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Turkiye Icin Hodrick-Prescott Filtresi Duzgunlestirme Parametresi Tahmini

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  • 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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Bibliographic Info

Paper 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.

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Date of creation: 2011
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Handle: RePEc:tcb:econot:1103

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  1. Canova, Fabio, 1998. "Detrending and business cycle facts: A user's guide," Journal of Monetary Economics, Elsevier, vol. 41(3), pages 533-540, May.
  2. Leon du Toit, 2008. "Optimal HP filtering for South Africa," Working Papers 07/2008, Stellenbosch University, Department of Economics.
  3. 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, June.
  4. Aguiar, Mark & Gopinath, Gita, 2007. "Emerging Market Business Cycles: The Cycle is the Trend," Scholarly Articles 11988098, Harvard University Department of Economics.
  5. 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.
  6. 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.
  7. 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.
  8. Canova, Fabio, 1993. "Detrending and Business Cycle Facts," CEPR Discussion Papers 782, C.E.P.R. Discussion Papers.
  9. César Calderón & Rodrigo Fuentes., 2011. "Characterizing the Business Cycles of Emerging Economies," Documentos de Trabajo 371, Instituto de Economia. Pontificia Universidad Católica de Chile..
  10. Everts, Martin, 2006. "Duration of Business Cycles," MPRA Paper 1219, University Library of Munich, Germany.
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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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