마코프 국면전환 모형으로 살펴 본 신흥시장 터키 경제 불확실성의 결정요인

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.

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