Araştırma Makalesi
BibTex RIS Kaynak Göster

A Bayesian Estimation of Real Business-Cycle Models for the Turkish Economy

Yıl 2014, Cilt: 3 Sayı: 2, 27 - 50, 01.05.2014

Öz

We estimate a canonical small open economy real business-cycle model and its several extensions using a Bayesian approach to explore the effects of different structural shocks on macroeconomic fluctuations in Turkey. Alternative models include several theoretical exogenous shocks, such as those to temporary and permanent productivity, world interest rates, preferences, and domestic spending, as driving forces together with financial frictions. Results indicate that output is mostly driven by trend growth shocks, while temporary shocks are relatively less important. Although empirical results generally favor the stochastic trend model, in which there are only transitory and permanent productivity shocks as causative elements, an extended model with random world interest rates and various financial frictions can be a viable alternative to explain economic fluctuations.

Kaynakça

  • Adjemian, S., Houtan Bastani, Michel Juillard, Frederic Karame, Ferhat Mihoubi, George Perendia, Johannes Pfeifer, Marco Ratto, and Sebastien Villemot, (2011), “Dynare: Reference Manual, Version 4,” Dynare Working Papers, 1, CEPREMAP.
  • Aguiar, M. and G.Gopinath, (2007), “Emerging-Market Business Cycles: The Cycle is the Trend,” Journal of Political Economy 115 (1), 69-102.
  • An, S. and F. Schorfheide, (2007), “Bayesian Analysis of DSGE Models,” Econometric Reviews 26(2-4), 113-172.
  • Araujo, Eurilton, (2012), “Investment-Specific Shocks and Real Business Cycles in Emerging Economies: Evidence from Brazil,” Economic Modeling, 29, 671-678.
  • Bhattacharya, R., I. Patnaik, and M. Pundit, (2013), “Emerging-Economy Business Cycles: Financial Integration and Terms of Trade Shocks,” IMF Working Paper, WP/13/119.
  • Bolanos, A., O. and J. Wishart, (2012), “Trend Shocks and Financial Frictions in Small Open Economies Modeling,” Center For Latin American Monetary Studies.
  • Calvo, G., A., (1998), "Capital Flows and Capital Market Crises: The Simple Economics of Sudden Stops", Journal of Applied Economics, Vol: 1, No:1, pg: 35-54.
  • Calvo, G., L. Leiderman, and C. Reinhart, (1993), “Capital Inflows and Real Exchange-Rate Appreciation in Latin America: The Role of External Factors” MPRA Paper No: 7125.
  • Canova, F., (2007), Methods for Applied Macroeconomic Research. 1st Edn., Princeton, NJ, USA: Princeton University Press.
  • Chang, R. and A . Fernandez, (2010), “On the Sources of Aggregate Fluctuations in Emerging Economies,” NBER Working Paper Series No.w15938.
  • Chang, R. and A . Fernandez, (2013), “On the Sources of Aggregate Fluctuations in Emerging Economies,” International Economic Review, 54 (4), 1265-1293.
  • Correia, I. J. C. N. and S. Rebelo, (1995), “Business Cycles in Small Open Economies.” European Economic Review, 39, 1089-1113.
  • De Jong, N., D., and C. Dave, (2007), Structural Macroeconometrics. Princeton University Press, Princeton, New Jersey.
  • García-Cicco, Javier, Roberto Pancrazi, and Martín Uribe (2010), "Real Business Cycles in Emerging Countries?" American Economic Review, 100 (5): 2510-31.
  • Kydland, F. E. and C. E. Zarazaga, (2002), “Argentina’s Lost Decade,” Review of Economic Dynamics 5, 152-165.
  • Lubik, T. and W. Teo, (2005), “Do World Shocks Drive Domestic Business Cycles? Some Evidence from Structural Estimation,” http://econ.jhu.edu/wp-content/uploads/pdf/papers/wp522lubik.pdf
  • Mendoza, E. G., (1991), “Real Business Cycles in a Small Open Economy,” American Economic Review 81 (4), 797-818.
  • Neumeyer, P. A. and F. Perri, (2005), “Business Cycles in Emerging Economies: The Role of the Interest Rates,” Journal of Monetary Economics, Vol. 52 (2), 345-380.
  • Oviedo, P. M., (2005), “World Interest Rate, Business Cycle, and Financial Intermediation in Small Open Economies,” Staff General Research Papers, Iowa State University.
  • Özbilgin, Murat (2009), “Financial Market Participation and the Developing Country Business Cycle,” Journal of Development Economics, 92, 125-137.
  • Schmitt-Grohe, S. and M. Uribe, (2003), “Closing Small Open Economy Models,” Journal of International Economics 61, 163-185.
  • Tastan, Hüseyin, (2013), “Real Business Cycles in Emerging Economies: The Turkish Case,” Economic Modeling, Vol. 34, 106-113.
  • Tiryaki, Tolga, (2010), “Interest Rates and Real Business Cycles in Emerging Markets,” Working Papers 1008, Research and Monetary Policy Department, Central Bank of Republic of Turkey.
  • Uribe, M. and V. Z. Yue, (2006), “Country Spreads and Emerging Countries: Who Drives Whom?” Journal of International Economics 69 (1), 6-36.

