Title: Forecasting fiscal aggregates in an emerging market economy: The role of macro variables and fiscal plans
Authors: Javier J Perez - Bank of Spain (Spain)
Antonio Jesus Sanchez Fuentes - Pablo de Olavide University (Spain) [presenting]
Engin Yilmaz - Turkish Ministry of Finance (Turkey)
Abstract: Against the framework of recurrent fiscal vulnerabilities in emerging market economies, a modeling approach is proposed to forecast and monitor fiscal policy developments in the short-run for the case of Turkey. We pose a suite of models which combine fiscal and macroeconomic indicators with annual fiscal policy plans, by using mixed-frequencies, time series models estimated at the monthly frequency. This type of approach has been used successfully for the case of developed economies. We carry out a recursive pseudo real-time estimation to compare the performance of these models, with the aim of comparing their accuracy and determining the role of macroeconomic variables, as well as the information content of (ex ante) fiscal plans.