Structural VAR identification of the Turkish business cycles

Levent, Korap (2007): Structural VAR identification of the Turkish business cycles. Published in: International Research Journal of Finance and Economics , Vol. 9, (2007): pp. 72-86.

Abstract

In this paper, we investigate some of the main properties of the Turkish business cycles. Our empirical findings indicate that domestic inflation is countercyclical with real output and lags the GDP cycle by one quarter. We then construct a structural VAR model upon the Turkish economy, and estimate that the courses of real variables are mainly determined by the supply shocks, while both real and nominal shocks affect significantly the dynamics of the nominal variables.

• Item Type: MPRA Paper
• Language: English
• Keywords: Business Cycles ; Turkish Economy ; SVAR Models
• Subjects: C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models; E - Macroeconomics and Monetary Economics > E3 - Prices, Business Fluctuations, and Cycles > E32 - Business Fluctuations ; Cycles; E - Macroeconomics and Monetary Economics > E3 - Prices, Business Fluctuations, and Cycles > E31 - Price Level ; Inflation ; Deflation

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