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Structural VAR identification of the Turkish business cycles

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  • Levent, Korap

Abstract

In this paper, we investigate some of the main properties of the Turkish business cycles. Our empirical findings indicate that domestic inflation is countercyclical with real output and lags the GDP cycle by one quarter. We then construct a structural VAR model upon the Turkish economy, and estimate that the courses of real variables are mainly determined by the supply shocks, while both real and nominal shocks affect significantly the dynamics of the nominal variables.

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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 21971.

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Date of creation: 2007
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Handle: RePEc:pra:mprapa:21971

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Keywords: Business Cycles ; Turkish Economy ; SVAR Models ;

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  1. Martin Meurers, 2006. "Identifying Determinants of Germany's International Price Competitiveness: A Structural VAR Approach," OECD Economics Department Working Papers 523, OECD Publishing.
  2. Fiorito, Riccardo & Kollintzas, Tryphon, 1994. "Stylized facts of business cycles in the G7 from a real business cycles perspective," European Economic Review, Elsevier, Elsevier, vol. 38(2), pages 235-269, February.
  3. Paul Cashin & Sam Ouliaris, 2001. "Key Features of Australian Business Cycles," IMF Working Papers 01/171, International Monetary Fund.
  4. Ahmed, S. & Ickes, B. & Wang, P. & Yoo, S., 1989. "International Business Cycles," Papers, Pennsylvania State - Department of Economics 7-89-4, Pennsylvania State - Department of Economics.
  5. David K. Backus & Patrick J. Kehoe, 1991. "International evidence on the historical properties of business cycles," Staff Report, Federal Reserve Bank of Minneapolis 145, Federal Reserve Bank of Minneapolis.
  6. Brunner, Karl & Meltzer, Allan H., 1977. "Stabilization of the domestic and international economy," Carnegie-Rochester Conference Series on Public Policy, Elsevier, Elsevier, vol. 5(1), pages 1-6, January.
  7. Hakan Berument & N. Nergiz Dincer, 2004. "Do Capital Flows Improve Macroeconomic Performance in Emerging Markets? : The Turkish Experience," Emerging Markets Finance and Trade, M.E. Sharpe, Inc., M.E. Sharpe, Inc., vol. 40(4), pages 20-32, July.
  8. Yilmaz, K. & Altug, S., 1998. "Asset Returns, Inflation and Real Activity: The Case of Mexico and Turkey," Papers, Koc University 1998/03, Koc University.
  9. Canova, Fabio, 1993. "Detrending and Business Cycle Facts," CEPR Discussion Papers, C.E.P.R. Discussion Papers 782, C.E.P.R. Discussion Papers.
  10. Paul Cashin, 2004. "Caribbean Business Cycles," IMF Working Papers 04/136, International Monetary Fund.
  11. Finn E. Kydland & Calos E.J.M.Zarazaga, 1997. "Is the business cycle of Argentina "different?"," Economic and Financial Policy Review, Federal Reserve Bank of Dallas, Federal Reserve Bank of Dallas, issue Q IV, pages 21-36.
  12. Olivier Jean Blanchard & Danny Quah, 1988. "The Dynamic Effects of Aggregate Demand and Supply Disturbances," NBER Working Papers 2737, National Bureau of Economic Research, Inc.
  13. McCoy, Daniel, 1997. "How useful is Structural VAR Analysis for Irish economics?," Research Technical Papers 2/RT/97, Central Bank of Ireland.
  14. Ahmed, Shaghil & Park, Jae Ha, 1994. "Sources of macroeconomic fluctuations in small open economies," Journal of Macroeconomics, Elsevier, Elsevier, vol. 16(1), pages 1-36.
  15. Lucas, Robert E., 1977. "Understanding business cycles," Carnegie-Rochester Conference Series on Public Policy, Elsevier, Elsevier, vol. 5(1), pages 7-29, January.
  16. Cem Saatcioglu & Levent Korap, 2006. "Determinants of Turkish Inflation," Working Papers, Turkish Economic Association 2006/7, Turkish Economic Association.
  17. Apostolos Serletis & David Krause, 1996. "Nominal stylized facts of U. S. business cycles," Review, Federal Reserve Bank of St. Louis, Federal Reserve Bank of St. Louis, issue Jul, pages 49-54.
  18. C. John McDermott & Eswar Prasad & Pierre-Richard Agénor, 1999. "Macroeconomic Fluctuations in Developing Countries," IMF Working Papers 99/35, International Monetary Fund.
  19. Robert A Buckle & Kunhong Kim & Heather Kirkham & Nathan McLellan & Jared Sharma, 2002. "A structural VAR model of the New Zealand business cycle," Treasury Working Paper Series 02/26, New Zealand Treasury.
  20. Finn E. Kydland & Edward C. Prescott, 1990. "Business cycles: real facts and a monetary myth," Quarterly Review, Federal Reserve Bank of Minneapolis, Federal Reserve Bank of Minneapolis, issue Spr, pages 3-18.
  21. C. Emre Alper, 2000. "Stylized Facts of Business Cycles, Excess Volatility and Capital Flows: Evidence from Mexico and Turkey," Working Papers, Bogazici University, Department of Economics 2000/11, Bogazici University, Department of Economics.
  22. Alexander W. Hoffmaister & Jorge Roldos, 1997. "Are Business Cycles Different in Asia and Latin America?," IMF Working Papers 97/9, International Monetary Fund.
  23. J. Humberto Lopez & Stefania Fabrizio & Angel J. Ubide, 1997. "How Long is the Long Run? a Dynamic Analysis of the Spanish Business Cycle," IMF Working Papers 97/74, International Monetary Fund.
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Cited by:
  1. Levent, Korap, 2007. "Does the interest differential explain future exchange rate return? a re-examination of the UIP hypothesis for the Turkish economy," MPRA Paper 19618, University Library of Munich, Germany.

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