turkmath.org

Türkiye'deki Matematiksel Etkinlikler


01 Aralık 2015, 15:30


Orta Doğu Teknik Üniversitesi Uygulamalı Matematik Enstitüsü Seminerleri

Can The Control Charts be Used to Construct Early Warning Systems in Economics? Pilot Studies from Energy and Finance.

Özlem Türker Bayrak
Çankaya Üniversity, Türkiye

In today’s world, it is vital to foresee the changes in relations between macroeconomic variables to be pre-active by developing appropriate mitigation policies in the case of emerging global crisis. Therefore, constructing early warning systems becomes crucial in a global scale. This requires observing cross sectional data over time, named as longitudinal or panel data. Although the aim of panel data analysis is to model differences in behavior across individuals, ours is to capture shifts over time in macroeconomic relations constructed by the use of cross sectional data. However, adjusting these techniques to construct early warning systems is not so direct since structural break tests can detect the changes after they occur which is too late. Thus, we establish the relation between macroeconomic variables by linear regression method at each point in time separately. Then, to observe the behavior over time for early warning global crisis, we introduce the linear profile control charts, a tool newly being developed in statistical process control. In these charts, it is assumed that the explanatory variables’ values do not change from profile to profile and there is no correlation between profiles. However since we are dealing with economical and finance data both of these assumptions become invalid. Thus we adopt these charts to take into account both violations and see whether the global crisis can be detected before they occur. For this purpose two pilot studies are performed. One models the relation between GDP and energy consumption while the other models the relation between GDP and stock exchange and tries to capture the crisis by monitoring these relations with the use of two different control charts. The appropriateness of them is discussed as well as the comparison of their performances.
Ekonomi ve Finans İngilizce
IAM - S209

admin 20.03.2020

Yaklaşan Seminerler Seminer Arşivi
 

İLETİŞİM

Akademik biriminizin ya da çalışma grubunuzun ülkemizde gerçekleşen etkinliklerini, ilan etmek istediğiniz burs, ödül, akademik iş imkanlarını veya konuk ettiğiniz matematikçileri basit bir veri girişi ile kolayca turkmath.org sitesinde ücretsiz duyurabilirsiniz. Sisteme giriş yapmak için gerekli bilgileri almak ya da görüş ve önerilerinizi bildirmek için iletişime geçmekten çekinmeyiniz. Katkı verenler listesi için tıklayınız.

Özkan Değer ozkandeger@gmail.com

DESTEK VERENLER

ja2019

31. Journees Arithmetiques Konferansı Organizasyon Komitesi

Web sitesinin masraflarının karşılanması ve hizmetine devam edebilmesi için siz de bağış yapmak, sponsor olmak veya reklam vermek için lütfen iletişime geçiniz.

ONLİNE ZİYARETÇİLER


©2013-2020 turkmath.org
Tüm hakları saklıdır