GDP Volatility Spillovers from the US and EU to Turkey: A Dynamic Investigation
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Hakan Berument & Zübeyir Kılınç & Eray M. Yücel, 2005.
"Business Cycles in Turkey and European Union Countries: A Perspective to the Membership,"
Sosyoekonomi Journal, Sosyoekonomi Society, issue 2005-1.
- Hakan Berument & M. Eray YŸcel & ZŸbeyir Kilin, 2005. "Business Cycles in Turkey and European Union Countries: A Perspective to the Membership," Working Papers 0506, Department of Economics, Bilkent University.
- Baxter, Marianne & Crucini, Mario J, 1995.
"Business Cycles and the Asset Structure of Foreign Trade,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 36(4), pages 821-854, November.
- Baxter, M. & Crucini, M., 1991. "Business Cycles and the Asset Structure of Foreign Trade," RCER Working Papers 316, University of Rochester - Center for Economic Research (RCER).
- Marianne Baxter & Mario J. Crucini, 1992. "Business cycles and the asset structure of foreign trade," Discussion Paper / Institute for Empirical Macroeconomics 59, Federal Reserve Bank of Minneapolis.
- Marianne Baxter & Mario J. Crucini, 1994. "Business Cycles and the Asset Structure of Foreign Trade," NBER Working Papers 4975, National Bureau of Economic Research, Inc.
- Selin Sayek & David D. Selover, 2002. "International Interdependence and Business Cycle Transmission between Turkey and the European Union," Southern Economic Journal, John Wiley & Sons, vol. 69(2), pages 206-238, October.
- Baxter, Marianne & Kouparitsas, Michael A., 2005.
"Determinants of business cycle comovement: a robust analysis,"
Journal of Monetary Economics, Elsevier, vol. 52(1), pages 113-157, January.
- Marianne Baxter & Michael A. Kouparitsas, 2004. "Determinants of business cycle comovement: a robust analysis," Working Paper Series WP-04-14, Federal Reserve Bank of Chicago.
- Marianne Baxter & Michael A. Kouparitsas, 2004. "Determinants of Business Cycle Comovement: A Robust Analysis," NBER Working Papers 10725, National Bureau of Economic Research, Inc.
- Baxter, Marianne, 1995.
"International trade and business cycles,"
Handbook of International Economics, in: G. M. Grossman & K. Rogoff (ed.), Handbook of International Economics, edition 1, volume 3, chapter 35, pages 1801-1864,
Elsevier.
- Baxter, M., 1994. "International Trade and Business Cycles," RCER Working Papers 390, University of Rochester - Center for Economic Research (RCER).
- Marianne Baxter, 1995. "International Trade and Business Cycles," NBER Working Papers 5025, National Bureau of Economic Research, Inc.
- M. Ayhan Kose & Christopher Otrok & Eswar Prasad, 2012.
"Global Business Cycles: Convergence Or Decoupling?,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 53(2), pages 511-538, May.
- Kose, M. Ayhan & Otrok, Christopher M. & Prasad, Eswar S., 2008. "Global business cycles: convergence or decoupling?," Discussion Paper Series 1: Economic Studies 2008,17, Deutsche Bundesbank.
- Kose, M. Ayhan & Otrok, Christopher & Prasad, Eswar, 2008. "Global Business Cycles: Convergence or Decoupling?," IZA Discussion Papers 3442, Institute of Labor Economics (IZA).
- Mr. Ayhan Kose & Mr. Eswar S Prasad & Mr. Christopher Otrok, 2008. "Global Business Cycles: Convergence or Decoupling?," IMF Working Papers 2008/143, International Monetary Fund.
- M. Ayhan Kose & Christopher Otrok & Eswar S. Prasad, 2008. "Global Business Cycles: Convergence or Decoupling?," NBER Working Papers 14292, National Bureau of Economic Research, Inc.
- Tamim Bayoumi & Andrew Swiston, 2009.
"Foreign Entanglements: Estimating the Source and Size of Spillovers Across Industrial Countries,"
IMF Staff Papers, Palgrave Macmillan, vol. 56(2), pages 353-383, June.
- Mr. Tamim Bayoumi & Mr. Andrew J Swiston, 2007. "Foreign Entanglements: Estimating the Source and Size of Spillovers Across Industrial Countries," IMF Working Papers 2007/182, International Monetary Fund.
