Leading Indicators of Growth and Inflation in Turkey

December 1, 2002

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Format: Chicago

Daniel Leigh, and Marco Rossi. Leading Indicators of Growth and Inflation in Turkey, (USA: International Monetary Fund, 2002) accessed December 26, 2024

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary

Growth and inflation in Turkey have been volatile over the last two decades. It would, therefore, be useful to identify indicators that anticipate economic conditions and inflation. This paper investigates the predictive performance of economic indicators for inflation and real output growth in Turkey. We find that (i) the forecasting ability of individual indicators is unstable; but that (ii) a suitable combination of these unstable forecasts yields a forecast that reliably outperforms that generated by an autoregressive model. We then propose a two-stage combination forecast obtained by taking the median of the top five performing individual forecasts. This two-stage forecast reliably improves on autoregressive benchmarks and outperforms the combination forecast based on all the individual forecasts.

Subject: Asset prices, Consumer price indexes, Cyclical indicators, Economic forecasting, Economic growth, Inflation, Prices

Keywords: AR benchmark, Asset prices, Autoregressive benchmark, Combination forecasts, Consumer price index, Consumer price indexes, Cyclical indicators, Europe, Forecasting result, Growth, Growth rate, Inflation, Inflation targeting, Leading indicators, Price inflation, Real GDP, Sample statistic, Turkey, WP

Publication Details

Pages:

26
Volume:

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DOI:

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Issue:

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Series:

Working Paper No. 2002/231
Stock No:

WPIEA2312002
ISBN:

9781451875546
ISSN:

1018-5941

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