GDP Volatility Spillovers from the US and EU to Turkey: A Dynamic Investigation

P. Fulya Gebeşoğlu; Hasan Murat Ertuğrul

TR EN

GDP Volatility Spillovers from the US and EU to Turkey: A Dynamic Investigation

Öz

Our paper examines the dynamics of GDP volatility spillover from the US and the EU to Turkey. The associated volatilities are derived through the SWARCH (switching autoregressive conditional heteroscedasticity) model, proposed by Hamilton and Susmel (1994). We use the Kalman filter to analyze these spillover effects between first-quarter 1995 and fourth-quarter 2013. We identify significant cross-country spillover effects from the US to Turkey, especially during global financial crises. However, we do not find any notable volatility spillover from the EU to Turkey.

Anahtar Kelimeler

GDP volatility spillover, ARCH, Kalman filter, spillover effect

Kaynakça

Akkoyun, H. Ç., M. Günay, and B. Sen-Doğan, (2012), "Business-Cycle Synchronization of Turkey with the Euro Area and the US: What Has Changed After 2001?," Working Papers 1215, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
Bagliano, F. and C. Morana, (2012), "The Great Recession: US dynamics and spillovers to the world economy," Journal of Banking and Finance, Elsevier, Vol. 36 (1), pp. 1-13.
Bayoumi, T. and A. Swiston, (2009), “Foreign Entanglements: Estimating the Source and Size of Spillovers Across Industrial Countries,” IMF Staff Papers, Vol. 56 (2), pp. 353-383.
Baxter, M. and M. Kouparitsas, (2005), “Determinants of Business-Cycle Co-movement: A Robust Analysis,” Journal of Monetary Economics, Vol. 52: 1, pp. 113-57.
Baxter, M. and M. Crucini, (1995), “Business Cycles and the Asset Structure of International Trade,” International Economic Review, 36, pp. 821-854.
Beine, M., S. Laurent, and C. Lecourt, (2003), “Official Central Bank Interventions and Exchange Rate Volatility: Evidence from a Regime-Switching Analysis”, European Economic Review, 47, pp. 891- 911.
Bekaert, G., C. R. Harvey, and C. Lundblad, (2006), “Growth Volatility and Financial Liberalization,” Journal of International Money and Finance, 25, pp. 370-403.
Berument, H., Z. Kılınç, and E. Yücel, (2005), “Business Cycles in Turkey and European Union Countries: A perspective to the Membership,” Bilkent University Discussion Papers No: 05-6.
Bhar, R. and S. Hamori, (2003), “Alternative Characterization of the Volatility in the Growth Rate of Real GDP,” Japan and the World Economy, 15, pp. 223-231.
Cai, J., (1994), “A Markov Model of Unconditional Variance in ARCH”, Journal of Business and Economic Statistics, 12(3), pp. 309–316.