- P J Perez & D R Osborn & M Artis, 2003.
"The International Business Cycle in a Changing World: Volatility and the Propagation of Shocks,"
Centre for Growth and Business Cycle Research Discussion Paper Series
37, Economics, The University of Manchester.
- Denise Osborn & Pedro Perez & Michael Artis, 2004. "The International Business Cycle In A Changing World: Volatility And The Propagation Of Shocks," Royal Economic Society Annual Conference 2004 138, Royal Economic Society.
- Pedro PEREZ-VAZQUEZ & Denise OSBORN & Michael ARTIS, 2010. "The International Business Cycle in a Changing World:Volatility and the Propagation of Shocks," EcoMod2004 330600111, EcoMod.
- Kaminsky, Graciela L. & Reinhart, Carmen M., 2000.
"On crises, contagion, and confusion,"
Journal of International Economics, Elsevier, vol. 51(1), pages 145-168, June.
- Reinhart, Carmen & Kaminsky, Graciela, 1998. "On crises, contagion, and confusion," MPRA Paper 13709, University Library of Munich, Germany.
- Bekaert, Geert & Harvey, Campbell R. & Lundblad, Christian, 2006.
"Growth volatility and financial liberalization,"
Journal of International Money and Finance, Elsevier, vol. 25(3), pages 370-403, April.
- Geert Bekaert & Campbell R. Harvey & Christian Lundblad, 2004. "Growth Volatility and Financial Liberalization," NBER Working Papers 10560, National Bureau of Economic Research, Inc.
- Marcello Pericoli & Massimo Sbracia, 2003.
"A Primer on Financial Contagion,"
Journal of Economic Surveys, Wiley Blackwell, vol. 17(4), pages 571-608, September.
- Marcello Pericoli & Massimo Sbracia, 2001. "A Primer on Financial Contagion," Temi di discussione (Economic working papers) 407, Bank of Italy, Economic Research and International Relations Area.
- Agénor,Pierre-Richard & Miller,Marcus & Vines,David & Weber,Axel (ed.), 1999. "The Asian Financial Crisis," Cambridge Books, Cambridge University Press, number 9780521770804, January.
- Hasan Murat Ertugrul & Huseyin Ozturk, 2013. "The Drivers of Credit Default Swap Prices: Evidence from Selected Emerging Market Countries," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 49(S5), pages 228-249, November.
- Bagliano, Fabio C. & Morana, Claudio, 2012.
"The Great Recession: US dynamics and spillovers to the world economy,"
Journal of Banking & Finance, Elsevier, vol. 36(1), pages 1-13.
- Fabio C. Bagliano & Claudio Morana, 2010. "The Great Recession: US dynamics and spillovers to the world economy," Working papers 17, Former Department of Economics and Public Finance "G. Prato", University of Torino.
- Fabio Bagliano & Claudio Morana, 2010. "The Great Recession: US dynamics and spillovers to the world economy," CeRP Working Papers 103, Center for Research on Pensions and Welfare Policies, Turin (Italy).
- Fabio C. Bagliano & Claudio Morana, 2010. "The Great Recession: US dynamics and spillovers to the world economy," ICER Working Papers - Applied Mathematics Series 34-2010, ICER - International Centre for Economic Research.
- Beine, Michel & Laurent, Sebastien & Lecourt, Christelle, 2003.
"Official central bank interventions and exchange rate volatility: Evidence from a regime-switching analysis,"
European Economic Review, Elsevier, vol. 47(5), pages 891-911, October.
- Michel Beine & Sébastien Laurent & Christelle Lecourt, 2003. "Official central bank interventions and exchange rate volatility: evidence from a regime-switching analysis," ULB Institutional Repository 2013/10437, ULB -- Universite Libre de Bruxelles.
- BEINE, Michel & LAURENT, Sébastien & LECOURT, Christelle, 2003. "Official central bank interventions and exchange rate volatility: Evidence from a regime-switching analysis," LIDAM Reprints CORE 1705, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Graciela L. Kaminsky & Carmen M. Reinhart & Carlos A. Végh, 2003.
"The Unholy Trinity of Financial Contagion,"
Journal of Economic Perspectives, American Economic Association, vol. 17(4), pages 51-74, Fall.
- Reinhart, Carmen & Kaminsky, Graciela & Vegh, Carlos, 2002. "Two Hundred Years of Contagion," MPRA Paper 13229, University Library of Munich, Germany.
