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Journals / Ömer Halisdemir Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi / 2018 / Cilt: 11 - Sayı: 2

Regime Switching Stochastic Volatility: The Output Growth Behaviour

Mehmet Kenan TERZİOĞLU
Pages
195–202
Publication Date
2018-04-25
DOI
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AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

In the scope of the study, a single economic variable is preferred as a reference series and, although GDP is the “reference” series that determines the situation of economic activity, monthly industrial production index series is used instead of quarterly basis GDP between 1987: 01-2017: 04 monthly periods.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:The output volatility can cause the recession in the economy by random shocks.
📊
Key Findings & Data:Growth volatility, output variability, fluctuation in output, and business cycle volatility are used as the output uncertainty in the literature.
💡
Conclusion & Impact:In the scope of the study, a single economic variable is preferred as a reference series and, although GDP is the “reference” series that determines the situation of economic activity, monthly industrial production index series is used instead of quarterly basis GDP between 1987: 01-2017: 04 monthly periods.
🔬Design:Research Article
📍Scope:2017 Verileri
⚙️Variables:Stochastic volatility · Markov regime switching model · output uncertainty

Abstract

The output volatility can cause the recession in the economy by random shocks. Growth volatility, output variability, fluctuation in output, and business cycle volatility are used as the output uncertainty in the literature. Regime switching and the stochastic volatility is combined within this paper to explain the behaviour of output growth and its volatility. Moreover, this study pointed out the sign and direction of the relation between output growth and its uncertainty in Turkey as a developing country. In the scope of the study, a single economic variable is preferred as a reference series and, although GDP is the “reference” series that determines the situation of economic activity, monthly industrial production index series is used instead of quarterly basis GDP between 1987: 01-2017: 04 monthly periods.

Özet

The output volatility can cause the recession in the economy by random shocks. Growth volatility, output variability, fluctuation in output, and business cycle volatility are used as the output uncertainty in the literature. Regime switching and the stochastic volatility is combined within this paper to explain the behaviour of output growth and its volatility. Moreover, this study pointed out the sign and direction of the relation between output growth and its uncertainty in Turkey as a developing country. In the scope of the study, a single economic variable is preferred as a reference series and, although GDP is the “reference” series that determines the situation of economic activity, monthly industrial production index series is used instead of quarterly basis GDP between 1987: 01-2017: 04 monthly periods.

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Cite This Article

TERZİOĞLU, M. K. (2018). Regime Switching Stochastic Volatility: The Output Growth Behaviour. Ömer Halisdemir Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, Cilt: 11 - Sayı: 2, 195–202. https://ajindex.com/articles/155690

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