Research Article
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BUSINESS CYCLE CHARACTERISTICS OF EMERGING MARKET ECONOMIES: A COMPARATIVE ANALYSIS

Year 2024, Volume: 17 Issue: 1, 1 - 26, 30.06.2024
https://doi.org/10.18221/bujss.1389408

Abstract

Identifying the statistical properties of business cycles in emerging markets is crucial for developing and estimating the theoretical models. In the related literature, studies determined the properties of business cycles have been analayzed with small samples. Therefore, the results are subjective and depend on the selected country samples. In this paper, a large number of emerging country are selected. Furthermore, the selected countries are heterogeneous. For this reason, a sample of countries with similar characteristics is constructed to avoid heterogeneity problems. The sample includes 16 emerging markets. In addition to emerging countries sample, another sample of developed countries has been constructed in order to compare the statistical properties of emerging markets. There are 17 developed countries are selected to construct the developed country sample. The statistical properties of the business cycles of both groups of countries are determined by analyzing the business cycles. For this purpose, average contraction/expansion periods, amplitude and cumulative values during contraction/expansion periods. In addition to this properties, volatility, relative volatility, and correlation of selected variables with GDP are calculated. Moreover, autocorrelation values of GDP, consumer price index, and reel exchange rate are also calculated. The results are compared within and between country groups.