Carare, A. and A. Mody, (2010), ‘‘Spillovers of Domestic Shocks: Will They Counteract the Great Moderation,” IMF Working Paper, WP 10/78.
Chen, S., (2006), “Simultaneously Modeling the Volatility of the Growth Rate of Real GDP and Determining Business Cycle Turning Points: Evidence from the U.S., Canada and the UK,” Mathematics and Computer in Simulations, 71(2), pp. 87-102.
Cheung, Y. W., U. G. Erlandsson, (2005). “Exchange Rates and Markov Switching Dynamics,” Journal of Business and Economic Statistics, 23(3), pp. 314-320.
Claessens, S., R. Dornbusch, and Y. S. Park, (2001), ‘‘Contagion: Why Crises Spread and How This Can be Stopped,’’ in: Claessens, S. and K. Forbes, (Eds), International Financial Contagion, Kluwer Academic Publishers, pp. 19-41.
Easterly, W., Islam, R., and Stiglitz, J. E., 2001. “Shaken and Stirred: Explaining Growth Volatility.” in B. Pleskovic and N. Stern (Eds.), Annual World Bank Conference on Development Economics, Washington D. C.: World Bank.
Ertuğrul, H.M. and H. Öztürk, (2013), "The Drivers of Credit Default Swap Prices: Evidence from Selected Emerging Market Countries," Emerging Markets Finance and Trade, 49(S5), pp. 228-249.
Gür, T., H.M. Ertuğrul, (2012), “Döviz Kuru Volatilitesi Modelleri: Türkiye Uygulaması,” Đktisat Đsletme ve Finans, 310(27), pp 53-77.
Hamilton, J.D., (1989), “A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle”, Econometrica, 57, pp. 357-384.
Hamilton, J.D., R. Susmel, (1994), “Autoregressive Conditional Heteroscedasticity and Changes in Regime,” Journal of Econometrics, 64(1-2), pp. 307-333.
Harvey A.C., (1989), Forecasting, Structural Time Series Models and the Kalman Filter. Cambridge, UK: Cambridge University Press.
Helbling, T., P. Berezin, A. Köse, M. Kumhof, D. Laxton, and N. Spatafora, (2007, “Decoupling the Train: Spillovers and Cycles in the World Economy,” Chapter 4 in World Economic Outlook, April 2007, Washington D. C.: International Monetary Fund.
Kaminsky, G. and C. M. Reinhart, (2000), ‘‘On Crises, Contagion, and Confusion,’’ Journal of International Economics, 51(1), pp. 145-168.
Kaminsky, G., C. M. Reinhart, and C. A Végh, (2003), ‘‘The Unholy Trinity of Financial Contagion,’’ Journal of Economic Perspectives, 17 (4), pp. 51-74.
Karolyi, G. A., (2003), “Does International Financial Contagion Really Exist,’’ International Finance, 6(2), pp. 179-199.
Köse, M. A., C. Otrok, and E. S. Prasad, (2008), “Global Business Cycles: Convergence or Decoupling?” IMF Working Paper, WP/08/143.
Köse, M. A., E. S. Prasad, and M. E. Terrones, (2003), “Volatility and Co-movement in a Globalized World Economy: An Empirical Explanation,” IMF Working Paper WP/03/246.
Krugman, P., (1993), “Lessons of Massachusetts for EMU,” in Giavazzi, F., and F. Torres, (Eds.), The Transition to Economic and Monetary Union in Europe, Cambridge UK: Cambridge University Press, pp. 241-61.
Masson, P., (1999), ‘‘Contagion: Monsoonal Effects, Spillovers, and Jumps Between Multiple Equilibria,’’ in Agenor, P. R., M. Miller, D. Vines, and A. Weber, (Eds.), The Asian Financial Crisis: Causes, Contagion, and Consequences. Cambridge, UK: Cambridge University Press.
Mendoza, E.G., (1994), “The Robustness of Macroeconomic Indicators of Capital Mobility,” in Leiderman, L. and A. Razin, (Eds.), Capital Mobility: The Impact on Consumption, Investment, and Growth, Cambridge UK: Cambridge University Press, pp. 83-111.
Özkan, Đ. and L. Erden, (2014), ‘‘Determinants of International Transmission of Business Cycles to Turkish Economy,’’ Economic Modeling, Volume 36, pp. 383-390.
Özün, A., H. M. Ertuğrul, (2014), “Variance-Based Spillover Analysis Between Stock Markets: A Time Varying Parameter Approach”, Acta Physica Polonica A, 125(1), pp. 155-157.
Perez, P. J., D. R. Osborn, and M. Artis, (2003), “The International Business Cycle in a Changing World: Volatility and Propagation of Shocks,” Discussion Paper 037, Centre for Growth and Business-Cycle Research, University of Manchester.
Pericoli, M. and M. Sbracia, (2003), “A Primer on Financial Contagion,” Journal of Economic Surveys, Vol. 17, pp. 571-608.
Pritsker, M., (2001), ‘‘The Channels for Financial Contagion,’’ in Claessens, S., K. Forbes, (Eds.), International Financial Contagion, Kluwer Academic Publishers, pp. 67-95.
Rashid, A. and K. Ö. Kocaaslan, (2013), “Does Energy Consumption Volatility Affect Real GDP Volatility? An Empirical Analysis for the UK”, International Journal of Energy Economics and Policy, 3(4), pp. 384-394.
Razin, A. and A. K. Rose, (1994), “Business-Cycle Volatility and Openness: an Exploratory Cross-Sectional Analysis,” in Leiderman, Leonardo and Assaf Razin, (Eds.), Capital Mobility: The Impact on Consumption, Investment, and Growth, Cambridge UK: Cambridge University Press, pp. 48-76.
Sayek, S. and D. D. Selover, (2002), ‘‘International Interdependence and Business-Cycle Transmission Between Turkey and the European Union,’’ Southern Economic Journal, Vol. 69 (2), 2002, pp. 206-238.
Shih, F. M. and M. C. Wang, (2009), ‘‘Dynamic Volatility Spillover Effects,’’ The Journal of Human Resource and Adult Learning, 5(2), pp.45-57.
Stock, J. H. and Watson, M. W., (2005), ‘‘Understanding Changes in International Business Cycle Dynamics,’’ Journal of the European Economic Association, Vol. 3, pp. 968-1006.
Susmel, R., (1999), "Switching Volatility in International Equity Markets". Department of Finance, University of Houston, Unpublished Manuscript.

