- Niğde Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi
- Vol: 11 Issue: 2
- Regime Switching Stochastic Volatility: The Output Growth Behaviour
Regime Switching Stochastic Volatility: The Output Growth Behaviour
Authors : Mehmet Kenan TERZİOĞLU
Pages : 195-202
Doi:10.25287/ohuiibf.407225
View : 9 | Download : 3
Publication Date : 2018-04-25
Article Type : Research
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. R egime switching and the stochastic volatility is combined within this paper to explain the behaviour of output growth and its volatility. Moreover, t his 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 is used instead of quarterly basis GDP between 1987: 01-2017: 04 monthly periods.Keywords : Stochastic volatility, Markov regime switching model, output uncertainty, causality