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Beklentilerin Ekonomi Uzerine Etkileri: MS-VAR Yaklasimi

Author

Listed:
  • Melike Bildirici

    () (Yildiz Technical University)

  • Umit Bozoklu

    (Yildiz Technical University)

Abstract

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.

Suggested Citation

  • Melike Bildirici & Umit Bozoklu, 2010. "Beklentilerin Ekonomi Uzerine Etkileri: MS-VAR Yaklasimi," Koç University-TUSIAD Economic Research Forum Working Papers 1019, Koc University-TUSIAD Economic Research Forum.
  • Handle: RePEc:koc:wpaper:1019
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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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    Keywords

    MS-VAR; Beklentiler;

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