A Duration-Dependent Regime Switching Model for an Open Emerging Economy

Alper Ozun and Mehmet Turk ()

Journal for Economic Forecasting, 2009, issue 4, 66-81

Abstract: We employ duration-dependent Markov-switching vector auto-regression (DDMSVAR) methodology to construct an economic cycle model for an emerging economy. By modifying the software codes for DDMSVAR methodology written by Pelagatti (2003), we show how to estimate the economic cycles in an emerging economy where macroeconomic shocks are suddenly observed and their levels are deep. The monthly values of net international reserves, domestic debt, inflation and industrial production in the Turkish economy from January 1989 to July 2007 are used for constructing the empirical analysis. Empirical evidence shows that DDMSVAR model can be successfully used in an emerging economy to estimate the cycles using basic macroeconomic indicators.

Keywords: duration dependent regime switching model; economic cycles; Markov models; Turkish economy (search for similar items in EconPapers)
JEL-codes: C53 E32 E37 O11 (search for similar items in EconPapers)
Date: 2009
References: Add references at CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://www.ipe.ro/rjef/rjef4_09/rjef4_09_4.pdf

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:rjr:romjef:v::y:2009:i:4:p:66-81

Access Statistics for this article

Journal for Economic Forecasting is currently edited by Lucian Liviu Albu and Corina Saman

More articles in Journal for Economic Forecasting from Institute for Economic Forecasting Contact information at EDIRC.
Bibliographic data for series maintained by Corina Saman ( this e-mail address is bad, please contact ).