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A New Composite Leading Indicator for Turkish Economic Activity

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  • ASLIHAN ATABEK
  • EVREN ERDOGAN COSAR
  • SAYGIN SAHIN�Z

Abstract

The aim of this paper is to construct a composite leading indicator (CLI) for Turkish economic activity that would crucially provide earlier signals of turning points between economic expansions and slowdowns. First, for this analysis, the index of industrial production is selected as an indicator for economic activity. Second, a group of variables that perform well both in forecasting and in tracking cyclical developments of economic activity is selected from a broad set of economic indicators related to industrial production. While constructing the CLI, a growth cycle approach is used. The resulting cyclical patterns of the series are obtained by eliminating seasonal, irregular, and trend components via TRAMO/SEATS programs and Hodrick-Prescott filter. The selection of the component series is based on theoretical economic significance and their leading performance at cyclical turning points. From the selected series, different CLIs are constructed, and that with the best performance is chosen as the CLI for Turkish economic activity.

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Bibliographic Info

Article provided by M.E. Sharpe, Inc. in its journal Emerging Markets Finance and Trade.

Volume (Year): 41 (2005)
Issue (Month): 1 (January)
Pages: 45-64

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Handle: RePEc:mes:emfitr:v:41:y:2005:i:1:p:45-64

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Web page: http://mesharpe.metapress.com/link.asp?target=journal&id=111024

Related research

Keywords: detrending; industrial production index; leading indicators; seasonal adjustment;

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Cited by:
  1. H. Burcu Gurcihan & Gonul Sengul & Arzu Yavuz, 2013. "A Quest for Leading Indicators of the Turkish Unemployment Rate," Working Papers 1341, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  2. Sumru Altug & Erhan Uluceviz, 2011. "Leading Indicators of Real Activity and Inflation for Turkey, 2001-2010," Koç University-TUSIAD Economic Research Forum Working Papers 1134, Koc University-TUSIAD Economic Research Forum.
  3. Wong, Shirly Siew-Ling & Puah, Chin-Hong & Abu Mansor, Shazali & Liew, Venus Khim-Sen, 2012. "Early warning indicator of economic vulnerability," MPRA Paper 39944, University Library of Munich, Germany.

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