Business Cycle Asymmetry: Deepness and Steepness in Turkey

Banu Tanrıöver
Rahmi Yamak
JEL codes: 
C22 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models, E32 - Business Fluctuations; Cycles, E37 - Forecasting and Simulation: Models and Applications.
The purpose of this study is to examine “steepness” and “deepness” asymmetry in The Turkish business cycle. The study explains the concept and the kind of business cycle asymmetry and examines the kind of the asymmetry by using quarterly real GDP, industrial production, and manufacturing production in Turkey for the period of 1987:I-2014:I. The presence of seasonal component was determined by Kruskal-Wallis test and decomposed with X12-ARIMA method. Then skewness test that consists of steepness and deepness tests of Sichel (1993) was applied to cycle components. The significance level of the skewness statistics was investigated by using Newey-West (1987) method. According to Newey-West results, the presence of deepness asymmetry was accepted for real GDP, industrial production and manufacturing production in all the kernels options. The presence of steepness asymmetry was also accepted for all the variables.
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