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Persistency of Output Fluctuations : The Case of Turkey


  • Aslihan Atabek Demirhan


According to the conventional view, fluctuations in real gross national product (GNP) represent temporary changes of economic output from its long-term trend that treats real GNP as a trend stationary rather than unit root process. Examination of this conventional view is crucial since the properties of the fluctuations has an important role in estimation, forecasting and consequently for the evaluation of the economic relationships. The aim of this study is to investigate the persistency of output fluctuations in Turkey. For this purpose two widely used methods are applied. One of them uses parametric approach for measuring the persistency and the other uses non-parametric approach. Results of these two approaches show that fluctuations of output are not transitory completely as it was presumed by conventional macroeconomic view.

Suggested Citation

  • Aslihan Atabek Demirhan, 2005. "Persistency of Output Fluctuations : The Case of Turkey," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 5(1), pages 9-21.
  • Handle: RePEc:tcb:cebare:v:5:y:2005:i:1:p:9-21

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    References listed on IDEAS

    1. Cochrane, John H, 1988. "How Big Is the Random Walk in GNP?," Journal of Political Economy, University of Chicago Press, vol. 96(5), pages 893-920, October.
    2. John Y. Campbell & N. Gregory Mankiw, 1987. "Are Output Fluctuations Transitory?," The Quarterly Journal of Economics, Oxford University Press, vol. 102(4), pages 857-880.
    3. Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-384, March.
    4. Neftci, Salih N, 1984. "Are Economic Time Series Asymmetric over the Business Cycle?," Journal of Political Economy, University of Chicago Press, vol. 92(2), pages 307-328, April.
    5. Nelson, Charles R. & Plosser, Charles I., 1982. "Trends and random walks in macroeconmic time series : Some evidence and implications," Journal of Monetary Economics, Elsevier, vol. 10(2), pages 139-162.
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    More about this item


    Persistence; ARMA Modeling; Nonparametric Estimation;

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles


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