Structural VAR identification of the Turkish business cycles
In this paper, we investigate some of the main properties of the Turkish business cycles. Our empirical findings indicate that domestic inflation is countercyclical with real output and lags the GDP cycle by one quarter. We then construct a structural VAR model upon the Turkish economy, and estimate that the courses of real variables are mainly determined by the supply shocks, while both real and nominal shocks affect significantly the dynamics of the nominal variables.
|Date of creation:||2007|
|Contact details of provider:|| Postal: Ludwigstraße 33, D-80539 Munich, Germany|
Web page: https://mpra.ub.uni-muenchen.de
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- C. Emre Alper, 2000. "Stylized Facts of Business Cycles, Excess Volatility and Capital Flows: Evidence from Mexico and Turkey," Working Papers 2000/11, Bogazici University, Department of Economics.
- David K. Backus & Patrick J. Kehoe, 1991.
"International evidence on the historical properties of business cycles,"
145, Federal Reserve Bank of Minneapolis.
- Backus, David K & Kehoe, Patrick J, 1992. "International Evidence of the Historical Properties of Business Cycles," American Economic Review, American Economic Association, vol. 82(4), pages 864-888, September.
- David K. Backus & Patrick J. Kehoe, 1992. "International Evidence on the Historical Properties of Business Cycles," Working Papers 92-5, New York University, Leonard N. Stern School of Business, Department of Economics.
- Fiorito, Riccardo & Kollintzas, Tryphon, 1992.
"Stylized Facts of Business Cycles in the G7 from a Real Business Cycles Perspective,"
CEPR Discussion Papers
681, C.E.P.R. Discussion Papers.
- Fiorito, Riccardo & Kollintzas, Tryphon, 1994. "Stylized facts of business cycles in the G7 from a real business cycles perspective," European Economic Review, Elsevier, vol. 38(2), pages 235-269, February.
- Martin Meurers, 2006. "Identifying Determinants of Germany's International Price Competitiveness: A Structural VAR Approach," OECD Economics Department Working Papers 523, OECD Publishing.
- Canova, Fabio, 1993.
"Detrending and Business Cycle Facts,"
CEPR Discussion Papers
782, C.E.P.R. Discussion Papers.
- Hakan Berument & N. Nergiz Dincer, 2004. "Do Capital Flows Improve Macroeconomic Performance in Emerging Markets? : The Turkish Experience," Emerging Markets Finance and Trade, M.E. Sharpe, Inc., vol. 40(4), pages 20-32, July.
- Cem Saatcioglu & Levent Korap, 2006. "Determinants of Turkish Inflation," Working Papers 2006/7, Turkish Economic Association.
- Apostolos Serletis & David Krause, 2006.
"Nominal Stylized Facts of U.S. Business Cycles,"
World Scientific Book Chapters,
in: Money And The Economy, chapter 2, pages 47-56
World Scientific Publishing Co. Pte. Ltd..
- Ahmed, Shaghil & Park, Jae Ha, 1994. "Sources of macroeconomic fluctuations in small open economies," Journal of Macroeconomics, Elsevier, vol. 16(1), pages 1-36.
- J. Humberto Lopez & Stefania Fabrizio & Angel J. Ubide, 1997. "How Long is the Long Run? A Dynamic Analysis of the Spanish Business Cycle," IMF Working Papers 97/74, International Monetary Fund.
- Paul Cashin & Sam Ouliaris, 2001.
"Key Features of Australian Business Cycles,"
IMF Working Papers
01/171, International Monetary Fund.
- McCoy, Daniel, 1997. "How useful is Structural VAR Analysis for Irish economics?," Research Technical Papers 2/RT/97, Central Bank of Ireland.
- Agenor, Pierre-Richard & McDermott, C John & Prasad, Eswar S, 2000.
"Macroeconomic Fluctuations in Developing Countries: Some Stylized Facts,"
World Bank Economic Review,
World Bank Group, vol. 14(2), pages 251-285, May.
- C. John McDermott & Eswar S Prasad & Pierre-Richard AgÃ©nor, 1999. "Macroeconomic Fluctuations in Developing Countries; Some Stylized Facts," IMF Working Papers 99/35, International Monetary Fund.
- Paul Cashin, 2004. "Caribbean Business Cycles," IMF Working Papers 04/136, International Monetary Fund.
- Ahmed, S. & Ickes, B. & Wang, P. & Yoo, S., 1989.
"International Business Cycles,"
7-89-4, Pennsylvania State - Department of Economics.
- Brunner, Karl & Meltzer, Allan H., 1977. "Stabilization of the domestic and international economy," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 5(1), pages 1-6, January.
- Finn E. Kydland & Calos E.J.M.Zarazaga, 1997. "Is the business cycle of Argentina "different?"," Economic and Financial Policy Review, Federal Reserve Bank of Dallas, issue Q IV, pages 21-36.
- Lucas, Robert E., 1977. "Understanding business cycles," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 5(1), pages 7-29, January.
- Finn E. Kydland & Edward C. Prescott, 1990. "Business cycles: real facts and a monetary myth," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Spr, pages 3-18.
- Alexander W. Hoffmaister & Jorge Roldos, 1997. "Are Business Cycles Different in Asia and Latin America?," IMF Working Papers 97/9, International Monetary Fund.
- Blanchard, Olivier Jean & Quah, Danny, 1989.
"The Dynamic Effects of Aggregate Demand and Supply Disturbances,"
American Economic Review,
American Economic Association, vol. 79(4), pages 655-673, September.
- Tom Doan, "undated". "BQDODRAWS: RATS procedure to implement Monte Carlo draws from a VAR with Blanchard-Quah factorization," Statistical Software Components RTS00030, Boston College Department of Economics.
- Tom Doan, "undated". "RATS programs to replicate Blanchard and Quah AER 1989," Statistical Software Components RTZ00017, Boston College Department of Economics.
- Olivier Jean Blanchard & Danny Quah, 1988. "The Dynamic Effects of Aggregate Demand and Supply Disturbance," Working papers 497, Massachusetts Institute of Technology (MIT), Department of Economics.
- Olivier Jean Blanchard & Danny Quah, 1988. "The Dynamic Effects of Aggregate Demand and Supply Disturbances," NBER Working Papers 2737, National Bureau of Economic Research, Inc.
- Robert A Buckle & Kunhong Kim & Heather Kirkham & Nathan McLellan & Jared Sharma, 2002. "A structural VAR model of the New Zealand business cycle," Treasury Working Paper Series 02/26, New Zealand Treasury.
- Yilmaz, K. & Altug, S., 1998. "Asset Returns, Inflation and Real Activity: The Case of Mexico and Turkey," Papers 1998/03, Koc University.
When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:21971. 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: (Joachim Winter)
If references are entirely missing, you can add them using this form.