An Analysis of Financial Conditions for Turkey: Evidences from Factor and VAR models
Makaleler > Tam Makale · 2017
Yazarlar: Coskun AKDENİZ, Abdurrahman Nazif ÇATIK
ESKISEHIR OSMANGAZI UNIVERSITESI IIBF DERGISI-ESKISEHIR OSMANGAZI UNIVERSITY JOURNAL OF ECONOMICS AND ADMINISTRATIVE SCIENCES, SCI Expanded İndekslerine Giren Dergi, Uluslararası, 2017, cilt 12, ss 99-120
Özet
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.