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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. Ali Ari & Raif Cergibozan, 2016. "The Twin Crises: Determinants of Banking and Currency Crises in the Turkish Economy," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 52(1), pages 123-135, January.
    2. Hasan Güngör & Salih Turan Katircioglu & Mehmet Mercan, 2014. "Revisiting the nexus between financial development, FDI, and growth: New evidence from second generation econometric procedures in the Turkish context," Acta Oeconomica, Akadémiai Kiadó, Hungary, vol. 64(1), pages 73-89, March.
    3. Hakan Yilmazkuday, 2013. "Inflation targeting, flexible exchange rates and inflation convergence," Applied Economics, Taylor & Francis Journals, vol. 45(5), pages 593-603, February.
    4. Senay Acikgoz & Mehmet Balcilar & Bedriye Saracoglu, 2012. "Openness and financial development: time series evidence for Turkey," International Journal of Banking, Accounting and Finance, Inderscience Enterprises Ltd, vol. 4(2), pages 172-201.
    5. 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, Taylor & Francis Journals, vol. 45(1), pages 31-48, January.
    6. Zeynep Senyuz & Emre Yoldas & Ismail Onur Baycan, 2014. "Cyclical Dynamics of the Turkish Economy and the Stock Market," International Economic Journal, Taylor & Francis Journals, vol. 28(3), pages 405-423, September.
    7. Yilmazkuday, Hakan, 2009. "Inflation Targeting and Inflation Convergence within Turkey," MPRA Paper 16770, University Library of Munich, Germany.
    8. 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.
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    Cited by:

    1. 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.
    2. Wajih Khallouli & Mahmoud Sami Nabi, 2010. "Financial Crises’ Prevention and Recovery," Working Papers 529, Economic Research Forum, revised 06 Jan 2010.
    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(1-2), pages 664-671, January.
    4. Hakan Yilmazkuday, 2008. "Twin Crises in Turkey: A Comparison of Currency Crisis Models," European Journal of Comparative Economics, Cattaneo University (LIUC), vol. 5(1), pages 107-124, June.
    5. Ari, Ali, 2012. "Early warning systems for currency crises: The Turkish case," Economic Systems, Elsevier, vol. 36(3), pages 391-410.
    6. Yilmazkuday, Hakan, 2009. "Inflation Targeting and Inflation Convergence within Turkey," MPRA Paper 16770, University Library of Munich, Germany.

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