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Öğe Forecasting with second-order approximations and markov-switching DSGE models(Springer, 2020) Ivashchenko, Sergey; Çekin, Semih Emre; Kotze, Kevin; Gupta, Rangan; Çekin, Semih EmreThis paper considers the out-of-sample forecasting performance of first- and second-order perturbation approximations for DSGE models that incorporate Markov-switching behaviour in the policy reaction function and the volatility of shocks. The results suggest that second-order approximations provide an improved forecasting performance in models that do not allow for regime-switching, while for the MS-DSGE models, a first-order approximation would appear to provide better out-of-sample properties. In addition, we find that over short-horizons, the MS-DSGE models provide superior forecasting results when compared to those models that do not allow for regime-switching (at both perturbation orders).Öğe Measuring co-dependencies of economic policy uncertainty in Latin American countries using vine copulas(Elsevier Science Inc, 2020) Çekin, Semih Emre; Pradhan, Ashis Kumar; Tiwari, Aviral Kumar; Gupta, RanganWe analyze the dependence structure of economic policy uncertainty in four Latin American economies (Brazil, Chile, Colombia, Mexico) using vine copula modeling with various forms of tail dependence. Our results suggest that there are significant dependencies in economic uncertainty among the economies considered and that tail dependence is more prevalent in the period preceding the Global Financial Crisis and becomes less relevant in the post-crisis period. Previous works suggest that uncertainty in economic activity can have substantial effects on economic issues ranging from business cycles to contagion effects of financial crises. Correspondingly, our results have significant implications on the analysis of macroeconomic activity and contagion of financial crises, especially for emerging economies. (C) 2019 Board of Trustees of the University of Illinois. Published by Elsevier Inc. All rights reserved.Öğe Real-time forecast of DSGE models with time-varying volatility in GARCH form(Elsevier Science Inc, 2024) Cekin, Semih Emre; Ivashchenko, Sergey; Gupta, Rangan; Lee, Chien-ChiangRecent research shows that time -varying volatility plays a crucial role in non-linear modeling. Contributing to this literature, we suggest an approach that allows for straightforward computation of DSGE models with timevarying volatility, where the volatility component is formulated as a GARCH process. As an application of our approach, we examine the forecasting performance of this DSGE-GARCH model using euro area real-time data. Our findings suggest that the DSGE-GARCH approach is superior in out -of -sample forecasting performance in comparison to various other benchmarks for the forecast of inflation rates, output growth and interest rates, especially in the short term. Comparing our approach to the widely used stochastic volatility specification using in -sample forecasts, we also show that the DSGE-GARCH is superior in in -sample forecast quality and computational efficiency. In addition to these results, our approach reveals interesting properties and dynamics of time -varying correlations (conditional correlations).Öğe The relationship between monetary policy and uncertainty in advanced economies: evidence from time- and frequency-domains(Elsevier B.V., 2020) Çekin, Semih Emre; Hkiri, Besma; Tiwari, Aviral Kumar; Gupta, RanganIn this work we offer new insight into the relationship between interest rates and uncertainty for several advanced economies (Canada, Euro Area, Japan, UK, US) for the period 2003?2018. For this purpose, we utilize wavelets, which allow us to analyze how the relationship changes over time and across different frequencies, and to make inference about causality. We also use the daily shadow interest rate measure of Krippner (2012), (2013) to capture the stance of monetary policy making at the zero lower bound, and the uncertainty measure by Scotti (2016) to measure uncertainty related to the real economy. Our findings suggest that there is significant co-movement over time and across different frequencies in all the countries we analyze. Corresponding to the similar, yet different conduct of monetary policy, we also find that the relationship exhibits different characteristics and causality in all the economies we analyze, implying that one must be careful not to draw generalized conclusions. © 2020Öğe The Taylor curve: international evidence(Taylor & Francis Online, 2021) Çekin, Semih Emre; Gupta, Rangan; Olson, EricWe use the Taylor curve to gauge deviations of monetary policy from an efficiency locus for the United Kingdom (UK) and the four largest economies of the Eurozone (Germany, France, Italy, Spain) for the period 2000–2018. For this purpose, we use shadow interest rates, which is a common metric for both conventional and unconventional monetary policies, and the newly proposed Hamilton-filter to measure output gap, which improves upon the drawbacks of the traditionally used Hodrick–Prescott filter. Our findings suggest that deviations in the UK mostly occurred amid the global financial crisis and the post-Brexit period, whereas Eurozone members experienced more volatile deviations around 2001, during the global financial crisis and the Eurozone sovereign debt crisis.
