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Nowcasting The New Turkish Gdp

Author

Listed:
  • Baris Soybilgen

    (Istanbul Bilgi University)

  • Ege Yazgan

    (Istanbul Bilgi University)

Abstract

In this study, we predict year-over-year Turkish GDP growth rates between 2012:Q1 and 2016:Q4 with a medium-scale dataset. Our proposed model improves upon \citet{Modugno2016} and outperforms both the competing dynamic factor model (DFM) and univariate benchmark models. Our results suggest that in nowcasting current GDP, all relevant information is released within the contemporaneous quarter; hence, information content regarding leading variables is limited. Moreover, we show that the inclusion of financial variables deteriorates the forecasting performance of the DFM, whereas credit variables improve the prediction accuracy of the DFM.

Suggested Citation

  • Baris Soybilgen & Ege Yazgan, 2017. "Nowcasting The New Turkish Gdp," Working Papers 1702, The Center for Financial Studies (CEFIS), Istanbul Bilgi University.
  • Handle: RePEc:bli:wpaper:1702
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    File URL: https://cefis.bilgi.edu.tr/pdf/CEFIS1702.pdf
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    References listed on IDEAS

    as
    1. Roberto S. Mariano & Yasutomo Murasawa, 2003. "A new coincident index of business cycles based on monthly and quarterly series," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(4), pages 427-443.
    2. Giannone, Domenico & Reichlin, Lucrezia & Small, David, 2008. "Nowcasting: The real-time informational content of macroeconomic data," Journal of Monetary Economics, Elsevier, vol. 55(4), pages 665-676, May.
    3. Modugno, Michele & Soybilgen, Barış & Yazgan, Ege, 2016. "Nowcasting Turkish GDP and news decomposition," International Journal of Forecasting, Elsevier, vol. 32(4), pages 1369-1384.
    4. Vladimir Kuzin & Massimiliano Marcellino & Christian Schumacher, 2013. "Pooling Versus Model Selection For Nowcasting Gdp With Many Predictors: Empirical Evidence For Six Industrialized Countries," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(3), pages 392-411, April.
    5. Marta Bańbura & Michele Modugno, 2014. "Maximum Likelihood Estimation Of Factor Models On Datasets With Arbitrary Pattern Of Missing Data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(1), pages 133-160, January.
    6. Domenico Giannone & Lucrezia Reichlin & David H. Small, 2005. "Nowcasting GDP and inflation: the real-time informational content of macroeconomic data releases," Finance and Economics Discussion Series 2005-42, Board of Governors of the Federal Reserve System (US).
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    More about this item

    Keywords

    Dynamic factor model; Nowcasting; Gross domestic product;

    JEL classification:

    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models

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