A Bayesian Estimation of Real Business-Cycle Models for the Turkish Economy

Yıl 2014, Cilt: 3 Sayı: 2, 27 - 50, 01.05.2014

Öz

We estimate a canonical small open economy real business-cycle model and its several extensions using a Bayesian approach to explore the effects of different structural shocks on macroeconomic fluctuations in Turkey. Alternative models include several theoretical exogenous shocks, such as those to temporary and permanent productivity, world interest rates, preferences, and domestic spending, as driving forces together with financial frictions. Results indicate that output is mostly driven by trend growth shocks, while temporary shocks are relatively less important. Although empirical results generally favor the stochastic trend model, in which there are only transitory and permanent productivity shocks as causative elements, an extended model with random world interest rates and various financial frictions can be a viable alternative to explain economic fluctuations.

Kaynakça

  • Adjemian, S., Houtan Bastani, Michel Juillard, Frederic Karame, Ferhat Mihoubi, George Perendia, Johannes Pfeifer, Marco Ratto, and Sebastien Villemot, (2011), “Dynare: Reference Manual, Version 4,” Dynare Working Papers, 1, CEPREMAP.
  • Aguiar, M. and G.Gopinath, (2007), “Emerging-Market Business Cycles: The Cycle is the Trend,” Journal of Political Economy 115 (1), 69-102.
  • An, S. and F. Schorfheide, (2007), “Bayesian Analysis of DSGE Models,” Econometric Reviews 26(2-4), 113-172.
  • Araujo, Eurilton, (2012), “Investment-Specific Shocks and Real Business Cycles in Emerging Economies: Evidence from Brazil,” Economic Modeling, 29, 671-678.
  • Bhattacharya, R., I. Patnaik, and M. Pundit, (2013), “Emerging-Economy Business Cycles: Financial Integration and Terms of Trade Shocks,” IMF Working Paper, WP/13/119.
  • Bolanos, A., O. and J. Wishart, (2012), “Trend Shocks and Financial Frictions in Small Open Economies Modeling,” Center For Latin American Monetary Studies.
  • Calvo, G., A., (1998), "Capital Flows and Capital Market Crises: The Simple Economics of Sudden Stops", Journal of Applied Economics, Vol: 1, No:1, pg: 35-54.
  • Calvo, G., L. Leiderman, and C. Reinhart, (1993), “Capital Inflows and Real Exchange-Rate Appreciation in Latin America: The Role of External Factors” MPRA Paper No: 7125.
  • Canova, F., (2007), Methods for Applied Macroeconomic Research. 1st Edn., Princeton, NJ, USA: Princeton University Press.
  • Chang, R. and A . Fernandez, (2010), “On the Sources of Aggregate Fluctuations in Emerging Economies,” NBER Working Paper Series No.w15938.
  • Chang, R. and A . Fernandez, (2013), “On the Sources of Aggregate Fluctuations in Emerging Economies,” International Economic Review, 54 (4), 1265-1293.
  • Correia, I. J. C. N. and S. Rebelo, (1995), “Business Cycles in Small Open Economies.” European Economic Review, 39, 1089-1113.
  • De Jong, N., D., and C. Dave, (2007), Structural Macroeconometrics. Princeton University Press, Princeton, New Jersey.
  • García-Cicco, Javier, Roberto Pancrazi, and Martín Uribe (2010), "Real Business Cycles in Emerging Countries?" American Economic Review, 100 (5): 2510-31.
  • Kydland, F. E. and C. E. Zarazaga, (2002), “Argentina’s Lost Decade,” Review of Economic Dynamics 5, 152-165.
  • Lubik, T. and W. Teo, (2005), “Do World Shocks Drive Domestic Business Cycles? Some Evidence from Structural Estimation,” http://econ.jhu.edu/wp-content/uploads/pdf/papers/wp522lubik.pdf
  • Mendoza, E. G., (1991), “Real Business Cycles in a Small Open Economy,” American Economic Review 81 (4), 797-818.
  • Neumeyer, P. A. and F. Perri, (2005), “Business Cycles in Emerging Economies: The Role of the Interest Rates,” Journal of Monetary Economics, Vol. 52 (2), 345-380.
  • Oviedo, P. M., (2005), “World Interest Rate, Business Cycle, and Financial Intermediation in Small Open Economies,” Staff General Research Papers, Iowa State University.
  • Özbilgin, Murat (2009), “Financial Market Participation and the Developing Country Business Cycle,” Journal of Development Economics, 92, 125-137.
  • Schmitt-Grohe, S. and M. Uribe, (2003), “Closing Small Open Economy Models,” Journal of International Economics 61, 163-185.
  • Tastan, Hüseyin, (2013), “Real Business Cycles in Emerging Economies: The Turkish Case,” Economic Modeling, Vol. 34, 106-113.
  • Tiryaki, Tolga, (2010), “Interest Rates and Real Business Cycles in Emerging Markets,” Working Papers 1008, Research and Monetary Policy Department, Central Bank of Republic of Turkey.
  • Uribe, M. and V. Z. Yue, (2006), “Country Spreads and Emerging Countries: Who Drives Whom?” Journal of International Economics 69 (1), 6-36.
Toplam 24 adet kaynakça vardır.

Ayrıntılar

Birincil Dil İngilizce
Konular Ekonomi
Bölüm Araştırma Makaleleri
Yazarlar

Hüseyin Taştan

Bekir Aşık Bu kişi benim

Yayımlanma Tarihi 1 Mayıs 2014
Yayımlandığı Sayı Yıl 2014 Cilt: 3 Sayı: 2

Kaynak Göster

APA Taştan, H., & Aşık, B. (2014). A Bayesian Estimation of Real Business-Cycle Models for the Turkish Economy. Ekonomi-Tek, 3(2), 27-50.