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Dergiler / 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
Sayfa
195–202
Yayın Tarihi
2018-04-25
DOI
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⚡ TL;DR(1 Cümlede Hızlı Çıkarım)

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 Maddede Bu Makale

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Amaç & Hipotez:The output volatility can cause the recession in the economy by random shocks.
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Temel Bulgular & Veri:Growth volatility, output variability, fluctuation in output, and business cycle volatility are used as the output uncertainty in the literature.
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Sonuç & Katkı: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.
🔬Tür:Araştırma Makalesi
📍Kapsam:2017 Verileri
⚙️Değişkenler:Stochastic volatility · Markov regime switching model · output uncertainty

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.

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.

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Bu Makaleye Atıf Yap

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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Kaynakça (10)

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