터키 경제 불확실성의 주성분 분석

• 영문명: Principal Component Analysis of Economic Uncertainty in Turkey
• 발행기관: 한국이슬람학회
• 저자명: 양오석(Yang, Oh-Suk) 김태중(Kim, Tae-Joong)
• 간행물 정보: 『한국이슬람학회논총』제27권 1호, 131~156쪽, 전체 26쪽
• 주제분류: 인문학 > 종교학
• 파일형태: PDF
• 발행일자: 2017.02.28

영문 초록

The guiding research question of this study is to discover whether the principal component analysis leads us to the advanced understanding of economic uncertainty in Turkey. The time frame covers June 2004 to August 2016 and the basic components of economic uncertainty in Turkey consist of foreign exchange rate(to US dollars), overnight call interest rate, credit default swap spread(maturity 5 years), BIST National All Share Index, MSCI Turkey Index, JPM EMBI Turkey Index, JPM EMBI Composite Index. The main findings are twofold: JPM EMBI Indexes, BIST National All Share Index, and foreign exchange rate are the main principal components in the case of 3 months moving average, whilst JPM EMBI Indexes, BIST National All Share Index, and financial stress(national credit) are in the case of 6 months moving average.

목차

Ⅰ. 서론

Ⅱ. 이론적 배경

III. 분석

IV. 토론

V. 결론

키워드

Economic Uncertainty Turkey Principal Component Analysis EGARCH