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Estimating Optimal Hodrick-Prescott Filter Smoothing Parameter for Turkey

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Author Info

  • Harun ALP

    (Türkiye Cumhuriyet Merkez Bankası)

  • Yusuf Soner BAŞKAYA

    (Türkiye Cumhuriyet Merkez Bankası)

  • Mustafa KILINÇ

    (Türkiye Cumhuriyet Merkez Bankası)

  • Canan YÜKSEL

    (Türkiye Cumhuriyet Merkez Bankası)

Abstract

This study aims at estimating the optimal smoothing parameter for Hodrick-Prescott filter for Turkey using 1987-2007 quarterly real Gross Domestic Product (GDP) data. Two alternative methods, proposed by Pedersen (2001) and Dermoune et al (2008) are used for estimation which gives the values for the HP Filter smoothing parameter for Turkey as 98 and 19, respectively. Using these estimates, we find that (1) estimated trend component of Turkish GDP is very volatile, which is in line with the conjectures of Aguiar and Gopinath (2007) for emerging market countries (2) absolute volatilities for the cyclical variations in GDP and its components are smaller compared to 1600 (3) our estimates give similar results with the frequently used smoothing parameter value in terms of relative volatility of components of GDP with respect to volatility of GDP.

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Bibliographic Info

Article provided by Bilgesel Yayincilik in its journal İktisat İşletme ve Finans.

Volume (Year): 26 (2011)
Issue (Month): 306 ()
Pages: 09-23

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Handle: RePEc:iif:iifjrn:v:26:y:2011:i:306:p:09-23

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Related research

Keywords: Hodrick-Prescott filter; Optimal Filtering; Detrending; Business Cycles;

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Cited by:
  1. Huseyin Cagri Akkoyun & Bahar Sen Dogan & Mahmut Gunay, 2011. "Turkiye Ekonomisi Is Cevrimlerinin Kuresel Ekonomi ile Iliskisi," CBT Research Notes in Economics 1119, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  2. Aslihan Atabek Demirhan & Evren Erdogan Cosar, 2012. "Iktisadi Faaliyet Analizi : Oncu Gostergeler ve Ekonomi Saati Yaklasimi," CBT Research Notes in Economics 1202, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  3. Yusuf Soner Baskaya & Gonul Sengul, 2012. "Turkiye’de Emek Piyasasinin Cevrimsel Hareketinin Cinsiyet Bazinda Analizi," CBT Research Notes in Economics 1209, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  4. Murat Ungor, 2012. "A Production Function Method of Estimating the Output Gap," CBT Research Notes in Economics 1219, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  5. Evren Erdogan Cosar & Sevim Kosem & Cagri Sarikaya, 2012. "Alternatif Cikti Acigi Gostergeleri," CBT Research Notes in Economics 1222, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  6. Temel Taskin, 2013. "Intensive Margin and Extensive Margin Adjustments of Labor Market : Turkey versus United States," Working Papers 1339, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  7. Harun Alp & Yusuf Soner Baskaya & Mustafa Kilinc & Canan Yuksel, 2012. "Stylized Facts for Business Cycles in Turkey," Working Papers 1202, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  8. Ufuk Demiroglu & Cagri Sarikaya, 2013. "The Capacity Buildup over the Past Decade and the Capacity Utilization Rate in Turkey," CBT Research Notes in Economics 1312, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.

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