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Leading Indicators of Growth and Inflation in Turkey

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  • Daniel Leigh
  • Marco Rossi

Abstract

Growth and inflation in Turkey have been volatile over the last two decades. It would, therefore, be useful to identify indicators that anticipate economic conditions and inflation. This paper investigates the predictive performance of economic indicators for inflation and real output growth in Turkey. We find that (i) the forecasting ability of individual indicators is unstable; but that (ii) a suitable combination of these unstable forecasts yields a forecast that reliably outperforms that generated by an autoregressive model. We then propose a two-stage combination forecast obtained by taking the median of the top five performing individual forecasts. This two-stage forecast reliably improves on autoregressive benchmarks and outperforms the combination forecast based on all the individual forecasts.

Suggested Citation

  • Daniel Leigh & Marco Rossi, 2002. "Leading Indicators of Growth and Inflation in Turkey," IMF Working Papers 02/231, International Monetary Fund.
  • Handle: RePEc:imf:imfwpa:02/231
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    References listed on IDEAS

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    9. Alejandro Simone, 2001. "In Search of Coincident and Leading Indicators of Economic Activity in Argentina," IMF Working Papers 01/30, International Monetary Fund.
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    Citations

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    Cited by:

    1. Madhavi Bokil & Axel Schimmelpfennig, 2006. "Three Attempts at Inflation Forecasting in Pakistan," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 45(3), pages 341-368.
    2. Gökhan Çapog¬Lu, 2004. "Anatomy of a Failed IMF Program : The 1999 Program in Turkey," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 40(3), pages 84-100, May.
    3. Joannes Mongardini & Tahsin Saadi-Sedik, 2003. "Estimating Indexes of Coincident and Leading Indicators; An Application to Jordan," IMF Working Papers 03/170, International Monetary Fund.
    4. Gã–Khan ÇApogâ¬Lu, 2004. "Anatomy of a Failed IMF Program : The 1999 Program in Turkey," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 40(3), pages 84-100, May.
    5. Chrigui Zouhair & Boujelbene Younes, 2009. "The Opportunities for Adopting Inflation Targeting in Tunisia: a Cointegration Study and Transmission Channels of Monetary Policy," Transition Studies Review, Springer;Central Eastern European University Network (CEEUN), vol. 16(3), pages 671-692, October.
    6. Khan, Abdul Aleem & Ahmed, Qazi Masood & Hyder, Kalim, 2007. "Determinants oF Recent Inflation in Pakistan," MPRA Paper 16254, University Library of Munich, Germany, revised 2007.
    7. Pradhan, Rudra P. & Arvin, Mak B. & Bahmani, Sahar, 2015. "Causal nexus between economic growth, inflation, and stock market development: The case of OECD countries," Global Finance Journal, Elsevier, vol. 27(C), pages 98-111.
    8. Jalil, Abdul & Tariq, Rabbia & Bibi, Nazia, 2014. "Fiscal deficit and inflation: New evidences from Pakistan using a bounds testing approach," Economic Modelling, Elsevier, vol. 37(C), pages 120-126.

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