References

  • Agenor, P. R., John C. McDermott, & Eswar S. P., (2000). “Macroeconomic fluctuations in developing countries: some stylised facts”, World Bank Economic Review. c. 14. 251-285.
  • Aguiar, M. & Gita, G. (2007). Emerging market business cycles: The cycle is the trend, Journal of Political Economy. 1-30.
  • Akar, C. (2016). Analyzing the synchronization between the financial and business cycles in Turkey. Journal of Reviews on Global Economics 5, 25-35.
  • Akkoyun, H. Ç., Doğan, B. Ş., & Günay, M. (2011). Türkiye ekonomisi iş çevrimlerinin küresel ekonomi ile ilişkisi. TCMB Ekonomi Notları 2011/19.
  • Alp, H., Başkaya, Y. S., Kılınç, M., & Yüksel, C. (2012). Stylized Facts for Business Cycles in Turkey. TCMB Çalışma Tebliği 2012/02.
  • Alper, C. E. (1998). Nominal stylized facts for Turkish business cycles. METU Studies in Development 25 (2), 233-244.
  • Alper, C. E. (2002). Business cycles, excess volatility and capital flows: Evidence from Mexico and Turkey. Emerging Markets Finance & Trade.
  • Altuğ, S., & Bildirici, M., (2010), “Business cycles around the Globe: A regime switching approach”, Koç University-TUSIAD Economic Research Forum Working Papers 1009, Koç University-TUSIAD Economic Research Forum.
  • Aruoba, B. (2001). Business cycle facts for Turkey. University of Pennsylvania Çalışma Tebliği.
  • Backus, K. D. & Kehoe, P. J. (1992). International cvidence on the historical properties of business cycles. The American Economic Review. c. 82. s. 4. 864-888.
  • Backus, K. D., Kehoe, P. J. & Kydland, F., E., (1993), International business cycle: Theory and evidence. NBER Working Paper, No: 4493, 1-44.
  • Basu, S. & Taylor, A. M. (1999). Business cycles in international historical perspective. The Journal of Economic Perspectives. c.13. s.2. 45-68.
  • Baxter, M. & Robrt G. K. (1999). Measuring business cycles: Approximate Band-Pass Filters for economic time series, The Review of Economics and Statistics. c.81. s. 4. 575-593.
  • Berument, H., Kılınç, Z., & Yücel, E. M. (2005). Business cycles in Turkey and European Union countries: A Perspective to the Membership. Sosyoekonomi Dergisi, Cilt 1, Sayı 1, 11-26.
  • Binici., M., Hacıhasanoğlu, Y.,S., & Kütük, S. (2016). Türkiye’de Finansal Çevrimler ve İş Çevrimleri: Ne Kadar Farklı, Ne Kadar Bağlantılı? TCMB Ekonomi Notları, 2016-26.
  • Bry, G. & Boschan, C. (1971). Cyclical analysis of time series: Selected procedures and computer programs. NBER: New York.
  • Burns, A.F. & Mitchell, W.C. (1946). Measuring business cycles, NBER: New York.
  • Burnside, C. (1998). Detrending and business cycle facts: A comment, Journal of Monetary Economics. c. 41. s.3. 513-532.
  • Canova, F. (1998). Detrending and business cycle facts, Journal of Monetary Economics, 41; pp.475-512.
  • Claessens, S., Kose, M.A. & Terrones, M.E. (2011). “How do business and financial cycles interact?”, IMF Working Paper, WP/11/88,11,12.
  • Calderon C. & Fuentes, R. (2006). Characterising the business cycle of Emerging economies, Center for Economic Policy Research, Londra.
  • Cashin, P. (2004). Caribbean business cycle, IMF Working Paper, No: 04/36.
  • Chari, V. V. Kehoe, P., J. & McGrattan, E., R., (2002), Can sticky price models generate volatile and persistent real exchange rates?. Review of Economic Studies. c.69. 533-563.
  • Dées, S., di Mauro, F., Pesaran, M.H. & Smith, L.V. (2005). “Exploring the international linkages of the Euro area: A Global VAR analysis”, European Central Bank, Working Paper Series, No. 568, December 2005, 5-38.
  • Drehmann, M. B. & C. Tsatsaronis, K. (2012). “Characterising the financial cycle: don’t lose sight of the medium term!”, BIS Working Papers No: 380, June 2012.
  • Du Plesis, S. (2006). Business cycles in Emerging market economies: A new view of the stylised facts, Stellenbosh Economi Working Papers, No 2.
  • Greenwood-Nimmo, M., Nguyen, V.H. & Shin Y. (2012a). “International linkages of the Korean economy: The Global Vector Error-Correcting macroeconometric modelling approach”, Melbourne Institute Working Paper Series, WP2012n18, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
  • Harding, D. & Pagan, A. (2001). Extracting, analysing and using cyclical information, University of Melbourne.
  • Harding, D. & Pagan, A. (2002). Dissecting the cycle: a methodological investigation, Journal of Monetary Economics, 49; pp.365-381
  • Harding, D. & Pagan, A. (2005). A Suggested framework for classifying the modes of cycle research, Journal of Applied Econometrics, 20; pp.151-159
  • Hnotkovska, V. & Loayaza, N. (2005). Volatility and growth, In Managing Economic Volatility and Crises, Eds. Aizenmann, J., and Pinto, B., Cambridge University Press, Cambridge.
  • Hodrick, J. R. & Edward C. P. (1997). Postwar U.S. business cycles: An empirical investigation, Journal of Money, Credit, and Banking, c. 29. s.1. 1-16. International Financial Statistics. [15.03.2017]. http://elibrary-data.imf.org/FindDataReports.aspx?d=33061&e=169393.
  • Kaiser, R. & Maravall, A. (2001). Measuring business cycles in economic time series, Lecture Notes in Statistics, 154.
  • Knoop, T.A. (2010). Recessions and depressions: Understanding business cycles, 2nd Ed., Santa Barbara California.
  • Kydland, E. F., & Prescott, E. C., (1990), “Business cycle: Real facts and a monetary myth”, Federal Reserve Bank of Minneapolis Quarterly Review, 14, No:2, 3-18.
  • Loayaza, N. Romain R. R. Luis S. & Jaume V. (2007). Macroeconomic volatility and welfare in developing countries: An introduction, The World Bank Economic Review. c. 21. s. 3. 343-357.
  • Lucas, E. R. (1977). Understanding business cycles. K. Bruner, & A. Meltzer içinde, Stabilization of the domestic and international economy. Amsterdam: Carnigie-Rochester Conference Series on Public Policy 5. 7-29
  • Male, R. (2010a). Developing country business cycles: Characterizing the cycle, School of Economics and Finance. 1-53.
  • Male, R. (2010b). Developing country business cycle: Revisiting the stylised facts, School of Economics and Finance. (664).
  • Neumeyer, A. P. & Fabrizio P. (2005). Business cycles in emerging economies: the role of interest rate, Journal of Monetary Economics. c. 52. 345–380.
  • Organisation for Economic Co-Operation and Development (OECD) – Stat. [15.04.2017]. https://stats.oecd.org/
  • Rand, J. & Tarp, F. (2002). Business cycles in developing countries: Are they different?, World Development, c. 30. s. 12. 2071-2088.
  • Sun, Y., Heinz, F.F. & Ho, G. (2013). “Cross-country linkages in Europe: A Global VAR analysis”, IMF Working Paper, WP/13/194.
  • Uribe, M. & Schmitt-Grohe, S. (2017). Open economy macroeconomics, Princeton University Press.
  • Uribe, M. & Vivian Z. Y. (2006). Country spreads and emerging countries: Who drives whom, Journal of International Economics, c. 69. 6-36.
  • Tsouma, E. (2014). Dating business cycle turning points: The Greek economy during 1970-2012 and the recent recession. OECD Journal: Journal of Business Cycle Measurement and Analysis 2014/01.

