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Nowcasting Turkish GDP Growth

Author

Listed:
  • Huseyin Cagri Akkoyun
  • Mahmut Gunay

Abstract

In this paper we present backcasts and nowcasts for quarter on quarter Gross Domestic Product (GDP) growth for Turkish economy. GDP growth is one of the most important economic indicators since GDP figures provide comprehensive information regarding the economic activity. GDP data are published with considerable delay, so early estimates of GDP growth may be valuable. For this aim, we use an extended version of the Stock and Watson coincident indicator model that can deal with mixed frequency (such as quarterly and monthly variables), ragged ends (some indicators are published before others), and missing data (data may not be available at the beginning of the sample for some variables). As soft data we use PMI, and as hard data we use industrial production, import and export quantity indices. We perform simulated out of sample forecasting exercise by taking the ?ow of data releases for 2008Q1-2012Q2 into account. Results show that nowcasts obtained with a model including a soft indicator tracks the GDP growth relatively successfully. Also, the model outperforms benchmark AR model.

Suggested Citation

  • Huseyin Cagri Akkoyun & Mahmut Gunay, 2012. "Nowcasting Turkish GDP Growth," Working Papers 1233, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  • Handle: RePEc:tcb:wpaper:1233
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    File URL: http://www.tcmb.gov.tr/wps/wcm/connect/EN/TCMB+EN/Main+Menu/Publications/Research/Working+Paperss/2012/12-33
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    Citations

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    Cited by:

    1. Huseyin Cagri Akkoyun & Mahmut Gunay, 2013. "Milli Gelir Buyume Tahmini : IYA ve PMI Gostergelerinin Rolu," CBT Research Notes in Economics 1331, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    2. Modugno, Michele & Soybilgen, Barış & Yazgan, Ege, 2016. "Nowcasting Turkish GDP and news decomposition," International Journal of Forecasting, Elsevier, vol. 32(4), pages 1369-1384.
    3. Ermişoğlu, Ergun & Akcelik, Yasin & Oduncu, Arif, 2013. "GDP Growth and Credit Data," MPRA Paper 46613, University Library of Munich, Germany.
    4. Kilinc, Zubeyir & Yucel, Eray, 2016. "PMI Thresholds for GDP Growth," MPRA Paper 70929, University Library of Munich, Germany.
    5. Serhat Solmaz & Marzie Taheri Sanjani, 2015. "How External Factors Affect Domestic Economy; Nowcasting an Emerging Market," IMF Working Papers 15/269, International Monetary Fund.

    More about this item

    Keywords

    Time Series; Forecasting; Output Growth;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • 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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