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Deseasonalizing Macroeconomic Data: A Caveat to Applied Researchers in Turkey

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  • C.Emre Alper
  • S.Boragan Aruoba

Abstract

This paper analyzes the effects of regular seasonal fluctuations of macroeconomic variables in Turkey due to the religious events (religious holidays and Ramadan)[1] in monthly frequency. Conventional deterministic deseasonalization techniques are applied to the detrended and linearized major macroeconomic series. Investigation of the seasonally filtered series reveals residual seasonal regularities vis-à-vis the religious holidays and Ramadan for some of the series. Consequences of ignoring this type of seasonality are also scrutinized.

Suggested Citation

  • C.Emre Alper & S.Boragan Aruoba, 2001. "Deseasonalizing Macroeconomic Data: A Caveat to Applied Researchers in Turkey," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, vol. 5(18), pages 33-52.
    • Handle: RePEc:bor:iserev:v:5:y:2001:i:18:p:33-52
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    References listed on IDEAS

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    1. Hodrick, Robert J & Prescott, Edward C, 1997. "Postwar U.S. Business Cycles: An Empirical Investigation," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 29(1), pages 1-16, February.
    2. Michael C. Lovell, 1963. "Seasonal Adjustment of Economic Time Series and Multiple Regression," Cowles Foundation Discussion Papers 151, Cowles Foundation for Research in Economics, Yale University.
    3. Kivilcim Metin & Gulnur Muradoglu & Bilgehan Yazici, 1997. "An Analysis of the “Day of the Week Effect” on the Istanbul Stock Exchange," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, vol. 1(4), pages 15-26.
    4. King, Robert G. & Rebelo, Sergio T., 1993. "Low frequency filtering and real business cycles," Journal of Economic Dynamics and Control, Elsevier, vol. 17(1-2), pages 207-231.
    5. Cogley, Timothy & Nason, James M., 1995. "Effects of the Hodrick-Prescott filter on trend and difference stationary time series Implications for business cycle research," Journal of Economic Dynamics and Control, Elsevier, vol. 19(1-2), pages 253-278.
    6. Recep Bildik, 1998. "Day-Of-The-Week Effects in Overnight Interest Rates: Evidence from Turkish Money Markets," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, vol. 2(6), pages 49-78.
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    Cited by:

    1. Seyyed, Fazal J. & Abraham, Abraham & Al-Hajji, Mohsen, 2005. "Seasonality in stock returns and volatility: The Ramadan effect," Research in International Business and Finance, Elsevier, vol. 19(3), pages 374-383, September.
    2. Aslihan Atabek Demirhan, 2010. "Ramazan Ayinin Uretim Uzerindeki Etkisi," CBT Research Notes in Economics 1014, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    3. Irfan Ali & Waheed Akhter & Namrah Ashraf, 2017. "Impact of Muslim Holy Days on Asian stock markets: An empirical evidence," Cogent Economics & Finance, Taylor & Francis Journals, vol. 5(1), pages 1311096-131, January.

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