nep-for 2017-08-20 papers

on Forecasting

Issue of 2017‒08‒20
two papers chosen by
Rob J Hyndman
Monash University

NOWCASTING THE NEW TURKISH GDP By Baris Soybilgen; Ege Yazgan
Modeling the spillovers between stock market and money market in Nigeria By Afees A. Salisu; Kazeem Isah

By:	Baris Soybilgen (Istanbul Bilgi University); Ege Yazgan (Istanbul Bilgi University)
Abstract:	In this study, we predict year-over-year Turkish GDP growth rates between 2012:Q1 and 2016:Q4 with a medium-scale dataset. Our proposed model improves upon \citet{Modugno2016} and outperforms both the competing dynamic factor model (DFM) and univariate benchmark models. Our results suggest that in nowcasting current GDP, all relevant information is released within the contemporaneous quarter; hence, information content regarding leading variables is limited. Moreover, we show that the inclusion of financial variables deteriorates the forecasting performance of the DFM, whereas credit variables improve the prediction accuracy of the DFM.
Keywords:	Dynamic factor model; Nowcasting; Gross domestic product
JEL:	E37 C33
Date:	2017–08
URL:	http://d.repec.org/n?u=RePEc:bli:wpaper:1702&r=for

Modeling the spillovers between stock market and money market in Nigeria

By:	Afees A. Salisu (Centre for Econometric and Allied Research, University of Ibadan); Kazeem Isah (Centre for Econometric and Allied Research, University of Ibadan)
Abstract:	This study examines the spillovers between stock market and money market in Nigeria over the period January 2000 to July 2015. Based on relevant pre-tests, the VARMA-CCC-GARCH is selected and consequently employed to model the spillovers. The study finds significant cross-market return and shock spillovers between the two markets. Thus, a shock to one market is more likely to spill over to the other market. It is also observed that shocks have persistent effects on stock market volatility but transitory effects on money market volatility. In other words, shocks to the money market die out over time while shocks to stock market tend to persist over time. In addition, including lagged own shocks and lagged own conditional variance when forecasting the future volatility of both return series may enhance their forecast performance.
Keywords:	Return Spillover, Shock Spillover, Shork Persistence, VARMA-CCC-GARCH
JEL:	C58 G10
Date:	2017–08
URL:	http://d.repec.org/n?u=RePEc:cui:wpaper:0023&r=for

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