EconPapers    
Economics at your fingertips  
 

End-Point Bias in Trend-Cycle Decompositions: An Application to the Real Exchange Rates of Turkey

Mehmet Ekinci, Gazi Kabaş and Enes Sunel

Central Bank Review, 2013, vol. 13, issue 3, 61-71

Abstract: Estimating a robust and stable trend is an important challenge for policy analysis. In this paper, we compare alternative approaches by estimating the cyclical component of the real exchange rate series of Turkey. Comparison criterion is the sensitivity of the estimated cycle to additional data points. A formal test reveals that cycle values obtained with all methods change substantially upon new data arrivals. To rank the performance of alternative methods, additional measures underlining the comovement of real-time cycles with the cyclical values when additional data are available, and the magnitude of end-point bias are developed. These criteria show that an unobserved components approach, which assumes orthogonal trend and cycle innovations and a fixed share of trend shocks on the real depreciation fluctuations of 10 percent, dominates alternative filtering methods.

Keywords: Trend-cycle decompositions; Real exchange rates; Stochastic trend (search for similar items in EconPapers)
JEL-codes: C22 E37 F31 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
https://www.tcmb.gov.tr/wps/wcm/connect/EN/TCMB+EN ... ew/2013/Volume+13-3/ (application/pdf)

Related works:
Working Paper: End-Point Bias in Trend-Cycle Decompositions: An Application to the Real Exchange Rates of Turkey (2013) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:tcb:cebare:v:13:y:2013:i:3:p:61-71

Access Statistics for this article

More articles in Central Bank Review from Research and Monetary Policy Department, Central Bank of the Republic of Turkey Contact information at EDIRC.
Bibliographic data for series maintained by () and () and () and ().

 
Page updated 2025-03-31
Handle: RePEc:tcb:cebare:v:13:y:2013:i:3:p:61-71