IDEAS home Printed from https://ideas.repec.org/p/tcb/econot/1103.html
   My bibliography  Save this paper

Turkiye Icin Hodrick-Prescott Filtresi Duzgunlestirme Parametresi Tahmini

Author

Listed:
  • Harun Alp
  • Yusuf Soner Baskaya
  • Mustafa Kilinc
  • Canan Yuksel

Abstract

[TR] Bu notta, is cevrimleri analizlerinde kullanilan Hodrick-Prescott (HP) filtresindeki duzgunlestirme parametresi, 1987 : 1-2007 : 3 donemi Turkiye reel Gayri Safi Yurt Ici Hasila verileri kullanilarak iki farkli yontemle tahmin edilmektedir. Is cevrimi ozellikleri, ceyreklik verilerde duzgunlestirme parametresi icin yazinda sikca kullanilan 1600’un yani sira bu optimal degerler ile de incelenmekte ve sonuclar karsilastirilmaktadir. Calismanin bulgulari is cevrimi analizlerinde kullanilan HP filtresinde optimal parametre seciminin onemli oldugunu, is cevrimlerine dair gozlenen ayirt edici ozelliklerin bu parametre degerine duyarli oldugunu ortaya koymaktadir. [EN] In this note, the smoothing parameter for Hodrick-Prescott filter, which is used for analyzing business cycles, is estimated by two methods using Turkish real Gross Domestic Product data for 1987 : 1-2007 : 3 period. In additon, we compare the business cycle characteristics associated with optimally estimated smoothing parameter values with those associated with of 1600, which is frequently-used for quarterly data. The findings suggest that optimal choice of the smoothing parameter used in the HP filter is important since observed business cycle characteristics are sensitive to the parameter choice.

Suggested Citation

  • Harun Alp & Yusuf Soner Baskaya & Mustafa Kilinc & Canan Yuksel, 2011. "Turkiye Icin Hodrick-Prescott Filtresi Duzgunlestirme Parametresi Tahmini," CBT Research Notes in Economics 1103, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  • Handle: RePEc:tcb:econot:1103
    as

    Download full text from publisher

    File URL: http://www.tcmb.gov.tr/wps/wcm/connect/61089808-d70c-4ec8-8ff4-d1e1ad6e4efa/EN1103eng.pdf?MOD=AJPERES&CACHEID=ROOTWORKSPACE-61089808-d70c-4ec8-8ff4-d1e1ad6e4efa-m3fw4Um
    Download Restriction: no

    References listed on IDEAS

    as
    1. 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.
    2. Calderon, Cesar & Fuentes, Rodrigo, 2010. "Characterizing the business cycles of emerging economies," Policy Research Working Paper Series 5343, The World Bank.
    3. Canova, Fabio, 1998. "Detrending and business cycle facts: A user's guide," Journal of Monetary Economics, Elsevier, vol. 41(3), pages 533-540, May.
    4. Aguiar, Mark & Gopinath, Gita, 2007. "Emerging Market Business Cycles: The Cycle is the Trend," Scholarly Articles 11988098, Harvard University Department of Economics.
    5. Canova, Fabio, 1998. "Detrending and business cycle facts," Journal of Monetary Economics, Elsevier, vol. 41(3), pages 475-512, May.
    6. Everts, Martin, 2006. "Duration of Business Cycles," MPRA Paper 1219, University Library of Munich, Germany.
    7. Robert Inklaar & Jan Jacobs & Ward Romp, 2005. "Business Cycle Indexes: Does a Heap of Data Help?," Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, vol. 2004(3), pages 309-336.
    8. Gerhard Bry & Charlotte Boschan, 1971. "Cyclical Analysis of Time Series: Selected Procedures and Computer Programs," NBER Books, National Bureau of Economic Research, Inc, number bry_71-1, June.
    9. Leon du Toit, 2008. "Optimal HP filtering for South Africa," Working Papers 07/2008, Stellenbosch University, Department of Economics.
    10. Gerhard Bry & Charlotte Boschan, 1971. "Foreword to "Cyclical Analysis of Time Series: Selected Procedures and Computer Programs"," NBER Chapters,in: Cyclical Analysis of Time Series: Selected Procedures and Computer Programs, pages -1 National Bureau of Economic Research, Inc.
    11. repec:dgr:rugccs:200312 is not listed on IDEAS
    Full references (including those not matched with items on IDEAS)

    Citations

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


    Cited by:

    1. Birol Kanik & Enes Sunel & Temel Taskin, 2012. "Beveridge Egrisi ve Eslesme Fonksiyonu : Turkiye Ornegi," CBT Research Notes in Economics 1224, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.

    More about this item

    NEP fields

    This paper has been announced in the following NEP Reports:

    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:tcb:econot:1103. 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: (). General contact details of provider: http://edirc.repec.org/data/tcmgvtr.html .

    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.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with 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.