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

Sumru Altug and Erhan Uluceviz
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Erhan Uluceviz: Istanbul Bilgi University

Koç University-TUSIAD Economic Research Forum Working Papers from Koc University-TUSIAD Economic Research Forum

Abstract: 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.

Keywords: Real activity; inflation; leading indicators; out-of-sample forecasting; combination forecasts; inflation targeting; Turkey (search for similar items in EconPapers)
JEL-codes: E1 E32 E37 E58 F43 O52 (search for similar items in EconPapers)
Pages: 33 pages
Date: 2011-11
New Economics Papers: this item is included in nep-ara, nep-cba, nep-cwa, nep-for, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:koc:wpaper:1134

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