- Reinhart, Carmen & Kaminsky, Graciela & Vegh, Carlos, 2003. "The unholy trinity of financial contagion," MPRA Paper 13878, University Library of Munich, Germany.
- Graciela L. Kaminsky & Carmen Reinhart & Carlos A. Vegh, 2003. "The Unholy Trinity of Financial Contagion," NBER Working Papers 10061, National Bureau of Economic Research, Inc.
- Mr. Ashoka Mody & Ms. Alina Carare, 2010. "Spillovers of Domestic Shocks: Will They Counteract the “Great Moderation”?," IMF Working Papers 2010/078, International Monetary Fund.
- Cheung, Yin-Wong & Erlandsson, Ulf G., 2005.
"Exchange Rates and Markov Switching Dynamics,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 23, pages 314-320, July.
- Yin-Wong Cheung & Ulf G. Erlandsson, 2004. "Exchange Rates and Markov Switching Dynamics," CESifo Working Paper Series 1348, CESifo.
- Yin-wong Cheung & Ulf G. Erlandsson, 2005. "Exchange Rates and Markov Switching Dynamics," Working Papers 052005, Hong Kong Institute for Monetary Research.
- Huseyin Cagri Akkoyun & Mahmut Gunay & Bahar Sen-Dogan, 2012. "Business Cycle Synchronization of Turkey with Euro Area and the US : What Has Changed After 2001?," Working Papers 1215, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
- Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-384, March.
- James H. Stock & Mark W. Watson, 2005.
"Understanding Changes In International Business Cycle Dynamics,"
Journal of the European Economic Association, MIT Press, vol. 3(5), pages 968-1006, September.
- James H. Stock & Mark W. Watson, 2003. "Understanding Changes in International Business Cycle Dynamics," NBER Working Papers 9859, National Bureau of Economic Research, Inc.
- Bhar, Ramaprasad & Hamori, Shigeyuki, 2003. "Alternative characterization of the volatility in the growth rate of real GDP," Japan and the World Economy, Elsevier, vol. 15(2), pages 223-231, April.
- Chen, Shyh-Wei, 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 Computers in Simulation (MATCOM), Elsevier, vol. 71(2), pages 87-102.
- repec:bla:intfin:v:6:y:2003:i:2:p:179-99 is not listed on IDEAS
- Erden, Lutfi & Ozkan, Ibrahim, 2014. "Determinants of international transmission of business cycles to Turkish economy," Economic Modelling, Elsevier, vol. 36(C), pages 383-390.
- Timur Han GÜR & Hasan Murat ERTUĞRUL, 2012. "Döviz kuru volatilitesi modelleri: Türkiye uygulaması," Iktisat Isletme ve Finans, Bilgesel Yayincilik, vol. 27(310), pages 53-77.
- Abdul Rashid & Ozge Kandemir Kocaaslan, 2013.
"Does Energy Consumption Volatility Affect Real GDP Volatility? An Empirical Analysis for the UK,"
International Journal of Energy Economics and Policy, Econjournals, vol. 3(4), pages 384-394.
- Rashid, Abdul & Kocaaslan, Ozge Kandemir, 2013. "Does Energy Consumption Volatility Affect Real GDP Volatility? An Empirical Analysis for the UK," MPRA Paper 49580, University Library of Munich, Germany.
- Hamilton, James D. & Susmel, Raul, 1994.
"Autoregressive conditional heteroskedasticity and changes in regime,"
Journal of Econometrics, Elsevier, vol. 64(1-2), pages 307-333.
- Tom Doan, "undated". "RATS programs to estimate Hamilton-Susmel Markov Switching ARCH model," Statistical Software Components RTZ00083, Boston College Department of Economics.
- G. Andrew Karolyi, 2003. "Does International Financial Contagion Really Exist?," International Finance, Wiley Blackwell, vol. 6(2), pages 179-199, July.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Sebnem Kalemli-Ozcan & Elias Papaioannou & José-Luis Peydró, 2013.
"Financial Regulation, Financial Globalization, and the Synchronization of Economic Activity,"
Journal of Finance, American Finance Association, vol. 68(3), pages 1179-1228, June.
- Kalemli-Ozcan, Sebnem & Papaioannou, Elias & Peydró, José-Luis, 2013. "Financial regulation, financial globalization, and the synchronization of economic activity," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 68(3), pages 1179-1228.
