Türkiye İçin Finansal Koşulların Bir Analizi: Faktör ve VAR Modellerinden Bulgular

Yıl 2017, Cilt: 12 Sayı: 1, 99 - 120, 01.04.2017

Coşkun Akdeniz , Abdurrahman Nazif Çatık

https://doi.org/10.17153/oguiibf.298767

Cited By: 6

Öz

Bu
çalışma 1992:1 ve 2015:12 dönemini kapsayacak şekilde Türkiye için alternatif
finansal koşullar endekslerinin (FKE)
hesaplanması ve öngörü güçlerinin değerlendirilmesini
amaçlamaktadır. Bu çerçevede, ilk olarak finansal koşullar endeksleri dört metodolojiye
dayanılarak elde edilmiştir: İndirgenmiş form talep denklemleri, VAR genelleştirilmiş
etki-tepki fonksiyonları, dinamik faktör modeli ve faktör-genişletilmiş VAR
modelleri (FAVARs). Çalışmanın ikinci kısmında alternatif FKE’ler sanayi üretim
açığını örneklem içi ve örneklem dışı öngörü gücü açısından
karşılaştırılmıştır. Sonuçlar eş varyanslı FAVAR yönteminden elde edilen
FKE’nin en iyi örneklem dışı öngörüyü sağladığını ortaya koymaktadır, bu
nedenle söz konusu FKE iktisadi aktivitenin öncül bir göstergesi olarak
önerilmektedir.   

Anahtar Kelimeler

Finansal Koşullar Endeksi, VAR, Dinamik Faktör Modeli, FAVAR

An Analysis of Financial Conditions for Turkey: Evidences from Factor and VAR models

Öz

This paper aims to calculate alternative financial conditions indexes (FCIs) and
evaluate the forecasting performance of them for Turkey covering the period
1992:1 and 2015:12. For this purpose, first financial conditions indexes are constructed based
on four methodologies: Reduced form
demand functions, VAR generalized impulse-response functions, dynamic factor
model and factor-augmented VAR models (FAVARs). In the second part of the study
the performance of the alternative
FCIs are assessed in terms their in-sample and out-of-sample forecasting
ability to industrial production gap. The results suggest that the FCI obtained
from the homoscedastic FAVAR model provides the best  out-of-sample forecasts, hence
it is suggested as a leading indicator of economic activity.

Anahtar Kelimeler

Financial Conditions Index, VAR, Dynamic Factor Model, FAVAR

Kaynakça

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