A Quest for Leading Indicators of the Turkish Unemployment Rate
AbstractThis paper examines various variables that are likely to be associated with the Turkish non-agricultural unemployment rate in search of indicators to summarize and forecast the state of the labor market. We consider a total of 72 series that reflect aggregate economic activity, labor market conditions, expectations over future economic activity, global economic trends and credit conditions. We use Granger causality tests, correlation analyses and individual out of sample forecast performance of these series to assess their informativeness about the unemployment rate. We find that Business Tendency Survey indicators and some series that measure the global economic conditions satisfy all three criteria of informativeness. Moreover, the composite index constructed from series selected based upon out of sample predictive power improves short-term forecast performance of the autoregressive benchmark model, where we use only lagged values of the unemployment rate.
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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 1341.
Date of creation: 2013
Date of revision:
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Web page: http://www.tcmb.gov.tr
More information through EDIRC
Leading Indicator; Unemployment Rate; GrangerCausality Test;
Other versions of this item:
- Burcu Gurcihan Yunculer & Gonul Sengul & Arzu Yavuz, 2014. "A Quest for Leading Indicators of the Turkish Unemployment Rate," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 14(1), pages 23-45.
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- E24 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Employment; Unemployment; Wages; Intergenerational Income Distribution
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-11-22 (All new papers)
- NEP-ARA-2013-11-22 (MENA - Middle East & North Africa)
- NEP-FOR-2013-11-22 (Forecasting)
- NEP-MAC-2013-11-22 (Macroeconomics)
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