- Sebnem Kalemli-Ozcan & Elias Papaioannou & José Luis Peydró, 2009. "Financial Regulation, Financial Globalization and the Synchronization of Economic Activity," NBER Working Papers 14887, National Bureau of Economic Research, Inc.
- Kalemli-Ozcan, Sebnem & Papaioannou, Elias & Peydró, José-Luis, 2010. "Financial regulation, financial globalization and the synchronization of economic activity," Working Paper Series 1221, European Central Bank.
- John Beirne & Guglielmo Maria Caporale & Marianne Schulze-Ghattas & Nicola Spagnolo, 2013.
"Volatility Spillovers and Contagion from Mature to Emerging Stock Markets,"
Review of International Economics, Wiley Blackwell, vol. 21(5), pages 1060-1075, November.
- Guglielmo Maria Caporale & Mrs. Marianne Schulze-Gattas & John Beirne & Nicola Spagnolo, 2008. "Volatility Spillovers and Contagion from Mature to Emerging Stock Markets," IMF Working Papers 2008/286, International Monetary Fund.
- Beirne, John & Caporale, Guglielmo Maria & Schulze-Ghattas, Marianne & Spagnolo, Nicola, 2009. "Volatility spillovers and contagion from mature to emerging stock markets," Working Paper Series 1113, European Central Bank.
- John Beirne & Guglielmo Maria Caporale & Marianne Schulze-Ghattas & Nicola Spagnolo, 2009. "Volatility Spillovers and Contagion from Mature to Emerging Stock Markets," CESifo Working Paper Series 2545, CESifo.
- John Beirne & Guglielmo Maria Caporale & Marianne Schulze-Ghattas & Nicola Spagnolo, 2009. "Volatility Spillovers and Contagion from Mature to Emerging Stock Markets," Discussion Papers of DIW Berlin 873, DIW Berlin, German Institute for Economic Research.
- Kalemli-Ozcan, Sebnem & Papaioannou, Elias & Perri, Fabrizio, 2013.
"Global banks and crisis transmission,"
Journal of International Economics, Elsevier, vol. 89(2), pages 495-510.
- Sebnem Kalemli-Ozcan, 2011. "Global Banks and Crisis Transmission," 2011 Meeting Papers 1376, Society for Economic Dynamics.
- Perri, Fabrizio & Kalemli-Özcan, Sebnem & Papaioannou, Elias, 2012. "Global Banks and Crisis Transmission," CEPR Discussion Papers 9044, C.E.P.R. Discussion Papers.
- Sebnem Kalemli-Ozcan & Elias Papaioannou & Fabrizio Perri, 2012. "Global Banks and Crisis Transmission," NBER Working Papers 18209, National Bureau of Economic Research, Inc.
- Giovanna Bua & Carmine Trecroci, 2019.
"International equity markets interdependence: bigger shocks or contagion in the 21st century?,"
Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 155(1), pages 43-69, February.
- Bua, Giovanna & Trecroci, Carmine, 2016. "International Equity Markets Interdependence: Bigger Shocks or Contagion in the 21st Century?," MPRA Paper 74771, University Library of Munich, Germany.
- Gravelle, Toni & Kichian, Maral & Morley, James, 2006.
"Detecting shift-contagion in currency and bond markets,"
Journal of International Economics, Elsevier, vol. 68(2), pages 409-423, March.
- Toni Gravelle & Maral Kichian & James Morley, 2002. "Detecting shift-contagion in currency and bond markets," Computing in Economics and Finance 2002 58, Society for Computational Economics.
- Erden, Lutfi & Ozkan, Ibrahim, 2014. "Determinants of international transmission of business cycles to Turkish economy," Economic Modelling, Elsevier, vol. 36(C), pages 383-390.
- Altug, Sumru & Bildirici, Melike, 2010.
"Business Cycles around the Globe: A Regime-switching Approach,"
CEPR Discussion Papers
7968, C.E.P.R. Discussion Papers.
- Sumru Altuğ & Melike Bildirici, 2010. "Business Cycles around the Globe: A Regime Switching Approach," Working Papers 0032, Yildiz Technical University, Department of Economics, revised Mar 2010.
- Sumru Altug & Melike Bildirici, 2010. "Business Cycles around the Globe: A Regime Switching Approach," Koç University-TUSIAD Economic Research Forum Working Papers 1009, Koc University-TUSIAD Economic Research Forum.