YÜKSELEN PİYASA EKONOMİLERİNİN İŞ ÇEVRİM ÖZELLİKLERİ: KARŞILAŞTIRILMALI BİR ANALİZ

Year 2024, Volume: 17 Issue: 1, 1 - 26, 30.06.2024
https://doi.org/10.18221/bujss.1389408

Abstract

Yükselen piyasa ekonomileri iş çevrimlerinin istatistiki özelliklerini belirlemek, modellerin tahmininde kritik öneme sahiptir. İlgili literatürde iş çevrimlerinin özelliklerini hesaplamak için yapılan araştırmalarda küçük örneklemler kullanıldığı için elde edilen sonuçlar seçilen ülkelere bağlı olmaktadır. Bu problemden kurtulmak için oluşturduğumuz örneklemde çok sayıda ülkeye yer verilmiştir. Bir başka sorun da seçilen ülkelerin heterojen bir yapı sergilemesidir. Bu heterojendik probleminden sakınmak için, çalışmamızda, birbirine yakın özelliklere sahip yükselen piyasa ekonomilerinin seçildiği bir örneklem oluşturulmuştur. Gelişmekte olan ülke örnekleminde 16 ülkeye yer verilmiştir. Bu ekonomilerin iktisadi dalgalanmalarının istatistiki özelliklerini karşılaştırabilmek için gelişmiş ülkelerden oluşan bir başka örneklem daha oluşturulmuştur. Gelişmiş ülke örnekleminde de 17 ülke seçilmiştir. Her iki ülke grubunun iş çevrimlerinin istatistiki özellikleri, klasik ve büyüme çevrimleri incelenerek, tespit edilmiştir. Bu amaçla ülkelerin ortalama daralma/genişleme süreleri, daralma/genişleme dönemlerindeki genlik ve kümülatif değerleri hesaplanmıştır. Ayrıca ülkelerin oynaklık, göreli oynaklık, değişkenlerin çıktıyla olan korelasyon değerleri ve GSYİH, tüketici fiyatları endeksi ve reel döviz kurunun otokorelasyon değerleri de hesaplanmıştır. Elde edilen sonuçlar ülke gruplarının kendi içerisinde ve ülke grupları arasında karşılaştırılmıştır.

