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Turkiye Icin Hodrick-Prescott Filtresi Duzgunlestirme Parametresi Tahmini

Author

Listed:
  • Harun Alp
  • Yusuf Soner Baskaya
  • Mustafa Kilinc
  • Canan Yuksel

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.

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  • Harun Alp & Yusuf Soner Baskaya & Mustafa Kilinc & Canan Yuksel, 2011. "Turkiye Icin Hodrick-Prescott Filtresi Duzgunlestirme Parametresi Tahmini," CBT Research Notes in Economics 1103, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    • Handle: RePEc:tcb:econot:1103
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    References listed on IDEAS

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    Cited by:

    1. 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.

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