Common features and stylized facts in Turkish macroeconomy

The importance of the common features in macroeconomics particularly in real business cycle studies is by now widely understood and manifests itself in numerous studies. On the other hand, there has been very few works related to developing countries. This paper attempts to fill this gap, at least to some extent, by using quarterly observations on major macroeconomic aggregates, namely consumption, investment and output in Turkey to investigate both the stylized facts and the common features. The methodology is based on the multivariate structural time series which allows explicit representation and estimation of the components of economic time series such as trend, slope, cycle and irregular. Empirical results indicate that these aggregates do not share a common cycle; however, a common slope with smooth trend restriction is not rejected indicating that the series are linked with a cointegration of type CI (2,2). The findings imply that in spite of the existence of a long-run relation among them, countercyclical policies targeting any of these variables may not be successfully transmitted to the others in the short run.