References

  • Agenor, P. R., John C. McDermott, & Eswar S. P., (2000). “Macroeconomic fluctuations in developing countries: some stylised facts”, World Bank Economic Review. c. 14. 251-285.
  • Aguiar, M. & Gita, G. (2007). Emerging market business cycles: The cycle is the trend, Journal of Political Economy. 1-30.
  • Akar, C. (2016). Analyzing the synchronization between the financial and business cycles in Turkey. Journal of Reviews on Global Economics 5, 25-35.
  • Akkoyun, H. Ç., Doğan, B. Ş., & Günay, M. (2011). Türkiye ekonomisi iş çevrimlerinin küresel ekonomi ile ilişkisi. TCMB Ekonomi Notları 2011/19.
  • Alp, H., Başkaya, Y. S., Kılınç, M., & Yüksel, C. (2012). Stylized Facts for Business Cycles in Turkey. TCMB Çalışma Tebliği 2012/02.
  • Alper, C. E. (1998). Nominal stylized facts for Turkish business cycles. METU Studies in Development 25 (2), 233-244.
  • Alper, C. E. (2002). Business cycles, excess volatility and capital flows: Evidence from Mexico and Turkey. Emerging Markets Finance & Trade.
  • Altuğ, S., & Bildirici, M., (2010), “Business cycles around the Globe: A regime switching approach”, Koç University-TUSIAD Economic Research Forum Working Papers 1009, Koç University-TUSIAD Economic Research Forum.
  • Aruoba, B. (2001). Business cycle facts for Turkey. University of Pennsylvania Çalışma Tebliği.
  • Backus, K. D. & Kehoe, P. J. (1992). International cvidence on the historical properties of business cycles. The American Economic Review. c. 82. s. 4. 864-888.
  • Backus, K. D., Kehoe, P. J. & Kydland, F., E., (1993), International business cycle: Theory and evidence. NBER Working Paper, No: 4493, 1-44.
  • Basu, S. & Taylor, A. M. (1999). Business cycles in international historical perspective. The Journal of Economic Perspectives. c.13. s.2. 45-68.
  • Baxter, M. & Robrt G. K. (1999). Measuring business cycles: Approximate Band-Pass Filters for economic time series, The Review of Economics and Statistics. c.81. s. 4. 575-593.
  • Berument, H., Kılınç, Z., & Yücel, E. M. (2005). Business cycles in Turkey and European Union countries: A Perspective to the Membership. Sosyoekonomi Dergisi, Cilt 1, Sayı 1, 11-26.
  • Binici., M., Hacıhasanoğlu, Y.,S., & Kütük, S. (2016). Türkiye’de Finansal Çevrimler ve İş Çevrimleri: Ne Kadar Farklı, Ne Kadar Bağlantılı? TCMB Ekonomi Notları, 2016-26.
  • Bry, G. & Boschan, C. (1971). Cyclical analysis of time series: Selected procedures and computer programs. NBER: New York.
  • Burns, A.F. & Mitchell, W.C. (1946). Measuring business cycles, NBER: New York.
  • Burnside, C. (1998). Detrending and business cycle facts: A comment, Journal of Monetary Economics. c. 41. s.3. 513-532.
  • Canova, F. (1998). Detrending and business cycle facts, Journal of Monetary Economics, 41; pp.475-512.
  • Claessens, S., Kose, M.A. & Terrones, M.E. (2011). “How do business and financial cycles interact?”, IMF Working Paper, WP/11/88,11,12.
  • Calderon C. & Fuentes, R. (2006). Characterising the business cycle of Emerging economies, Center for Economic Policy Research, Londra.
  • Cashin, P. (2004). Caribbean business cycle, IMF Working Paper, No: 04/36.
  • Chari, V. V. Kehoe, P., J. & McGrattan, E., R., (2002), Can sticky price models generate volatile and persistent real exchange rates?. Review of Economic Studies. c.69. 533-563.
  • Dées, S., di Mauro, F., Pesaran, M.H. & Smith, L.V. (2005). “Exploring the international linkages of the Euro area: A Global VAR analysis”, European Central Bank, Working Paper Series, No. 568, December 2005, 5-38.
  • Drehmann, M. B. & C. Tsatsaronis, K. (2012). “Characterising the financial cycle: don’t lose sight of the medium term!”, BIS Working Papers No: 380, June 2012.
  • Du Plesis, S. (2006). Business cycles in Emerging market economies: A new view of the stylised facts, Stellenbosh Economi Working Papers, No 2.
