Turkiye Icin Hodrick-Prescott Filtresi Duzgunlestirme Parametresi Tahmini
Abstract[TR] Bu notta, is cevrimleri analizlerinde kullanilan Hodrick-Prescott (HP) filtresindeki duzgunlestirme parametresi, 1987 : 1-2007 : 3 donemi Turkiye reel Gayri Safi Yurt Ici Hasila verileri kullanilarak iki farkli yontemle tahmin edilmektedir. Is cevrimi ozellikleri, ceyreklik verilerde duzgunlestirme parametresi icin yazinda sikca kullanilan 1600’un yani sira bu optimal degerler ile de incelenmekte ve sonuclar karsilastirilmaktadir. Calismanin bulgulari is cevrimi analizlerinde kullanilan HP filtresinde optimal parametre seciminin onemli oldugunu, is cevrimlerine dair gozlenen ayirt edici ozelliklerin bu parametre degerine duyarli oldugunu ortaya koymaktadir. [EN] In this note, the smoothing parameter for Hodrick-Prescott filter, which is used for analyzing business cycles, is estimated by two methods using Turkish real Gross Domestic Product data for 1987 : 1-2007 : 3 period. In additon, we compare the business cycle characteristics associated with optimally estimated smoothing parameter values with those associated with of 1600, which is frequently-used for quarterly data. The findings suggest that optimal choice of the smoothing parameter used in the HP filter is important since observed business cycle characteristics are sensitive to the parameter choice.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Research and Monetary Policy Department, Central Bank of the Republic of Turkey in its series CBT Research Notes in Economics with number 1103.
Date of creation: 2011
Date of revision:
Contact details of provider:
Postal: Head Office, Istiklal Cad. 10 Ulus, 06100 Ankara
Phone: (90 312) 507 5000
Fax: (90 312) 507 5640
Web page: http://www.tcmb.gov.tr/
More information through EDIRC
This paper has been announced in the following NEP Reports:
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Canova, Fabio, 1993.
"Detrending and Business Cycle Facts,"
CEPR Discussion Papers
782, C.E.P.R. Discussion Papers.
- CÃ©sar CalderÃ³n & Rodrigo Fuentes., 2011.
"Characterizing the Business Cycles of Emerging Economies,"
Documentos de Trabajo
371, Instituto de Economia. Pontificia Universidad Católica de Chile..
- Calderon, Cesar & Fuentes, Rodrigo, 2010. "Characterizing the business cycles of emerging economies," Policy Research Working Paper Series 5343, The World Bank.
- 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.
- Everts, Martin, 2006. "Duration of Business Cycles," MPRA Paper 1219, University Library of Munich, Germany.
- Leon du Toit, 2008. "Optimal HP filtering for South Africa," Working Papers 07/2008, Stellenbosch University, Department of Economics.
- Canova, Fabio, 1998. "Detrending and business cycle facts: A user's guide," Journal of Monetary Economics, Elsevier, vol. 41(3), pages 533-540, May.
- Gerhard Bry & Charlotte Boschan, 1971. "Foreword to "Cyclical Analysis of Time Series: Selected Procedures and Computer Programs"," NBER Chapters, in: Cyclical Analysis of Time Series: Selected Procedures and Computer Programs, pages -1 National Bureau of Economic Research, Inc.
- Gerhard Bry & Charlotte Boschan, 1971. "Cyclical Analysis of Time Series: Selected Procedures and Computer Programs," NBER Books, National Bureau of Economic Research, Inc, number bry_71-1.
- Inklaar, Robert & Jacobs, Jan & Romp, Ward, 2003.
"Business cycle indexes: does a heap of data help?,"
CCSO Working Papers
200312, University of Groningen, CCSO Centre for Economic Research.
- Robert Inklaar & Jan Jacobs & Ward Romp, 2004. "Business Cycle Indexes: Does a Heap of Data Help?," Journal of Business Cycle Measurement and Analysis, OECD Publishing,CIRET, vol. 2004(3), pages 309-336.
- Birol Kanik & Enes Sunel & Temel Taskin, 2012. "Beveridge Egrisi ve Eslesme Fonksiyonu : Turkiye Ornegi," CBT Research Notes in Economics 1224, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Soner Baskaya).
If references are entirely missing, you can add them using this form.