Nowcasting Turkish GDP Growth
AbstractIn this paper we present backcasts and nowcasts for quarter on quarter Gross Domestic Product (GDP) growth for Turkish economy. GDP growth is one of the most important economic indicators since GDP figures provide comprehensive information regarding the economic activity. GDP data are published with considerable delay, so early estimates of GDP growth may be valuable. For this aim, we use an extended version of the Stock and Watson coincident indicator model that can deal with mixed frequency (such as quarterly and monthly variables), ragged ends (some indicators are published before others), and missing data (data may not be available at the beginning of the sample for some variables). As soft data we use PMI, and as hard data we use industrial production, import and export quantity indices. We perform simulated out of sample forecasting exercise by taking the ?ow of data releases for 2008Q1-2012Q2 into account. Results show that nowcasts obtained with a model including a soft indicator tracks the GDP growth relatively successfully. Also, the model outperforms benchmark AR model.
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Bibliographic InfoPaper provided by Research and Monetary Policy Department, Central Bank of the Republic of Turkey in its series Working Papers with number 1233.
Date of creation: 2012
Date of revision:
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Time Series; Forecasting; Output Growth;
Find related papers by JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-01-12 (All new papers)
- NEP-ARA-2013-01-12 (MENA - Middle East & North Africa)
- NEP-FDG-2013-01-12 (Financial Development & Growth)
- NEP-FOR-2013-01-12 (Forecasting)
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- Ergun Ermisoglu & Yasin Akcelik & Arif Oduncu, 2013.
"GDP Growth and Credit Data,"
1327, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
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