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GDP Volatility Spillovers from the US and EU to Turkey: A Dynamic Investigation

Author

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  • P. Fulya Gebeşoğlu

    (Undersecretariat of Treasury, Ankara, Turkey)

  • Hasan Murat Ertuğrul

    (Undersecretariat of Treasury, Ankara, Turkey)

Abstract

Our paper examines the dynamics of GDP volatility spillover from the US and the EU to Turkey. The associated volatilities are derived through the SWARCH (switching autoregressive conditional heteroscedasticity) model, proposed by Hamilton and Susmel (1994). We use the Kalman filter to analyze these spillover effects between first-quarter 1995 and fourth-quarter 2013. We identify significant cross-country spillover effects from the US to Turkey, especially during global financial crises. However, we do not find any notable volatility spillover from the EU to Turkey.

Suggested Citation

  • P. Fulya Gebeşoğlu & Hasan Murat Ertuğrul, 2014. "GDP Volatility Spillovers from the US and EU to Turkey: A Dynamic Investigation," Ekonomi-tek - International Economics Journal, Turkish Economic Association, vol. 3(2), pages 51-66, May.
    • Handle: RePEc:tek:journl:v:3:y:2014:i:2:p:51-66
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    More about this item

    Keywords

    GDP volatility spillover; ARCH; Kalman filter; spillover effect;
    All these keywords.

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics

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