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Beklentilerin Ekonomi Uzerine Etkileri: MS-VAR Yaklasimi

Listed author(s):
  • Melike Bildirici

    ()

    (Yildiz Technical University)

  • Umit Bozoklu

    (Yildiz Technical University)

Calismanin temel amaci, coklu denge baglaminda beklentinin, belirsizligin ve inancin ekonomi uzerindeki etkisini olcmektir. Bu cercevede, Hamilton (1989) tarafindan gelistirilen, ekonometrik uygulamalarda yaygin olarak kullanilan ve rejim degisim modeli olarak bilinen Markov degisim modeline iliskin kuramsal cercevenin incelenmesi ve soz konusu dogrusal olmayan zaman serisi modelinin Krolzig (1997) tarafindan gelistirilen cok degiskenli versiyonunun (MS-VAR) Turkiye icin uygulanmasini icermektedir. Beklentinin ekonomi uzerindeki etkisini test etmek icin Sanayi Uretim Endeksi (SUE), Reel Kesim Guven Endeksi (RKGE) ve Istanbul Menkul Kiymetler Borsasi Ulusal 100 Endeksinden (IMKB) hareket edilecektir. Oncelikle degiskenlere derinlik, diklik ve keskinlik asimetrileri uygulanacaktir. Daha sonra ise MS-VAR modeli baglaminda iki ayrý model kullanilarak, beklentinin ve inancin ekonomi uzerindeki etkisi analiz edilecektir.

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File URL: http://eaf.ku.edu.tr/sites/eaf.ku.edu.tr/files/erf_wp_1019.pdf
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Paper provided by Koc University-TUSIAD Economic Research Forum in its series Koç University-TUSIAD Economic Research Forum Working Papers with number 1019.

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Length: 41 pages
Date of creation: Jun 2010
Handle: RePEc:koc:wpaper:1019
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