Ayrıntılar

Birincil Dil

İngilizce

Konular

Ekonomi

Bölüm

Araştırma Makalesi

Yazarlar

P. Fulya Gebeşoğlu Bu kişi benim
Türkiye

Hasan Murat Ertuğrul Bu kişi benim
Türkiye

Yayımlanma Tarihi

1 Mayıs 2014

Gönderilme Tarihi

1 Mart 2014

Kabul Tarihi

-

Yayımlandığı Sayı

Yıl 2014 Cilt: 3 Sayı: 2

IZ

https://izlik.org/JA28EL72NJ

APA

Gebeşoğlu, P. F., & Ertuğrul, H. M. (2014). GDP Volatility Spillovers from the US and EU to Turkey: A Dynamic Investigation. Ekonomi-tek, 3(2), 51-66. https://izlik.org/JA28EL72NJ

AMA

1.Gebeşoğlu PF, Ertuğrul HM. GDP Volatility Spillovers from the US and EU to Turkey: A Dynamic Investigation. Ekonomi-tek. 2014;3(2):51-66. https://izlik.org/JA28EL72NJ

Chicago

Gebeşoğlu, P. Fulya, ve Hasan Murat Ertuğrul. 2014. “GDP Volatility Spillovers from the US and EU to Turkey: A Dynamic Investigation”. Ekonomi-tek 3 (2): 51-66. https://izlik.org/JA28EL72NJ.

EndNote

Gebeşoğlu PF, Ertuğrul HM (01 Mayıs 2014) GDP Volatility Spillovers from the US and EU to Turkey: A Dynamic Investigation. Ekonomi-tek 3 2 51–66.

IEEE

[1]P. F. Gebeşoğlu ve H. M. Ertuğrul, “GDP Volatility Spillovers from the US and EU to Turkey: A Dynamic Investigation”, Ekonomi-tek, c. 3, sy 2, ss. 51–66, May. 2014, [çevrimiçi]. Erişim adresi: https://izlik.org/JA28EL72NJ

ISNAD

Gebeşoğlu, P. Fulya - Ertuğrul, Hasan Murat. “GDP Volatility Spillovers from the US and EU to Turkey: A Dynamic Investigation”. Ekonomi-tek 3/2 (01 Mayıs 2014): 51-66. https://izlik.org/JA28EL72NJ.

JAMA

1.Gebeşoğlu PF, Ertuğrul HM. GDP Volatility Spillovers from the US and EU to Turkey: A Dynamic Investigation. Ekonomi-tek. 2014;3:51–66.

MLA

Gebeşoğlu, P. Fulya, ve Hasan Murat Ertuğrul. “GDP Volatility Spillovers from the US and EU to Turkey: A Dynamic Investigation”. Ekonomi-tek, c. 3, sy 2, Mayıs 2014, ss. 51-66, https://izlik.org/JA28EL72NJ.

Vancouver

1.P. Fulya Gebeşoğlu, Hasan Murat Ertuğrul. GDP Volatility Spillovers from the US and EU to Turkey: A Dynamic Investigation. Ekonomi-tek [Internet]. 01 Mayıs 2014;3(2):51-66. Erişim adresi: https://izlik.org/JA28EL72NJ

GDP Volatility Spillovers from the US and EU to Turkey: A Dynamic Investigation

Öz

Anahtar Kelimeler

GDP Volatility Spillovers from the US and EU to Turkey: A Dynamic Investigation

Öz

Anahtar Kelimeler

Kaynakça

Ayrıntılar

Birincil Dil

Konular

Bölüm

Yazarlar

Yayımlanma Tarihi

Gönderilme Tarihi

Kabul Tarihi

Yayımlandığı Sayı

IZ

Kaynak Göster