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Leading Indicators of Real Activity and Inflation for Turkey, 2001-2010

  • Sumru Altug

    ()

    (Koç University and CEPR)

  • Erhan Uluceviz

    (Istanbul Bilgi University)

This paper develops a set of leading indicators of industrial production growth and consumer price inflation for the period 2001-2010. The choice of indicators is based on pseudo out-of-sample forecasting exercise implemented by Stock and Watson (2003), amongst others. We find that asset prices that reflect expectational factors or interest rates that capture the costs of borrowing for the Turkish economy tend to have the greatest predictive power for future real activity and inflation. Our findings provide evidence on the factors determining real activity and inflation in a period of disinflation and normalization for the Turkish economy.

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File URL: http://eaf.ku.edu.tr/sites/eaf.ku.edu.tr/files/erf_wp_1134.pdf
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Paper provided by Koc University-TUSIAD Economic Research Forum in its series Koç University-TUSIAD Economic Research Forum Working Papers with number 1134.

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Length: 33 pages
Date of creation: Nov 2011
Date of revision:
Handle: RePEc:koc:wpaper:1134
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  1. Todd E. Clark & Michael W. McCracken, 2000. "Tests of Equal Forecast Accuracy and Encompassing for Nested Models," Econometric Society World Congress 2000 Contributed Papers 0319, Econometric Society.
  2. de Carvalho Filho Irineu E, 2011. "28 Months Later: How Inflation Targeters Outperformed Their Peers in the Great Recession," The B.E. Journal of Macroeconomics, De Gruyter, vol. 11(1), pages 1-46, July.
  3. Jeffrey A. Frankel & George Saravelos, 2010. "Are Leading Indicators of Financial Crises Useful for Assessing Country Vulnerability? Evidence from the 2008-09 Global Crisis," NBER Working Papers 16047, National Bureau of Economic Research, Inc.
  4. Altinay, Galip & Karagol, Erdal, 2005. "Electricity consumption and economic growth: Evidence from Turkey," Energy Economics, Elsevier, vol. 27(6), pages 849-856, November.
  5. Altug, Sumru G. & Emin, Mustafa & Neyapti, Bilin, 2012. "Institutions and Business Cycles," CEPR Discussion Papers 8728, C.E.P.R. Discussion Papers.
  6. Altug, Sumru & Ashley, Richard A. & Patterson, Douglas M., 1999. "Are Technology Shocks Nonlinear?," Macroeconomic Dynamics, Cambridge University Press, vol. 3(04), pages 506-533, December.
  7. Sumru Altuğ & Melike Bildirici, 2010. "Business Cycles around the Globe: A Regime Switching Approach," Working Papers 0032, Yildiz Technical University, Department of Economics, revised Mar 2010.
  8. Aslihan Atabek & Evren Erdogan Cosar & Saygin Sahin�Z, 2005. "A New Composite Leading Indicator for Turkish Economic Activity," Emerging Markets Finance and Trade, M.E. Sharpe, Inc., vol. 41(1), pages 45-64, January.
  9. Wesley Clair Mitchell & Arthur F. Burns, 1938. "Statistical Indicators of Cyclical Revivals," NBER Books, National Bureau of Economic Research, Inc, number mitc38-1, September.
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