Business Cycle Analysis in the Turkish Economy (1998-2011):Hodrick-Prescott Filter

Yıl 2012, Cilt: 10 Sayı: 20, 7 - 28, 01.09.2012

Nur Dilbaz Alacahan

https://izlik.org/JA92HG26YR

Öz

-

Anahtar Kelimeler

-

Türkiye Ekonomisinde İş Çevrimleri Kuramı (1998-2011): Hodrick-Prescott Filtresi

https://izlik.org/JA92HG26YR

Öz

Makroekonomik yapıda çevrimsel ilişkilerin incelenmesinin önemi büyüktür. Türkiye ekonomisindeki kronik enflasyonist ortam düşünüldüğünde bu ilişkinin incelenmesinde reel milli gelir ve enflasyon çevrimsel ilişkiyi açıklamakta oldukça iyi iki uygun değişken olmaktadır. Çalışmada Hodrick ve Prescott (HP) tarafından önerilen ayrıştırma yöntemi kullanılmıştır. İş çevrimleri analizinde HP filtresinde optimal parametre seçimi önemli ve gerekli olduğu için 1998Q1-2011Q2 inceleme dönemi için elde edilen bulgular λ=1600, λ=98 ve λ=19 değerleri seçilerek karşılaştırılmıştır. Sonuç olarak Türkiye için uygulanan optimal λ parametresinin standart 1600 değerinin çok altında olması gerektiği görülmüştür

