Constructing an Economic Activity Indicator for Turkey

Aysu Celgin and Elif Akbostanci

Working Papers from Research and Monetary Policy Department, Central Bank of the Republic of Turkey

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.

Keywords: Economic activity; Dynamic factor model; Hard-thresholding; Real time analysis (search for similar items in EconPapers)
JEL-codes: C22 E32 E37 (search for similar items in EconPapers)
Date: 2021
New Economics Papers: this item is included in nep-ara and nep-mac
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Persistent link: https://EconPapers.repec.org/RePEc:tcb:wpaper:2114

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