  • Greenwood-Nimmo, M., Nguyen, V.H. & Shin Y. (2012a). “International linkages of the Korean economy: The Global Vector Error-Correcting macroeconometric modelling approach”, Melbourne Institute Working Paper Series, WP2012n18, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
  • Harding, D. & Pagan, A. (2001). Extracting, analysing and using cyclical information, University of Melbourne.
  • Harding, D. & Pagan, A. (2002). Dissecting the cycle: a methodological investigation, Journal of Monetary Economics, 49; pp.365-381
  • Harding, D. & Pagan, A. (2005). A Suggested framework for classifying the modes of cycle research, Journal of Applied Econometrics, 20; pp.151-159
  • Hnotkovska, V. & Loayaza, N. (2005). Volatility and growth, In Managing Economic Volatility and Crises, Eds. Aizenmann, J., and Pinto, B., Cambridge University Press, Cambridge.
  • Hodrick, J. R. & Edward C. P. (1997). Postwar U.S. business cycles: An empirical investigation, Journal of Money, Credit, and Banking, c. 29. s.1. 1-16. International Financial Statistics. [15.03.2017]. http://elibrary-data.imf.org/FindDataReports.aspx?d=33061&e=169393.
  • Kaiser, R. & Maravall, A. (2001). Measuring business cycles in economic time series, Lecture Notes in Statistics, 154.
  • Knoop, T.A. (2010). Recessions and depressions: Understanding business cycles, 2nd Ed., Santa Barbara California.
  • Kydland, E. F., & Prescott, E. C., (1990), “Business cycle: Real facts and a monetary myth”, Federal Reserve Bank of Minneapolis Quarterly Review, 14, No:2, 3-18.
  • Loayaza, N. Romain R. R. Luis S. & Jaume V. (2007). Macroeconomic volatility and welfare in developing countries: An introduction, The World Bank Economic Review. c. 21. s. 3. 343-357.
  • Lucas, E. R. (1977). Understanding business cycles. K. Bruner, & A. Meltzer içinde, Stabilization of the domestic and international economy. Amsterdam: Carnigie-Rochester Conference Series on Public Policy 5. 7-29
  • Male, R. (2010a). Developing country business cycles: Characterizing the cycle, School of Economics and Finance. 1-53.
  • Male, R. (2010b). Developing country business cycle: Revisiting the stylised facts, School of Economics and Finance. (664).
  • Neumeyer, A. P. & Fabrizio P. (2005). Business cycles in emerging economies: the role of interest rate, Journal of Monetary Economics. c. 52. 345–380.
  • Organisation for Economic Co-Operation and Development (OECD) – Stat. [15.04.2017]. https://stats.oecd.org/
  • Rand, J. & Tarp, F. (2002). Business cycles in developing countries: Are they different?, World Development, c. 30. s. 12. 2071-2088.
  • Sun, Y., Heinz, F.F. & Ho, G. (2013). “Cross-country linkages in Europe: A Global VAR analysis”, IMF Working Paper, WP/13/194.
  • Uribe, M. & Schmitt-Grohe, S. (2017). Open economy macroeconomics, Princeton University Press.
  • Uribe, M. & Vivian Z. Y. (2006). Country spreads and emerging countries: Who drives whom, Journal of International Economics, c. 69. 6-36.
  • Tsouma, E. (2014). Dating business cycle turning points: The Greek economy during 1970-2012 and the recent recession. OECD Journal: Journal of Business Cycle Measurement and Analysis 2014/01.
There are 46 citations in total.

Details

Primary Language Turkish
Subjects Econometrics (Other)
Journal Section Research Article
Authors

Bekir Aşık 0000-0002-2221-016X

Publication Date June 30, 2024
Submission Date November 11, 2023
Acceptance Date June 4, 2024
Published in Issue Year 2024 Volume: 17 Issue: 1

Cite

APA Aşık, B. (2024). YÜKSELEN PİYASA EKONOMİLERİNİN İŞ ÇEVRİM ÖZELLİKLERİ: KARŞILAŞTIRILMALI BİR ANALİZ. Beykent Üniversitesi Sosyal Bilimler Dergisi, 17(1), 1-26. https://doi.org/10.18221/bujss.1389408

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