Identifying Turkish business cycle regimes in real time

Barış Soybilgen

Applied Economics Letters, 2020, vol. 27, issue 1, 62-66

Abstract: In this study, we analyse the real-time identification performance of the BBQ method and the Markov switching (MS) model in the case of Turkey by comparing their real-time and ex-post identification results between 1997M01-2017M12. We show that both the BBQ and the MS methodologies identify the nearly same turning point dates for the Turkish economy both ex-post and in real time by using a pseudo real-time data set. We also calculate the real-time identification lag of models and show that the MS model and the BBQ method identify a turning point with a 3–4 months lag and a 6 months lag, respectively. Finally, we show that data revisions do not have a significant impact on the real-time identification performance of the models between 2005M01-2017M12.

Date: 2020
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DOI: 10.1080/13504851.2019.1607243

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