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Analysis of cyclical behaviour of investment expenditures for the Turkish economy


  • Evren Erdoğan Coşar


This article aims to analyse the cyclical behaviour of fixed investments in Turkey and then construct a Composite Leading Indicators Index (CLI) to forecast the turning points of investment. The cycles of investment and selected leading indicators are identified following the growth cycle approach. The series are detrended using the Hodrick--Prescott (HP) detrending filter. After identification of the cycles and turning points of the selected leading indicators, they are combined into a single composite index. Then a probit model is estimated to evaluate the forecast performance of the composite index. The results show that the constructed CLI is considered to be helpful in monitoring and predicting investment expenditures.

Suggested Citation

  • Evren Erdoğan Coşar, 2012. "Analysis of cyclical behaviour of investment expenditures for the Turkish economy," Applied Economics Letters, Taylor & Francis Journals, vol. 19(13), pages 1213-1221, September.
  • Handle: RePEc:taf:apeclt:v:19:y:2012:i:13:p:1213-1221 DOI: 10.1080/13504851.2011.576995

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    References listed on IDEAS

    1. Lo, Andrew W., 1988. "Maximum Likelihood Estimation of Generalized Itô Processes with Discretely Sampled Data," Econometric Theory, Cambridge University Press, vol. 4(02), pages 231-247, August.
    2. Czellar, Veronika & Karolyi, G. Andrew & Ronchetti, Elvezio, 2007. "Indirect robust estimation of the short-term interest rate process," Journal of Empirical Finance, Elsevier, vol. 14(4), pages 546-563, September.
    3. Ball, Clifford A. & Torous, Walter N., 1996. "Unit roots and the estimation of interest rate dynamics," Journal of Empirical Finance, Elsevier, vol. 3(2), pages 215-238, June.
    4. Chan, K C, et al, 1992. " An Empirical Comparison of Alternative Models of the Short-Term Interest Rate," Journal of Finance, American Finance Association, vol. 47(3), pages 1209-1227, July.
    5. Bergstrom, A. R., 1988. "The History of Continuous-Time Econometric Models," Econometric Theory, Cambridge University Press, vol. 4(03), pages 365-383, December.
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    Cited by:

    1. Hyejung Moon & Jungick Lee, 2013. "Forecast evaluation of economic sentiment indicator for the Korean economy," IFC Bulletins chapters,in: Bank for International Settlements (ed.), Proceedings of the Sixth IFC Conference on "Statistical issues and activities in a changing environment", Basel, 28-29 August 2012., volume 36, pages 180-190 Bank for International Settlements.

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