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마코프 국면전환 모형으로 살펴 본 신흥시장 터키 경제 불확실성의 결정요인

Determinants of the Economic Uncertainty in the Emerging Turkish Market: Markov Regime Switching Model

한재훈|양오석
중동문제연구소 (The Institute of Middle East)|2017.06|중동문제연구 (Journal of Middle Eastern Affairs)|제16권 제2호|pp. 75-106

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변동성Volatility마코프 국면전환 모형Turkey터키신흥시장경제 불확실성Emerging MarketEconomic UncertaintyMarkov Regime Switching Model
주제분류지역학

초록

This paper examines the determinants of the economic uncertainty in the emerging Turkish market covering 2004-2016 daily empirical market-specific, risk-specific, and country-specific attributes. Employing the Markov Regime Switching Model, the main findings of this study are as follows: first, generally speaking, determinants of the economic uncertainty in Turkey refer to foreign exchange rates, bond market uncertainty, economic climate, counter party risk, emerging market risk, and strategic independency on imports; second, it is during high regime volatility that foreign exchange rates, bond market uncertainty, economic climate, counter-party risk, emerging market risk, and strategic independency on imports determine economic uncertainty, whilst foreign exchange rate, economic climate, counter-party risk, and strategic independency on imports determine economic uncertainty during low regime volatility.

Abstract

This paper examines the determinants of the economic uncertainty in the emerging Turkish market covering 2004-2016 daily empirical market-specific, risk-specific, and country-specific attributes. Employing the Markov Regime Switching Model, the main findings of this study are as follows: first, generally speaking, determinants of the economic uncertainty in Turkey refer to foreign exchange rates, bond market uncertainty, economic climate, counter party risk, emerging market risk, and strategic independency on imports; second, it is during high regime volatility that foreign exchange rates, bond market uncertainty, economic climate, counter-party risk, emerging market risk, and strategic independency on imports determine economic uncertainty, whilst foreign exchange rate, economic climate, counter-party risk, and strategic independency on imports determine economic uncertainty during low regime volatility.

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