Ekonomi TEK

Yazarlar: P. Fulya GEBEŞOĞLU, Hasan Murat ERTUĞRUL

Konular:İktisat

Anahtar Kelimeler:GDP volatility spillover,ARCH,Kalman filter,Spillover effect

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.

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