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An analysis of regime shifts in the Turkish economy

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  • Yilmazkuday, Hakan
  • Akay, Koray

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.

Suggested Citation

  • Yilmazkuday, Hakan & Akay, Koray, 2008. "An analysis of regime shifts in the Turkish economy," Economic Modelling, Elsevier, vol. 25(5), pages 885-898, September.
  • Handle: RePEc:eee:ecmode:v:25:y:2008:i:5:p:885-898
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    References listed on IDEAS

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    1. Calvo, Guillermo A. & Vegh, Carlos A., 1999. "Inflation stabilization and bop crises in developing countries," Handbook of Macroeconomics,in: J. B. Taylor & M. Woodford (ed.), Handbook of Macroeconomics, edition 1, volume 1, chapter 24, pages 1531-1614 Elsevier.
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    Cited by:

    1. Hakan Yilmazkuday, 2009. "The Effects of Currency Crises in Emerging Markets on the Industrial Sector: An Alternative Regime-Shifting Approach," Emerging Markets Finance and Trade, M.E. Sharpe, Inc., vol. 45(1), pages 31-48, January.
    2. Burak Saltoglu & M. Ege Yazgan, 2012. "The Role of Regime Shifts in the Term Structure of Interest Rates: Further Evidence from an Emerging Market," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 48(S5), pages 48-63, November.
    3. Arslanturk, Yalcin & Balcilar, Mehmet & Ozdemir, Zeynel Abidin, 2011. "Time-varying linkages between tourism receipts and economic growth in a small open economy," Economic Modelling, Elsevier, vol. 28(1), pages 664-671.
    4. Wajih Khallouli & Mahmoud Sami Nabi, 2010. "Financial Crises’ Prevention and Recovery," Working Papers 529, Economic Research Forum, revised 06 Jan 2010.
    5. Yilmazkuday, Hakan, 2009. "Inflation Targeting and Inflation Convergence within Turkey," MPRA Paper 16770, University Library of Munich, Germany.
    6. Burak Saltoglu & M. Ege Yazgan, 2012. "The Role of Regime Shifts in the Term Structure of Interest Rates: Further Evidence from an Emerging Market," Emerging Markets Finance and Trade, M.E. Sharpe, Inc., vol. 48(S5), pages 48-63, November.

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