GDP Volatility Spillovers from the US and EU to Turkey: A Dynamic Investigation

Pinar Gebesoglu and Hasan Ertugrul ()

Ekonomi-tek - International Economics Journal, 2014, vol. 3, issue 2, 51-66

Abstract: 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.

Keywords: GDP volatility spillover; ARCH; Kalman filter; spillover effect (search for similar items in EconPapers)
JEL-codes: E32 F41 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://ekonomitek.org/pdffile/no8_09_makale3_gebesoglu_ertugrul.pdf (application/pdf)

Related works:
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:tek:journl:v:3:y:2014:i:2:p:51-66

Access Statistics for this article

Ekonomi-tek - International Economics Journal is currently edited by TEK Secretary

More articles in Ekonomi-tek - International Economics Journal from Turkish Economic Association Contact information at EDIRC.
Bibliographic data for series maintained by Ercan Uygur ().