- Hasan Murat Ertugrul & Huseyin Ozturk, 2013. "The Drivers of Credit Default Swap Prices: Evidence from Selected Emerging Market Countries," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 49(S5), pages 228-249, November.
- Herrerias, M.J. & Ordóñez, J., 2014. "If the United States sneezes, does the world need “pain-killers”?," International Review of Economics & Finance, Elsevier, vol. 31(C), pages 159-170.
- J. Scott Davis, 2011. "Financial integration and international business cycle co-movement: the role of balance sheets," Globalization Institute Working Papers 89, Federal Reserve Bank of Dallas.
- Perron, Pierre & Wada, Tatsuma, 2016.
"Measuring business cycles with structural breaks and outliers: Applications to international data,"
Research in Economics, Elsevier, vol. 70(2), pages 281-303.
- Tatsuma Wada & Pierre Perron, 2014. "Measuring Business Cycles with Structural Breaks and Outliers: Applications to International Data," Boston University - Department of Economics - Working Papers Series 2014-004, Boston University - Department of Economics.
- Pierre Perron & Tatsuma Wada, 2015. "Measuring Business Cycles with Structural Breaks and Outliers: Applications to International Data," Boston University - Department of Economics - Working Papers Series wp2015-016, Boston University - Department of Economics.
- Begüm Yurteri Kösedağlı & A. Özlem Önder, 2021. "Determinants of financial stress in emerging market economies: Are spatial effects important?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 4653-4669, July.
- Tatsuma Wada & Pierre Perron, 2006. "State Space Model with Mixtures of Normals: Specifications and Applications to International Data," Boston University - Department of Economics - Working Papers Series WP2006-029, Boston University - Department of Economics.
- Serda Selin Öztürk & Engin Volkan, 2015. "Intraindustry Volatility Spillovers in the MENA Region," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 51(6), pages 1163-1174, November.
- Eickmeier, Sandra, 2007.
"Business cycle transmission from the US to Germany--A structural factor approach,"
European Economic Review, Elsevier, vol. 51(3), pages 521-551, April.
- Eickmeier, Sandra, 2004. "Business Cycle Transmission from the US to Germany: a Structural Factor Approach," Discussion Paper Series 1: Economic Studies 2004,12, Deutsche Bundesbank.
- Ahmad, Wasim & Sehgal, Sanjay & Bhanumurthy, N.R., 2013. "Eurozone crisis and BRIICKS stock markets: Contagion or market interdependence?," Economic Modelling, Elsevier, vol. 33(C), pages 209-225.
- Pedro Cerqueira, 2013.
"A closer look at the world business cycle synchronization,"
International Economics and Economic Policy, Springer, vol. 10(3), pages 349-363, September.
- Pedro André Cerqueira, 2010. "A Closer Look at the World Business Cycle Synchronization," GEMF Working Papers 2010-21, GEMF, Faculty of Economics, University of Coimbra.
- Giorgio Canarella & WenShwo Fang & Stephen M. Miller & Stephen K. Pollard, 2008.
"Is the Great Moderation Ending? UK and US Evidence,"
Working Papers
0801, University of Nevada, Las Vegas , Department of Economics.
- Giorgio Canarella & WenShwo Fang & Stephen M. Miller & Stephen K. Pollard, 2008. "Is the Great Moderation Ending? UK and US Evidence," Working papers 2008-24, University of Connecticut, Department of Economics.
- Sandoval Paucar, Giovanny, 2018. "Efectos de desbordamiento sobre los mercados financieros de Colombia. Identificación a través de la heterocedasticidad [Spillovers effects on financial markets of Colombia. Identification through h," MPRA Paper 90422, University Library of Munich, Germany.
- Kalemli-Özcan, Sebnem & Papaioannou, Elias & Peydró, José-Luis, 2009. "Financial Integration and Business Cycle Synchronization," CEPR Discussion Papers 7292, C.E.P.R. Discussion Papers.
More about this item
Keywords
GDP volatility spillover; ARCH; Kalman filter; spillover effect;All these keywords.
JEL classification:
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:tek:journl:v:3:y:2014:i:2:p:51-66. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Ercan Uygur (email available below). General contact details of provider: https://edirc.repec.org/data/tekkkea.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.