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Forecasting Recessions in Turkey with Qual-VAR Models

Author

Listed:
  • Tunay, K. Batu

    (Yildiz Technical University, School of Vocational Studies)

Abstract

This study aims to make out-of-sample forecasts of recessions using the data of Turkey between 1986-2010. Recession forecast is important for decision makers in every level since it increases efficiency of decision making. Forecasting method used in this study is Qual-VAR method which includes information obtained from qualitative and/or discrete variables into vector autoregressions (VAR). Qual-VAR method makes it possible to create dynamic forecasts of qualitative variable using standard VAR projections. The evaluation and interpretation of findings obtained with this method are very simple. The findings obtained indicate that a recession will not occur during next twentyfour months in Turkey. However, we can expect that the probability of a recession will be increasing after 2014.

Suggested Citation

  • Tunay, K. Batu, 2011. "Forecasting Recessions in Turkey with Qual-VAR Models," Business and Economics Research Journal, Uludag University, Faculty of Economics and Administrative Sciences, vol. 2(4), pages 1-51, October.
    • Handle: RePEc:ris:buecrj:0064
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    More about this item

    Keywords

    Recessions; forecasting; Gibbs sampling; state-space models; Qual VAR models;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C35 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications

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