Nowcasting Turkish GDP and News Decomposition

Michele Modugno, Barış Soybilgen () and Ege Yazgan ()

No 2016-044, Finance and Economics Discussion Series from Board of Governors of the Federal Reserve System (U.S.)

Abstract: Real gross domestic product (GDP) data in Turkey are released with a very long delay compared with other economies, between 10 and 13 weeks after the end of the reference quarter. To infer the current state of the economy, policy makers, media, and market practitioners examine data that are more timely, that are released at higher frequencies than the GDP. In this paper, we propose an econometric model that automatically allows us to read through these more current and higher-frequency data and translate them into nowcasts for the Turkish real GDP. Our model outperforms nowcasts produced by the Central Bank of Turkey, the International Monetary Fund, and the Organisation for Economic Co-operation and Development. Moreover, our model allows us to quantify the importance of each variable in our dataset in nowcasting Turkish real GDP. In line with findings for other economies, we find that real variables play the most important role; however, contrary to the findings for other economies, we find that financial variables are as important as surveys.

Keywords: Developing economy; dynamic factor models; emerging markets; gross domestic product; news; nowcasting (search for similar items in EconPapers)
JEL-codes: C33 C53 E37 (search for similar items in EconPapers)
Pages: 38 pages
Date: 2016-05
New Economics Papers: this item is included in nep-ara, nep-cwa and nep-mac
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Citations: View citations in EconPapers (22)

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Journal Article: Nowcasting Turkish GDP and news decomposition (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedgfe:2016-44

DOI: 10.17016/FEDS.2016.044

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