A Duration-Dependent Regime Switching Model for an Open Emerging Economy
AbstractWe employ duration-dependent Markov-switching vector auto-regression (DDMSVAR) methodology to construct an economic cycle model for an emerging economy. By modifying the software codes for DDMSVAR methodology written by Pelagatti (2003), we show how to estimate the economic cycles in an emerging economy where macroeconomic shocks are suddenly observed and their levels are deep. The monthly values of net international reserves, domestic debt, inflation and industrial production in the Turkish economy from January 1989 to July 2007 are used for constructing the empirical analysis. Empirical evidence shows that DDMSVAR model can be successfully used in an emerging economy to estimate the cycles using basic macroeconomic indicators.
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Bibliographic InfoArticle provided by Institute for Economic Forecasting in its journal Romanian Journal for Economic Forecasting.
Volume (Year): (2009)
Issue (Month): 4 (December)
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duration dependent regime switching model; economic cycles; Markov models; Turkish economy;
Find related papers by JEL classification:
- 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
- O11 - Economic Development, Technological Change, and Growth - - Economic Development - - - Macroeconomic Analyses of Economic Development
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
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- Vítor Castro, 2011.
"The Portuguese Stock Market Cycle: Chronology and Duration Dependence,"
NIPE Working Papers
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- Vitor Castro, 2011. "The Portuguese Stock Market Cycle: Chronology and Duration Dependence," GEMF Working Papers 2011-17, GEMF - Faculdade de Economia, Universidade de Coimbra.
- Vitor Castro, 2011.
"The Portuguese Business Cycle: Chronology and Duration Dependence,"
GEMF Working Papers
2011-07, GEMF - Faculdade de Economia, Universidade de Coimbra.
- Vítor Castro, 2011. "The Portuguese Business Cycle: Chronology and Duration Dependence," NIPE Working Papers 11/2011, NIPE - Universidade do Minho.
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