- Ekonomi-tek
- Vol: 3 Issue: 2
- GDP Volatility Spillovers from the US and EU to Turkey: A Dynamic Investigation
GDP Volatility Spillovers from the US and EU to Turkey: A Dynamic Investigation
Authors : P. Fulya Gebeşoğlu, Hasan Murat Ertuğrul
Pages : 51-66
View : 11 | Download : 5
Publication Date : 2014-05-01
Article Type : Research
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