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

P. Fulya GEBEŞOĞLU; Hasan Murat ERTUĞRUL

Makale detayları

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

Yazarlar:

P. Fulya GEBEŞOĞLU | Hasan Murat ERTUĞRUL

Yayıncı:

Türkiye Ekonomi Kurumu Vakfı

Ana Başlıklar:

Ekonomi ve Maliye

Dergi:

Ekonomi-tek 2014 Vol.3 Issue 2, pp.51-66

Belge Tipi:

Makale

Yayın Tarihi:

4/2014

Belge Dili:

İngilizce

Document ID (Org No.):

2000404284

eISSN:

2791-7991

pISSN:

2146-6173

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.

 

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.

Makale detayları

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

Yazarlar: P. Fulya GEBEŞOĞLU | Hasan Murat ERTUĞRUL

Yayıncı: Türkiye Ekonomi Kurumu Vakfı

Ana Başlıklar: Ekonomi ve Maliye

Dergi: Ekonomi-tek 2014 Vol.3 Issue 2, pp.51-66

Belge Tipi: Makale

Yayın Tarihi: 4/2014

Belge Dili: İngilizce

Document ID (Org No.): 2000404284

eISSN: 2791-7991

pISSN: 2146-6173

Sayı

Yazarlar:

P. Fulya GEBEŞOĞLU | Hasan Murat ERTUĞRUL

Yayıncı:

Türkiye Ekonomi Kurumu Vakfı

Ana Başlıklar:

Ekonomi ve Maliye

Dergi:

Ekonomi-tek 2014 Vol.3 Issue 2, pp.51-66

Belge Tipi:

Makale

Yayın Tarihi:

4/2014

Belge Dili:

İngilizce

Document ID (Org No.):

2000404284

eISSN:

2791-7991

pISSN:

2146-6173