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- Title
REGIME SWITCHING STOCHASTIC VOLATILITY: OUTPUT GROWTH BEHAVIOUR.
- Authors
TERZİOĞLU, M. Kenan
- 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, high frequency data, is used between 1987: 01-2017: 04 monthly periods to reveal better the structure of the volatility instead of quarterly basis GDP.
- Subjects
MARKET volatility; ECONOMIC development; BUSINESS cycles; GROSS domestic product; INDUSTRIAL productivity
- Publication
Omer Halisdemir Universitesi Iktisadi ve Idari Bilimler Fakültesi Dergisi, 2018, Vol 11, Issue 2, p195
- ISSN
2564-6931
- Publication type
Article
- DOI
10.25287/ohuiibf.407225