, December.
    • Handle: RePEc:ris:apecjn:0035
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    Cited by:

    1. Seuk Wai Phoong & Seuk Yen Phoong & Shi Ling Khek, 2022. "Systematic Literature Review With Bibliometric Analysis on Markov Switching Model: Methods and Applications," SAGE Open, , vol. 12(2), pages 21582440221, April.

    More about this item

    Keywords

    business cycle; growth; Markov regime switching model;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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