Construction of an Economic Activity Indicator for Turkey


Celgin A., AKBOSTANCI ÖZKAZANÇ E.

EMERGING MARKETS FINANCE AND TRADE, 2021 (Journal Indexed in SSCI) identifier identifier

  • Publication Type: Article / Article
  • Publication Date: 2021
  • Doi Number: 10.1080/1540496x.2021.1971073
  • Title of Journal : EMERGING MARKETS FINANCE AND TRADE
  • Keywords: Economic activity, dynamic factor model, hard-thresholding, real-time analysis, COINCIDENT

Abstract

In this paper, a monthly economic activity indicator is constructed for the Turkish economy for the period of 1988-2020. A dynamic factor modeling framework is utilized in the process. The variables are first categorized into five types as activity (hard data), activity (survey-based data or soft data), trade, employment, and financial variables. After determining the candidate variables for each category, data selection is finalized by using the hard-thresholding method. Results indicate that our monthly economic activity indicator is successful in detecting the past recessionary periods of the Turkish economy and providing timelier information about the course of economic activity.