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Nowcasting Annual Turkish GDP Growth with MIDAS

Mahmut Gunay

CBT Research Notes in Economics from Research and Monetary Policy Department, Central Bank of the Republic of Turkey

Abstract: [EN] Expectations about GDP growth play important role in the decision making process of policy makers and investors.Yet, GDP data for a period are published with a certain lag. So, for quarterly GDP growth there are various methodsfor updating nowcasts with the information flow. However, methods that enable one to mechanically updatenowcasts for annual GDP growth are not very common. As a matter of fact, judgement plays non-negligible role innowcasts of annual GDP growth. In this note, we analyze the performance of MIDAS approach for nowcastingannual GDP growth for Turkish economy for 2003-2017. We use growth rates of quarter-on-quarter GDP andmonth-on-month industrial production and exchange rate for modelling annual GDP growth. We find that as ofSeptember, we can get fairly accurate nowcasts for annual GDP growth. Using exchange rate contributes toreduction in nowcast errors in the first half of the year.[TR] GSYIH buyumesine iliskin beklentiler politika yapicilar ve yatirimcilar icin onemli bir gostergedir. Buna karsin, GSYIH verileri belirli bir gecikme ile yayimlanmaktadir. Bu nedenle, ceyreklik frekanstaki GSYIH buyumesini veri akisina gore mekanik olarak guncellemeye imkan veren cesitli yontemler gelistirilmistir. Yil geneli buyume tahminleri icin ise bu tur yontemler sinirlidir. Bu nedenle, tahminlerde yargisallik onemli rol oynayabilmektedir. Bu calismada, MIDAS yaklasimi kullanilarak yillik GSYIH buyumesi, ceyrekten ceyrege GSYIH ve aydan aya sanayi uretimi ile dolar kuru degisimleri kullanarak modellenmektedir. Sonuclar, Eylul ayi itibariyla uretilen tahminlerin gerceklesmelere oldukca yakin seyrettigini gostermektedir. Kurlara iliskin verilerin kullanilmasi, yilin ilk yarisinda tahmin hatalarinin dusmesine katkida bulunmaktadir.

New Economics Papers: this item is included in nep-ara and nep-mac
Date: 2018
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Handle: RePEc:tcb:econot:1810