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Turkey R-star Series -- cross-method estimates
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TitleEstimating the Natural Rate of Interest in a High-Inflation Emerging Market
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AuthorEmrehan Aktug (Sabanci University)
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SeriesQuarterly r-star estimates for Turkey from structural, Bayesian, reduced-form, and external-anchor methods.
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UnitsAnnualised percent.
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FrequencyQuarterly.
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Sample2005Q2-2025Q4 (83 quarters).
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Blank cellsIndicate that a method is not defined at that date or has not produced an estimate for that quarter.
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Data sourceProcessed output from the Turkey r-star replication code; source series draw on TURKSTAT, the CBRT EVDS portal and Survey of Market Participants, FRED/NY Fed public data, and Bloomberg sovereign-CDS data where licensed.
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CitationAktug, E. (2026). "Estimating the Natural Rate of Interest in a High-Inflation Emerging Market."
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Generated2026-05-29
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Update stepsRefresh the input datasets and method outputs, then run python -m src.export_rstar_series.
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Series (column header)FamilyDescription
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dateIdentifierQuarterly period label.
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LW_2003Structural state-spaceLaubach-Williams (2003) closed-economy natural-rate estimate, two-sided Kalman-smoothed.
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HLW_2017Structural state-spaceHolston-Laubach-Williams (2017) open-economy no-CDS specification, two-sided Kalman-smoothed.
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HLW_2023Structural state-spacePreferred HLW (2023)-style open-economy no-CDS specification with retained high-variance crisis and policy-regime observations, two-sided Kalman-smoothed.
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HLW_SVStructural diagnosticHLW open-economy variant with iterated EWMA stochastic-volatility observation variances, two-sided Kalman-smoothed.
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LW_2003_oneSidedStructural state-space, real-timeLaubach-Williams (2003) closed-economy natural-rate estimate, one-sided Kalman-filtered.
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HLW_2017_oneSidedStructural state-space, real-timeHolston-Laubach-Williams (2017) open-economy no-CDS specification, one-sided Kalman-filtered.
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HLW_2023_oneSidedStructural state-space, real-timePreferred HLW (2023)-style open-economy no-CDS specification, one-sided Kalman-filtered.
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HLW_SV_oneSidedStructural diagnostic, real-timeHLW stochastic-volatility variant, one-sided Kalman-filtered.
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Bayesian_HLW_2023_p50Bayesian structuralPosterior median of the Bayesian HLW (2023)-style r-star estimate, two-sided/smoothed.
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Bayesian_HLW_2023_p05Bayesian structuralFifth percentile of the Bayesian HLW (2023)-style posterior distribution, two-sided/smoothed.
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Bayesian_HLW_2023_p95Bayesian structuralNinety-fifth percentile of the Bayesian HLW (2023)-style posterior distribution, two-sided/smoothed.
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Bayesian_HLW_2023_p50_oneSidedBayesian structural, real-timePosterior median of the Bayesian HLW (2023)-style r-star estimate, one-sided/filtered.
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Bayesian_HLW_2023_p05_oneSidedBayesian structural, real-timeFifth percentile of the Bayesian HLW (2023)-style posterior distribution, one-sided/filtered.
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Bayesian_HLW_2023_p95_oneSidedBayesian structural, real-timeNinety-fifth percentile of the Bayesian HLW (2023)-style posterior distribution, one-sided/filtered.
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Fisher_raw_PPPExternal-anchor benchmarkUS natural-rate estimate plus Turkey five-year CDS spread under the raw PPP/risk-premium benchmark.
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Fisher_PPP_adjustedExternal-anchor benchmarkUS natural-rate estimate plus Turkey five-year CDS spread, adjusted for the HP-trend component of real appreciation.
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Survey_orthodox_meanSurvey/reduced-form benchmarkMean ex-ante real policy rate over orthodox-regime quarters.
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Survey_orthodox_medianSurvey/reduced-form benchmarkMedian ex-ante real policy rate over orthodox-regime quarters.
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Survey_Hamilton_filterReduced-form filterHamilton (2018) regression-filter estimate based on the ex-ante real policy rate.
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