Forecasting Turkish Real GDP Growth in a Data Rich Environment

Forecasting Turkish Real GDP Growth in a Data Rich Environment

Title:

Forecasting Turkish Real GDP Growth in a Data Rich Environment

Number:

16/11

Author(s):

Bahar Şen Doğan, Murat Midiliç

Language:

English

Date:

March 2016

Abstract:

This study generates nowcasts and forecasts for the growth rate of the Gross Domestic Product (GDP) in Turkey using 204 daily financial series with Mixed Data Sampling (MIDAS) framework over the period 2010Q2-2015Q1. Our findings 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 our 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.

Keywords:

Real GDP Growth, Forecasting, MIDAS

JEL Codes:

C22; C53; G10

Forecasting Turkish Real GDP Growth in a Data Rich Environment
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