NOWCASTING THE NEW TURKISH GDP

Baris Soybilgen and Ege Yazgan ()
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Baris Soybilgen: Istanbul Bilgi University

Working Papers from The Center for Financial Studies (CEFIS), Istanbul Bilgi University

Abstract: In this study, we predict year-over-year Turkish GDP growth rates between 2012:Q1 and 2016:Q4 with a medium-scale dataset. Our proposed model improves upon \citet{Modugno2016} and outperforms both the competing dynamic factor model (DFM) and univariate benchmark models. Our results suggest that in nowcasting current GDP, all relevant information is released within the contemporaneous quarter; hence, information content regarding leading variables is limited. Moreover, we show that the inclusion of financial variables deteriorates the forecasting performance of the DFM, whereas credit variables improve the prediction accuracy of the DFM.

Keywords: Dynamic factor model; Nowcasting; Gross domestic product (search for similar items in EconPapers)
JEL-codes: C33 E37 (search for similar items in EconPapers)
Date: 2017-08
New Economics Papers: this item is included in nep-ara, nep-cwa, nep-for and nep-mac
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Journal Article: Nowcasting the New Turkish GDP (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:bli:wpaper:1702

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