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A Real Economic Activity Indicator for Turkey

Author

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  • S. Boragan Aruoba
  • Cagri Sarikaya

Abstract

This paper presents a monthly indicator of real economic activity for historical accounting and real-time monitoring of business cycles in Turkey. Business conditions, an unobserved component implied by the interaction and co-movement of various macroeconomic variables, are related to a number of observables at multiple frequencies and estimated within a dynamic factor model. We introduce a recession indicator and thereby compare the severity of turbulence/crisis periods during 1987-2011. High degree of uncertainty embodied in the end-of-sample factor estimates complicates real time detection of recessions and thus points to the need for timely information in a forward-looking policy framework.

Suggested Citation

  • S. Boragan Aruoba & Cagri Sarikaya, 2013. "A Real Economic Activity Indicator for Turkey," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 13(1), pages 15-29.
    • Handle: RePEc:tcb:cebare:v:13:y:2013:i:1:p:15-29
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    File URL: https://www.tcmb.gov.tr/wps/wcm/connect/EN/TCMB+EN/Main+Menu/Publications/Central+Bank+Review/2013/Volume+13-1/
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    References listed on IDEAS

    as
    1. S. Borağan Aruoba & Francis X. Diebold & M. Ayhan Kose & Marco E. Terrones, 2011. "Globalization, the Business Cycle, and Macroeconomic Monitoring," NBER International Seminar on Macroeconomics, University of Chicago Press, vol. 7(1), pages 245-286.
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    Cited by:

    1. Ana Lariau & Moataz El-Said & Ms. Misa Takebe, 2016. "An Assessment of the Exchange Rate Pass-Through in Angola and Nigeria," IMF Working Papers 2016/191, International Monetary Fund.
    2. Huseyin Cagri Akkoyun & Mahmut Gunay, 2013. "Milli Gelir Buyume Tahmini : IYA ve PMI Gostergelerinin Rolu," CBT Research Notes in Economics 1331, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    3. Akbulut-Yuksel, Mevlude & Cilasun, Seyit Mümin & Turan, Belgi, 2020. "Children of Crisis: The Effects of Economic Shocks on Newborns," IZA Discussion Papers 12898, Institute of Labor Economics (IZA).
    4. Cem Çakmakli & Hamza Dem I˙rcani & Sumru Altug, 2021. "Modelling of Economic and Financial Conditions for Real‐Time Prediction of Recessions," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(3), pages 663-685, June.

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    More about this item

    Keywords

    Business cycle; Expansion; Contraction; Recession; Dynamic factor model; Unobserved component; State space model; Macroeconomic forecasting; Real-time analysis;
    All these keywords.

    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications

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