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Dergiler / 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
Sayfa
51–66
Yayın Tarihi
2014-05-01
DOI
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⚡ TL;DR(1 Cümlede Hızlı Çıkarım)

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

📌 3 Maddede Bu Makale

🎯
Amaç & Hipotez:Our paper examines the dynamics of GDP volatility spillover from the US and the EU to Turkey.
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Temel Bulgular & Veri:The associated volatilities are derived through the SWARCH (switching autoregressive conditional heteroscedasticity) model, proposed by Hamilton and Susmel (1994).
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Sonuç & Katkı:However, we do not find any notable volatility spillover from the EU to Turkey.
🔬Tür:Modelleme & Sayısal Simülasyon
📍Kapsam:2013 Verileri
⚙️Değişkenler:GDP volatility spillover · ARCH · Kalman filter

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.

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.

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Bu Makaleye Atıf Yap

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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Kaynakça (11)

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  9. 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.
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