IDEAS home Printed from https://ideas.repec.org/h/spr/conchp/978-3-319-47021-4_17.html
   My bibliography  Save this book chapter

Financial Conditions Index as a Leading Indicator of Business Cycles in Turkey

In: Global Financial Crisis and Its Ramifications on Capital Markets

Author

Listed:
  • Umit Bulut

    (Ahi Evran University)

Abstract

A financial conditions index (FCI) is an instrument that is developed using some financial variables in order to predict future output and/or inflation. Therefore, some studies in the literature examine the relationship between FCI and output gap/growth to determine whether the FCI is a leading indicator of business cycles. This study aims at investigating the relationship between output gap and FCI for Turkey by utilizing quarterly data covering the period 2005:1–2015:3. In other words, the study examines whether the FCI can be a leading indicator of business cycles in Turkey. For this purpose, the study, first, presents an FCI that has been recently developed for Turkey and reveals that the FCI is able to present the developments in the Turkish economy and in the world. Second, the study employs unit root tests and cointegration tests. The study finally performs vector autoregressive (VAR) analysis and the bootstrap Granger causality test to examine the relationship between FCI and output gap in Turkey. Both VAR analysis and the bootstrap Granger causality test indicate that the FCI has predictive power in forecasting future output gap in Turkey. Based on these findings, this study yields that the FCI in this study can be used as a leading indicator of business cycles in Turkey.

Suggested Citation

  • Umit Bulut, 2017. "Financial Conditions Index as a Leading Indicator of Business Cycles in Turkey," Contributions to Economics, in: Ümit Hacioğlu & Hasan Dinçer (ed.), Global Financial Crisis and Its Ramifications on Capital Markets, pages 225-239, Springer.
    • Handle: RePEc:spr:conchp:978-3-319-47021-4_17
    DOI: 10.1007/978-3-319-47021-4_17
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    More about this item

    Keywords

    Financial conditions index; Business cycles; Leading indicator; Vector autoregressive analysis; Bootstrap Granger causality test;
    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
    • C43 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Index Numbers and Aggregation
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:conchp:978-3-319-47021-4_17. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.