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Constructing an Economic Activity Indicator for Turkey

Author

Listed:
  • Aysu Celgin
  • Elif Akbostanci

Abstract

In this paper, a monthly economic activity indicator is constructed for the Turkish economy for 1988-2020 period. Dynamic factor modelling framework is utilized in the estimation of the indicator. In the context of data selection, first of all, the variables are categorized into five types as: activity (hard data), activity (survey-based data or soft data), trade, employment and financial variables. After determining the candidate variables for each category, data selection is finalized by using the hard-thresholding method. The results indicate that monthly economic activity indicator is successful in detecting the past recessionary and contractionary periods of the Turkish economy and providing timely information about the course of the economic activity.

Suggested Citation

  • Aysu Celgin & Elif Akbostanci, 2021. "Constructing an Economic Activity Indicator for Turkey," Working Papers 2114, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    • Handle: RePEc:tcb:wpaper:2114
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    File URL: https://www.tcmb.gov.tr/wps/wcm/connect/EN/TCMB+EN/Main+Menu/Publications/Research/Working+Paperss/2021/21-14
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    More about this item

    Keywords

    Economic activity; Dynamic factor model; Hard-thresholding; Real time analysis;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications

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