IDEAS home Printed from https://ideas.repec.org/a/iif/iifjrn/v26y2011i306p09-23.html
   My bibliography  Save this article

Estimating Optimal Hodrick-Prescott Filter Smoothing Parameter for Turkey

Author

Listed:
  • Harun ALP

    (Türkiye Cumhuriyet Merkez Bankası)

  • Yusuf Soner BAŞKAYA

    (Türkiye Cumhuriyet Merkez Bankası)

  • Mustafa KILINÇ

    (Türkiye Cumhuriyet Merkez Bankası)

  • Canan YÜKSEL

    (Türkiye Cumhuriyet Merkez Bankası)

Abstract

This study aims at estimating the optimal smoothing parameter for Hodrick-Prescott filter for Turkey using 1987-2007 quarterly real Gross Domestic Product (GDP) data. Two alternative methods, proposed by Pedersen (2001) and Dermoune et al (2008) are used for estimation which gives the values for the HP Filter smoothing parameter for Turkey as 98 and 19, respectively. Using these estimates, we find that (1) estimated trend component of Turkish GDP is very volatile, which is in line with the conjectures of Aguiar and Gopinath (2007) for emerging market countries (2) absolute volatilities for the cyclical variations in GDP and its components are smaller compared to 1600 (3) our estimates give similar results with the frequently used smoothing parameter value in terms of relative volatility of components of GDP with respect to volatility of GDP.

Suggested Citation

  • Harun ALP & Yusuf Soner BAŞKAYA & Mustafa KILINÇ & Canan YÜKSEL, 2011. "Estimating Optimal Hodrick-Prescott Filter Smoothing Parameter for Turkey," Iktisat Isletme ve Finans, Bilgesel Yayincilik, vol. 26(306), pages 09-23.
  • Handle: RePEc:iif:iifjrn:v:26:y:2011:i:306:p:09-23
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Burcu Gurcihan Yunculer & Gonul Sengul & Arzu Yavuz, 2014. "A Quest for Leading Indicators of the Turkish Unemployment Rate," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 14(1), pages 23-45.
    2. Ufuk Demiroglu & Cagri Sarikaya, 2013. "The Capacity Buildup over the Past Decade and the Capacity Utilization Rate in Turkey," CBT Research Notes in Economics 1312, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    3. Evren Erdogan Cosar & Sevim Kosem & Cagri Sarikaya, 2012. "Alternatif Cikti Acigi Gostergeleri," CBT Research Notes in Economics 1222, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    4. Temel Taskin, 2013. "Intensive margin and extensive margin adjustments of labor market: Turkey versus United States," Economics Bulletin, AccessEcon, vol. 33(3), pages 2307-2319.
    5. 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.
    6. Murat Ungor, 2012. "A Production Function Method of Estimating the Output Gap," CBT Research Notes in Economics 1219, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    7. Aslihan Atabek Demirhan & Evren Erdogan Cosar, 2012. "Iktisadi Faaliyet Analizi : Oncu Gostergeler ve Ekonomi Saati Yaklasimi," CBT Research Notes in Economics 1202, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    8. Yusuf Soner Baskaya & Gonul Sengul, 2012. "Turkiye’de Emek Piyasasinin Cevrimsel Hareketinin Cinsiyet Bazinda Analizi," CBT Research Notes in Economics 1209, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    9. Huseyin Cagri Akkoyun & Bahar Sen Dogan & Mahmut Gunay, 2011. "Turkiye Ekonomisi Is Cevrimlerinin Kuresel Ekonomi ile Iliskisi," CBT Research Notes in Economics 1119, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.

    More about this item

    Keywords

    Hodrick-Prescott filter; Optimal Filtering; Detrending; Business Cycles;

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:iif:iifjrn:v:26:y:2011:i:306:p:09-23. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ali Bilge). General contact details of provider: http://iif.com.tr .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.