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Journals / Ekonomi-tek / 2014 / Cilt: 3 - Sayı: 2

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

P. Fulya GEBEŞOĞLU
Hasan Murat ERTUĞRUL
Pages
51–66
Publication Date
2014-05-01
DOI
—
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AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

However, we do not find any notable volatility spillover from the EU to Turkey.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:Our paper examines the dynamics of GDP volatility spillover from the US and the EU to Turkey.
📊
Key Findings & Data:The associated volatilities are derived through the SWARCH (switching autoregressive conditional heteroscedasticity) model, proposed by Hamilton and Susmel (1994).
💡
Conclusion & Impact:However, we do not find any notable volatility spillover from the EU to Turkey.
🔬Design:Modeling & Simulation
📍Scope:2013 Verileri
⚙️Variables:GDP volatility spillover · ARCH · Kalman filter

Abstract

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.

Özet

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.

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Cite This Article

GEBEŞOĞLU, P. F., ERTUĞRUL, H. M. (2014). GDP Volatility Spillovers from the US and EU to Turkey: A Dynamic Investigation. Ekonomi-tek, Cilt: 3 - Sayı: 2, 51–66. https://ajindex.com/articles/753703

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