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Nowcasting Turkish GDP and News Decomposition

Author

Listed:
  • Michele Modugno
  • Baris Soybilgen
  • M. Ege Yazgan

Abstract

Real gross domestic product (GDP) data in Turkey are released with a very long delay compared with other economies, between 10 and 13 weeks after the end of the reference quarter. To infer the current state of the economy, policy makers, media, and market practitioners examine data that are more timely, that are released at higher frequencies than the GDP. In this paper, we propose an econometric model that automatically allows us to read through these more current and higher-frequency data and translate them into nowcasts for the Turkish real GDP. Our model outperforms nowcasts produced by the Central Bank of Turkey, the International Monetary Fund, and the Organisation for Economic Co-operation and Development. Moreover, our model allows us to quantify the importance of each variable in our dataset in nowcasting Turkish real GDP. In line with findings for other economies, we find that real variables play the most important role; however, contrary to the findings for other economies, we find that financial variables are as important as surveys.

Suggested Citation

  • Michele Modugno & Baris Soybilgen & M. Ege Yazgan, 2016. "Nowcasting Turkish GDP and News Decomposition," Finance and Economics Discussion Series 2016-044, Board of Governors of the Federal Reserve System (US).
  • Handle: RePEc:fip:fedgfe:2016-44
    DOI: 10.17016/FEDS.2016.044
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    References listed on IDEAS

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    Citations

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    Cited by:

    1. Bragoli, Daniela & Modugno, Michele, 2017. "A now-casting model for Canada: Do U.S. variables matter?," International Journal of Forecasting, Elsevier, vol. 33(4), pages 786-800.
    2. Tóth, Peter, 2014. "Malý dynamický faktorový model na krátkodobé prognózovanie slovenského HDP
      [A Small Dynamic Factor Model for the Short-Term Forecasting of Slovak GDP]
      ," MPRA Paper 63713, University Library of Munich, Germany.
    3. Tony Chernis & Calista Cheung & Gabriella Velasco, 2017. "A Three-Frequency Dynamic Factor Model for Nowcasting Canadian Provincial GDP Growth," Discussion Papers 17-8, Bank of Canada.
    4. Porshakov, A. & Ponomarenko, A. & Sinyakov, A., 2016. "Nowcasting and Short-Term Forecasting of Russian GDP with a Dynamic Factor Model," Journal of the New Economic Association, New Economic Association, vol. 30(2), pages 60-76.
    5. Laurent Ferrara & Anna Simoni, 2019. "When are Google data useful to nowcast GDP? An approach via pre-selection and shrinkage," Working Papers 2019-04, Center for Research in Economics and Statistics.
    6. Kaufmann, Daniel & Scheufele, Rolf, 2017. "Business tendency surveys and macroeconomic fluctuations," International Journal of Forecasting, Elsevier, vol. 33(4), pages 878-893.
    7. Laurent Ferrara & Anna Simoni, 2019. "When are Google data useful to nowcast GDP? An approach via pre-selection and shrinkage," Working Papers 2019-04, Center for Research in Economics and Statistics.
    8. repec:eee:ecmode:v:72:y:2018:i:c:p:99-108 is not listed on IDEAS
    9. Barış Soybilgen & Ege Yazgan, 2018. "Nowcasting the New Turkish GDP," Economics Bulletin, AccessEcon, vol. 38(2), pages 1083-1089.
    10. repec:spr:jbuscr:v:14:y:2018:i:1:d:10.1007_s41549-017-0022-9 is not listed on IDEAS
    11. repec:eee:ecmode:v:69:y:2018:i:c:p:160-168 is not listed on IDEAS

    More about this item

    Keywords

    Developing economy ; dynamic factor model ; emerging market ; gross domestic product ; news ; nowcasting;

    JEL classification:

    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • 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

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