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Avrasya Ekonometri �statistik ve Ampirik Ekonomi DergisiYl:2020 Say: 16 Alan: Matematiksel ktisat

K. Batu TUNAY, Necla TUNAY
TRKYEDE EKONOMK FAALYET DALGALANMALARININ ANALZ: ALTERNATF FLTRELERLE DNAMK FAKTR MODELLEMES
 
Bu almada Trkiyede ekonomik faaliyet dalgalanmalar dinamik faktr modelleri yardmyla analiz edilmektedir. Sanayi retimi, istihdam, kur, faiz ve fiyat hareketleri, cari denge ve borsa endeksindeki deiim gibi gzlenen deikenlerden hareketle gzlenemeyen ekonomik faaliyet tahmin edilmitir. ki adml bir tahmin sreci benimsenmi ve aylk verilerle 2005 ile 2020 aras dnem incelenmitir. Temel bileenler yntemi ile hesaplanan balang deerleri kullanlarak alternatif filtrelerle nihai faktrler ve faktr ykleri hesaplanmtr. Bu balamda Kalman filtresi ve Kalaba ve Tesfatsionun esnek en kk kareler tahmincileri kullanlmtr. Sz konusu tahmincilerin olduka yakn tahmin performanslar olduu saptanmtr. Ekonomik faaliyeti yanstan faktr tahmini, 2008deki Kresel Krizin ve 2018 Austos ayndaki kur okunun ardndan iki nemli daralma meydana geldiini gstermitir. 2011 balarnda ekonominin rneklem dnemindeki en yksek genileme dzeyine ulat saptanmtr.

Anahtar Kelimeler: Ekonomik Faaliyet Dalgalanmas, Dinamik Faktr Modelleri, Kalman Filtresi, Esnek En Kk Kareler Tahmincisi


ANALYSIS OF FLUCTUATIONS IN ECONOMIC ACTIVITY IN TURKEY: A DYNAMIC FACTOR MODELING WITH ALTERNATIVE FILTERS
 
This study is analyzed fluctuations in economic activity in Turkey with the help of dynamic factor models. Economic activity, which cannot be observed based on the observed variables such as industrial production, employment, exchange rate, interest and price movements, current balance and change in stock market index, has been estimated. A two-step forecasting process was adopted and the period between 2005 and 2020 was analyzed with monthly data. Final factors and factor loads were calculated with alternative filters using the initial values calculated by the principal components method. In this context, Kalman filter and Kalaba and Tesfatsions flexible least squares estimator are used. These estimators were found to have very close estimation performances. Factor estimation reflecting economic activity showed that after the Global Crisis in 2008 and the exchange rate shock in August 2018, two important contractions occurred. It was found that the economy reached the highest expansion level in the sample period in early 2011.

Keywords: Fluctuations in Economic Activity, Dynamic Factor Models, Kalman Filter, Flexible Least Square Estimator.


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