Stylized Facts for Business Cycles in Turkey
This study documents the stylized facts about the business cycles in Turkey using quarterly data between 1987 and 2009. In particular, we document the business cycle turning points and average duration of cycles for Turkey, as well as the optimal smoothing parameter for Hodrick-Prescott (HP) filter estimated in line with our estimate of average business cycle duration for 1987-2009 period, 20 quarters, which is shorter compared to developed countries, and comparable to other developing countries. For filtering procedure, we use this estimated parameter, in addition to 1600, in HP filter and compare our findings. We find that business cycle relationships between macroeconomic variables in Turkey are mostly in accordance with the patterns observed for developing countries, which significantly differ from developed countries’ business cycle facts. In particular, the real side of the economy is characterized by high volatility of consumption and a countercyclical pattern for net exports. Other important findings are that financial variables such as credit or sovereign spreads are very volatile and strongly correlated with output. In addition, the results show that the properties of the relationship between economic activity, prices and the interest rates differs between pre-2001 and post-2001 period, whereas the relationship among the real variables shows a smaller change between these periods.
|Date of creation:||2012|
|Date of revision:|
|Contact details of provider:|| Postal: Head Office, Istiklal Cad. 10 Ulus, 06100 Ankara|
Phone: (90 312) 507 5000
Fax: (90 312) 507 5640
Web page: http://www.tcmb.gov.tr
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.:
- Rachel Male, 2010. "Developing Country Business Cycles: Characterising the Cycle," Working Papers 663, Queen Mary University of London, School of Economics and Finance.
- Mark Aguiar & Gita Gopinath, 2004.
"Emerging Market Business Cycles: The Cycle is the Trend,"
NBER Working Papers
10734, National Bureau of Economic Research, Inc.
- Mark Aguiar & Gita Gopinath, 2007. "Emerging Market Business Cycles: The Cycle Is the Trend," Journal of Political Economy, University of Chicago Press, vol. 115, pages 69-102.
- Mark Aguiar & Gita Gopinath, 2004. "Emerging market business cycles: the cycle is the trend," Working Papers 04-4, Federal Reserve Bank of Boston.
- Ali Hakan Kara, 2006.
"Turkish Experience With Implicit Inflation Targeting,"
0603, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
- A. Hakan Kara, 2008. "Turkish Experience With Implicit Inflation Targeting," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 8(1), pages 1-16.
- Everts, Martin, 2006. "Duration of Business Cycles," MPRA Paper 1219, University Library of Munich, Germany.
- 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.
- 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 251-85, May.
- Pedersen, Torben Mark, 2001. "The Hodrick-Prescott filter, the Slutzky effect, and the distortionary effect of filters," Journal of Economic Dynamics and Control, Elsevier, vol. 25(8), pages 1081-1101, August.
- Altug, Sumru & Filiztekin, Alpay & Pamuk, Şevket, 2008. "Sources of long-term economic growth for Turkey, 1880–2005," European Review of Economic History, Cambridge University Press, vol. 12(03), pages 393-430, December.
- Tiryaki S. Tolga, 2012. "Interest Rates and Real Business Cycles in Emerging Markets," The B.E. Journal of Macroeconomics, De Gruyter, vol. 11(1), pages 1-30, January.
- Reinhart, Carmen M. & Vegh, Carlos A., 1995.
"Nominal interest rates, consumption booms, and lack of credibility: A quantitative examination,"
Journal of Development Economics,
Elsevier, vol. 46(2), pages 357-378, April.
- Reinhart, Carmen & Vegh, Carlos, 1995. "Nominal interest rates, consumption booms, and lack of credibility: A quantitative examination," MPRA Paper 13898, University Library of Munich, Germany.
- Harding, Don & Pagan, Adrian, 2002.
"Dissecting the cycle: a methodological investigation,"
Journal of Monetary Economics,
Elsevier, vol. 49(2), pages 365-381, March.
- Don Harding & Adrian Pagan, 2000. "Disecting the Cycle: A Methodological Investigation," Econometric Society World Congress 2000 Contributed Papers 1164, Econometric Society.
- Rand, John & Tarp, Finn, 2001.
"Business Cycles in Developing Countries: Are They Different?,"
62445, University Library of Munich, Germany.
- Rand, John & Tarp, Finn, 2002. "Business Cycles in Developing Countries: Are They Different?," World Development, Elsevier, vol. 30(12), pages 2071-2088, December.
- Leon du Toit, 2008. "Optimal HP filtering for South Africa," Working Papers 07/2008, Stellenbosch University, Department of Economics.
- Huseyin Murat Ozbilgin, 2009.
"Financial Market Participation and the Developing Country Business Cycle,"
0904, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
- Özbilgin, H. Murat, 2010. "Financial market participation and the developing country business cycle," Journal of Development Economics, Elsevier, vol. 92(2), pages 125-137, July.
- 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.
- 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.
- Robert Inklaar & Jan Jacobs & Ward Romp, 2004.
"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.
- Aguiar, Mark & Gopinath, Gita, 2007. "Emerging Market Business Cycles: The Cycle is the Trend," Scholarly Articles 11988098, Harvard University Department of Economics.
- Morten O. Ravn & Harald Uhlig, 2002. "On adjusting the Hodrick-Prescott filter for the frequency of observations," The Review of Economics and Statistics, MIT Press, vol. 84(2), pages 371-375.
- Canova, Fabio, 1993.
"Detrending and Business Cycle Facts,"
CEPR Discussion Papers
782, C.E.P.R. Discussion Papers.
- Ozge Akinci & Yasemin Barlas Ozer & Bulent Usta, 2005. "Dolarizasyon Endeksleri : Turkiye’deki Dolarizasyon Surecine Iliskin Gostergeler," Working Papers 0517, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
When requesting a correction, please mention this item's handle: RePEc:tcb:wpaper:1202. 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: (Ozlem Ekmekciler Ramalho Rocha)or (Ilker Cakar)
If references are entirely missing, you can add them using this form.