Forecasting Turkish real GDP growth in a data-rich environment

Date

2019-01-01

Author

Sen Dogan, Bahar
Midilic, Murat

Metadata

Show full item record

This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

Item Usage Stats

170
views

0
downloads

This study generates nowcasts and forecasts for the growth rate of the gross domestic product in Turkey using 204 daily financial series with mixed data sampling (MIDAS) framework. The daily financial series include commodity prices, equity indices, exchange rates, and global and domestic corporate risk series. Forecasting exercises are also carried out with the daily factors extracted from separate financial data classes and from the whole dataset. The findings of the study suggest that MIDAS regression models and forecast combinations provide advantage in exploiting information from daily financial data compared to the models using simple aggregation schemes. In addition, incorporating daily financial data into the analysis improves the forecasts substantially. These results indicate that both the information content of the financial data and the flexible data-driven weighting scheme of MIDAS regressions play an essential role in forecasting the future state of the Turkish economy.

Subject Keywords

Real GDP growth, Forecasting, MIDAS

URI

https://hdl.handle.net/11511/65680

Journal

EMPIRICAL ECONOMICS

DOI

https://doi.org/10.1007/s00181-017-1357-8

Collections

Department of Economics, Article

Suggestions

OpenMETU
Core

Evaluation and forecasting of gas consumption by statistical analysis Gorucu, FB; Gumrah, F (2004-02-01) This study includes an approach to understand the factors affecting gas demand and to forecast gas consumption by multivariable regression analysis for the capital city of Ankara, Turkey. The process of the study is developing a statistical model and testing the model for the past years to understand how accurate it is. After obtaining the most reliable model, forecasting the gas consumption for the remaining days of 2002 and the year 2005 is performed. During the project, by the means of economical conditi...
Real Exchange Rates and Growth: Contractionary Depreciations or Appreciations? Özmen, Erdal; YOLCU KARADAM, DUYGU (2021-01-01) This study investigates the impact of real exchange rates (RER) on growth of a large number of advanced (AE) and developing economies (DE) estimating conventional growth models augmented with global financial conditions variables. First of all, replicating Rodrik (2008) and following studies employing panel autoregressive distributed lag (PARDL) and PARDL mean group (PARDL-MG) models, we show that the expansionary depreciation findings for DE are often based on a misinterpretation of an error correction mec...
Cross sectional determinants of Turkish stock market returns Çeliker, Umut; Rhoades, Seza; Department of Business Administration (2004) This thesis analyzes the relationship between stock returns and firm-specific characteristics including market beta, size, book-to-market ratio, leverage, earnings yield, net sales-to-price ratio and prior return performance in Istanbul Stock Exchange during the period 1993-2003. Moreover, the predictability of some macroeconomic variables based on the stock market return behavior is investigated.
Do Stock Index Futures Affect Economic Growth? Evidence from 32 Countries Şendeniz Yüncü, İlkay; Aydoğan, Kürşat (2018-01-26) This article investigates the relationship between stock index futures markets development and economic growth using time-series methods for 32 developed and developing countries. Evidence of cointegration between stock index futures and real economy in 29 countries suggests the presence of co-movements among the variables, indicating long-run stationarity in those countries. Our findings show that there is Granger-causality from stock index futures markets development to economic growth for middle-income c...
The effect of financial news on BIST stock prices: a machine learning approach Kanmaz, Medet; Küçükşenel, Serkan; Department of Economics (2018) This thesis examines the relationship between the price data of companies in different sectors in the Borsa Istanbul (BIST) stock exchange and the verbal data revealed in the financial news related to these companies. In this work, sentiment analysis, natural language processing and the effect of financial news on individual stock performances are studied with a simple and novel method. Sentiment analysis is created by automatically labelling the news for companies publicly traded in BIST as positive or neg...

Citation Formats

B. Sen Dogan and M. Midilic, “Forecasting Turkish real GDP growth in a data-rich environment,” EMPIRICAL ECONOMICS, pp. 367–395, 2019, Accessed: 00, 2020. [Online]. Available: https://hdl.handle.net/11511/65680.