Examining the Asymmetric Behavior across the Phases of Capacity Utilization Rates in Turkey
DOI:
https://doi.org/10.6000/1929-7092.2015.04.16Keywords:
Capacity Utilization Rate, Manufacturing Industry, Markov Switching ModelsAbstract
This is the first study that explicitly models and characterizes the asymmetric state dependent dynamics of the Turkish capacity utilization rates of the manufacturing industry. The analysis employs hidden Markov models to the mean and variance that are robust to potential structural breaks. The model parameters are estimated using EM algorithm together with the nonlinear filter to provide the maximum likelihood estimates without imposing any a priori restrictions on model parameters and infer the states through statistical estimation. The results reveal nonlinearity, determine the number of regimes and identify the nonlinear heteroscedasticity across different phases. The paper provides the smoothed probabilities of low, moderate and high capacity utilization regimes along with the fitted values for the Turkish capacity utilization rates. A three state specification with regime-dependent mean and variance dynamics is identified. The study also employs the estimated transition probabilities and determines the durations and persistence of staying in each particular regime for the capacity utilization rate fluctuations of the manufacturing industry in Turkey.References
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http://dx.doi.org/10.1016/0304-4076(90)90093-9
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http://dx.doi.org/10.1016/0304-4076(86)90026-6
Kim, C.-J., & Nelson, C. R. (1999). Has the US economy become more stable? A Bayesian approach based on a Markov-switching model of the business cycle. Review of Economics and Statistics, 81(4), 608-616.
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Krolzig, H.-M. (1997). Markov-switching vector autoregressions (modelling, statistical interference, and application to business cycle analysis). Lecture notes in economics and mathematical systems.
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Morley, J., & Piger, J. (2012). The asymmetric business cycle. Review of Economics and Statistics, 94(1), 208-221
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Phillips, Peter CB, & Pierre Perron. ""Testing for a Unit Root in Time Series Regression."" Biometrika 75, no. 2 (1988): 335-346.
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Palaka, K., Erlebacher, S., & Kropp, D. H. (1998). Lead-time setting, capacity utilization, and pricing decisions under lead-time dependent demand. Iie Transactions, 30(2), 151-163.
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Stock, James H., & Mark W. Watson. ""Understanding Changes in International Business Cycle Dynamics."" Journal of the European Economic Association 3, no. 5 (2005): 968-1006.
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Sunal, S., & Aykaç, E. (2005). Türk ?malat Sanayinde ?stihdam, ?hracat Ve Kapasite Kullan?m Oran? ?li?kisi: Panel Koentegrasyon. VII National Econometrics and Statistics Symposium, 1-24
http://dx.doi.org/10.1016/S0014-2921(86)80001-0
Chauvet, M. (2002). The Brazilian business and growth cycles. Revista Brasileira de Economia, 56(1), 75-106.
http://dx.doi.org/10.1590/S0034-71402002000100003
Davies, R. B. (1987). Hypothesis testing when a nuisance parameter is present only under the alternative. Biometrika, 74(1), 33-43.
Dempster, A. P., Laird, N. M., & Rubin, D. B. (1977). Maximum likelihood from incomplete data via the EM algorithm. Journal of the Royal Statistical Society. Series B (Methodological), 1-38.
Dickey, David A., &Wayne A. Fuller. ""Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root."" Econometrica: Journal of the Econometric Society (1981): 1057-1072.
http://dx.doi.org/10.2307/1912517
Hamilton, J. D. (1990). Analysis of time series subject to changes in regime. Journal of econometrics, 45(1), 39-70.
http://dx.doi.org/10.1016/0304-4076(90)90093-9
Hulten, C. R. (1986). Productivity change, capacity utilization, and the sources of efficiency growth. Journal of econometrics, 33(1), 31-50.
http://dx.doi.org/10.1016/0304-4076(86)90026-6
Kim, C.-J., & Nelson, C. R. (1999). Has the US economy become more stable? A Bayesian approach based on a Markov-switching model of the business cycle. Review of Economics and Statistics, 81(4), 608-616.
http://dx.doi.org/10.1162/003465399558472
King, R. G., & Rebelo, S. T. (1999). Resuscitating real business cycles.Handbook of macroeconomics, 1, 927-1007.
http://dx.doi.org/10.1016/S1574-0048(99)10022-3
Krolzig, H.-M. (1997). Markov-switching vector autoregressions (modelling, statistical interference, and application to business cycle analysis). Lecture notes in economics and mathematical systems.
Liu, Z., Waggoner, D. F., & Zha, T. (2011). Sources of macroeconomic fluctuations: A regime?switching DSGE approach. Quantitative Economics,2(2), 251-301.
http://dx.doi.org/10.3982/QE71
Morley, J., & Piger, J. (2012). The asymmetric business cycle. Review of Economics and Statistics, 94(1), 208-221
http://dx.doi.org/10.1162/REST_a_00169
Phillips, Peter CB, & Pierre Perron. ""Testing for a Unit Root in Time Series Regression."" Biometrika 75, no. 2 (1988): 335-346.
http://dx.doi.org/10.1093/biomet/75.2.335
Palaka, K., Erlebacher, S., & Kropp, D. H. (1998). Lead-time setting, capacity utilization, and pricing decisions under lead-time dependent demand. Iie Transactions, 30(2), 151-163.
http://dx.doi.org/10.1080/07408179808966447
Stock, James H., & Mark W. Watson. ""Understanding Changes in International Business Cycle Dynamics."" Journal of the European Economic Association 3, no. 5 (2005): 968-1006.
http://dx.doi.org/10.1162/1542476054729446
Sunal, S., & Aykaç, E. (2005). Türk ?malat Sanayinde ?stihdam, ?hracat Ve Kapasite Kullan?m Oran? ?li?kisi: Panel Koentegrasyon. VII National Econometrics and Statistics Symposium, 1-24
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Published
2015-10-22
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Baycan, I. O. (2015). Examining the Asymmetric Behavior across the Phases of Capacity Utilization Rates in Turkey. Journal of Reviews on Global Economics, 4, 159–164. https://doi.org/10.6000/1929-7092.2015.04.16
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