Month and Holy Days Effects on the Volatility of Trade Deficit: Evidence from Turkey
Journal of Economic & Social Research, vol.10, no.2, pp.67-84, 2008 (Peer-Reviewed Journal)
- Publication Type: Article / Article
- Volume: 10 Issue: 2
- Publication Date: 2008
- Journal Name: Journal of Economic & Social Research
- Journal Indexes: Academic Search Premier, ABI/INFORM, Business Source Elite, Business Source Premier, EconLit, Index Islamicus, Political Science Complete, Sociological abstracts, Worldwide Political Science Abstracts
- Page Numbers: pp.67-84
- Istanbul University Affiliated: Yes
Abstract
This paper tries to examine the month and Holy Days (the feast of Ramadan and the feast of Sacrifice) effects on the volatility of trade deficit of the Turkish economy by using conditional variance framework. Three separate models including dummy variables are estimated in both conditional mean and variance equations. The estimation results reveal that the Holy Days’ effect is significant in the mean equation and that trade deficit occurs mostly in December and least in January. The volatility content of trade deficit is found at a maximum in December, whereas it is at minimum in September.