Stylized Facts for Business Cycles in Turkey
AbstractThis study documents the stylized facts about the business cycles in Turkey using quarterly data between 1987 and 2009. In particular, we document the business cycle turning points and average duration of cycles for Turkey, as well as the optimal smoothing parameter for Hodrick-Prescott (HP) filter estimated in line with our estimate of average business cycle duration for 1987-2009 period, 20 quarters, which is shorter compared to developed countries, and comparable to other developing countries. For filtering procedure, we use this estimated parameter, in addition to 1600, in HP filter and compare our findings. We find that business cycle relationships between macroeconomic variables in Turkey are mostly in accordance with the patterns observed for developing countries, which significantly differ from developed countries’ business cycle facts. In particular, the real side of the economy is characterized by high volatility of consumption and a countercyclical pattern for net exports. Other important findings are that financial variables such as credit or sovereign spreads are very volatile and strongly correlated with output. In addition, the results show that the properties of the relationship between economic activity, prices and the interest rates differs between pre-2001 and post-2001 period, whereas the relationship among the real variables shows a smaller change between these periods.
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Bibliographic InfoPaper provided by Research and Monetary Policy Department, Central Bank of the Republic of Turkey in its series Working Papers with number 1202.
Date of creation: 2012
Date of revision:
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Web page: http://www.tcmb.gov.tr
More information through EDIRC
Nominal Business Cycle Facts; Real Business Cycle Facts; Turkish Economy;
Find related papers by JEL classification:
- E1 - Macroeconomics and Monetary Economics - - General Aggregative Models
- E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
- E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-01-18 (All new papers)
- NEP-ARA-2012-01-18 (MENA - Middle East & North Africa)
- NEP-CWA-2012-01-18 (Central & Western Asia)
- NEP-MAC-2012-01-18 (Macroeconomics)
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