Anahtar Kelimeler

İş Çevrimleri , Reel Gelir , Enflasyon , HP Filtresi

Kaynakça

• Agénor, Pierre-Richard, McDermott, C. John and Prasad, Eswar S. (1999), “Macroeconomic
• Fluctuations in Developing Countries: Some Stylized Facts”, IMF Working Paper, WP/99/35.
• Alp, Harun v.d (2011)“Türkiye İçin Hodrick-Prescott Filtresi Düzgünleştirme Parametresi Tahmini” TCMB Ekonomi Notları, Sayı: 2011-03.
• Alper, C. Emre (1998), “Nominal Stylized Facts of Turkish Business Cycles”, METU Studies in Development, 25(2), 233-244.
• Alper, C. Emre (2002), “Stylized Facts of Business Cycles, Excess Volatility and Capital
• Flows: Evidence from Mexico and Turkey”, Russian and East European Finance and Trade, 38/4, 22-54.
• Altuğ, Sumru and Yılmaz, Kamil (1998), “Asset Returns, Inflation and Real Activity The Case of Mexico and Turkey”, Boğaziçi Journal, Review of Social, Economic and Administrative Studies, 12/1, 81-103.
• Altuğ, Sumru “Türkiye’de ve Yükselen Piyasa Ekonomilerinde İş Çevrimleri” (Çevrimiçi) http://home.ku.edu.tr/~saltug/altug0015.pdf. 03.03.2011.
• Backus, D.K. ve Kehoe, P.J. (1992) “International Evidence on the Historical
• Properties of Business Cycles”, American Economic Review, 82(4), September, ss. 864-88.
• Berument, H., Inamlik, A. and Olgun, H. (2008), “Inflation and Growth: Positive or Negative Relationship?”, Journal of Applied Sciences, 8/2, 192-204.
• Chadha, Bankim and Prasad, Eswar (1994), “Are Prices Countercyclical? Evidence from the G-7”, Journal of Monetary Economics, 34, 239-257.
• Cashin, Paul and Ouliaris, Sam (2001), “Key Features of Australian Business Cycles”, IMF Working Paper, WP/01/171, November.
• Dermoune, A., Djehiche, B. ve N. Rahmania (2008): “Consistent Estimators of the
• Smoothing Parameter in the Hodrick-Prescott Filter”, J.Japan Statist. Soc. 38(2).
• Dibooglu, S. and Kibritcioglu, A. (2004), “Inflation, Output Growth, and Stabilization in Turkey, 1980-2002”, Journal of Economics and Business, 56, 43-61.
• Diebold, F.X. and Rudebusch, G. “Measuring Business Cycles: A Modern Perspective”, Review of Economics and Statistics, 78, (1996),67-77.
• Diebold Francis X. and Glenn D. Rudebusch “Five Questions About Business Cycles”, FRBSF Economic Review 2001. (Çevrimiçi) http://www.frbsf.org/ publications/economics/review/2001/article1.pdf. 07.02.2011.
• Dornbush, Rudiger ve Fischer, Stanley: Makroekonomi McGraw-Hill-Akademi Yayını- İstanbul 1998, 1.Baskı, ISBN: 0-07-115683-6, Çeviri Editörü: Erhan Yıldırım, Çevirenler: Salih Ak, Mahir Fisunoğlu, Refia Yıldırım.
• Du Toit, L. C. (2008): “Optimal HP Filtering for South Africa”, Stellenbosch Economic Working Papers 07/08, University of Stellenbosch.
• Fiorito, Riccardo and Kollintzas, Tryphon (1994), “Stylized Facts of Business Cycles in the G-7 from a Real Business Cycles Perspective”, European Economic Review, 38, 235-269.
• Hercowitz Jeremy Zvi and Gregory W. Huffman, “ Investment, Capacity Utilization, and the Real Business Cycle”, The American Economic Review, Vol. 78, No. 3 (Jun., 1988), pp. 402-417.
• Hodrick, R.J. ve E.C. Prescott (1980): “Postwar U.S. Business Cycles: An Emprical
• Investigation”, Carnegie-Mellon University Working Paper, No. 451.
• Kalulumia Pene and FrancineNyankiye, “Labor Adjusment Costs, Macroeconomic Shocks and Reel Business Cycles in a Small Open Economy”, Journal of Macroeconomics, Fall 2000, Vol.22, No.4, pp.671-694.
• Karaca, O. (2003), “Türkiye’de Enflasyon – Büyüme İlişkisi: Zaman Serisi Analizi”, Doğuş University Journal, 4/2, 247-55.
• King Robert G. and Charles I. Plosser, “Money, Credit, and Prices in a Real Business Cycle”, The American Economic Review, Vol. 74, No. 3 (Jun., 1984), pp. 363- 380.
• Kydland Finn E. and Edward C. Prescott, “Business Cycles: Real Facts and a Monetary Myth”, Federal Reserve Bank of Minneapolis Quarterly Review, c.14,1990.
• Kydland, F.E. ve Zarazaga, C.E.J.M. (1997) “Is the Business Cycle of Argentina Different?”, FRB of Dallas Economic Review, Fourth Quarter, ss. 21-36.
• Lopez, Humberto, Fabrizio, Stefania, and Ubide, Angel (1997), “How Long is the Long Run?
• A Dynamic Analysis of the Spanish Business Cycle”, IMF Working Paper, WP/97/74, June.
• Lucas, Robert E., Jr., (1977), Understanding Business Cycles, in Brunner K. and Meltzer,A.H., eds., Stabilization of the Domestic and International Economy, Carnegie-Rochester Conference Series on Public Policy 5, North-Holland, Amsterdam, 7-29.
• Mankiw, N. Gregory “Real Business Cycles: A New Keynesian Perspective”, The Journal of Economic Perspectives, Vol. 3, No. 3 (Summer, 1989), pp. 79-90.
• Mendoza Enrıque G. “Real Business Cycles in a Small Open Economy”, The American Economic Review, Vol. 81, No. 4 (Sep., 1991), pp. 797-818.
• Metin-Özcan, Kıvılcım, Voyvoda, Ebru, and Yeldan, Erinç (2001), “Dynamics of
• Macroeconomic Adjustment in a Globalized Developing Economy: Growth, Accumulation and Distribution, Turkey 1969-1998”, Canadian Journal of Development Studies, 22/1, 217- 253.
• Pedersen, T.M. (2001): “The Hodrick–Prescott Filter, the Slutzky Effect, and the
• Distortionary Effect of Filters”, Journal of Economic Dynamics and Control, 25 (8), sf. 1081– 1101.
• Plosser, Charles I. “Understanding Real Business Cycles”, Journal of Economic Perspectives,Volume3, Number3 - Summer 1989, pp.51-77.
• Rand, John and Tarp, Finn (2002), “Business Cycles in Developing Countries: Are They Different?”, World Development, 30/12, 2071-2088.
• Saatçioğlu, C. ve Korap, L. (2009), “Türkiye Ekonomisinde Enflasyon ve Reel Milli Gelir Arasındaki Çevrimsellik İlişkisi Üzerine Bir İnceleme” , Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi, Cilt: 23, Sayı: 4, 149-160.
• Serletis, A. ve Krause, D. (1996) “Nominal Sytlized Facts of U.S. Business Cycles”, FRB of St. Louis Review, July/August, ss. 49-54.
• Stadler George W. “Reel Business Cycles”, Journal of Economic Literature, Vol. 32, No.4, 1994, pp.1750-1783.
• Tiryaki S. Tolga “Interest Rates and Real Business Cycles in Emerging Markets”, Central Bank of the Republic of Turkey Working Paper No: 10/08, May 2010.