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dc.contributor.advisorGürkaynak, Refet S.
dc.contributor.authorBalkan, Binnur
dc.date.accessioned2016-01-08T18:14:56Z
dc.date.available2016-01-08T18:14:56Z
dc.date.issued2011
dc.identifier.urihttp://hdl.handle.net/11693/15200
dc.descriptionAnkara : The Department of Economics, İhsan Doğramacı Bilkent University, 2011.en_US
dc.descriptionThesis (Master's) -- Bilkent University, 2011.en_US
dc.descriptionIncludes bibliographical references leaves 18.en_US
dc.description.abstractKnowing the current state of the economy is important especially when we consider that GDP information comes with a lag of quarter. From this perspective, employing high frequency variables in GDP nowcasting may contribute to our knowledge of economic conditions, since they are timelier compared to GDP. This paper deals with nowcasting US GDP using an expectation maximization algorithm in a Kalman Ölter estimation, which includes asset prices, commodity prices and banking data as explanatory variables together with real variables and price indices. As a result of the estimations, asset prices and other high frequency variables are found useful in nowcasting US GDP contrary to previous studies. Model predictions beat the traditional methods with the medium size model, which includes Öfteen variables, yielding the best nowcast results. Finally, this paper also proposes a new route for achieving better nowcast results by changing system speciÖcations of the state variables.en_US
dc.description.statementofresponsibilityBalkan, Binnuren_US
dc.format.extentviii, 29 leavesen_US
dc.language.isoEnglishen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectNowcastingen_US
dc.subjectKalman Filteren_US
dc.subjectEM Algorithmen_US
dc.subjectAsset Pricesen_US
dc.subject.lccHC110.I5 B35 2011en_US
dc.subject.lcshGross domestic product--United States--Econometric models.en_US
dc.subject.lcshKalman filtering.en_US
dc.subject.lcshEconometric models.en_US
dc.titleGDP nowcasting using high frequency asset price, commodity price and banking dataen_US
dc.typeThesisen_US
dc.departmentDepartment of Economicsen_US
dc.publisherBilkent Universityen_US
dc.description.degreeM.S.en_US


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