Persistency of Turkish export shocks: a quantile autoregression (QAR) approach

Date
2016
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Source Title
Empirica
Print ISSN
0340-8744
Electronic ISSN
1573-6911
Publisher
Springer
Volume
43
Issue
3
Pages
445 - 460
Language
English
Type
Article
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Abstract

This study analyzes the persistency of total and disaggregated Turkish exports for different shock magnitudes using the quantile autoregression (QAR) method in line with Koenker and Xiao (J Am Stat Assoc 99:775–787, 2004). The results suggest that the persistence of shocks are not similar across different quantiles of Total Exports and disaggregated export sectors, indicating an asymmetry in the case of negative and positive shocks across different export sectors. The persistency behavior of Total Exports as well as Food and Beverages, Chemicals, Basic Metals, Raw Materials, Motor Vehicles and Radio & TV exports are asymmetric to negative versus positive shocks, which cannot be captured by traditional unit root tests. Thus, sound interpretation of QAR results is necessary for policy makers to identify shock characteristics and thereby pursue appropriate policies for overcoming adverse impacts on the economy. © 2015, Springer Science+Business Media New York.

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Keywords
Export demand, Quantile autoregression, Unit root, Economic analysis, Economic impact, Export, International trade, Regression analysis, Turkey
Citation
Published Version (Please cite this version)