Can univariate models forecast turning points in seasonal economic time series?

Based on a particular class of recently developed unobserved component models with time varying parameters, the objectives of this paper are two-fold. On the one hand, we propose an alternative measure of underlying growth based on our estimated trend derivative with no need for any further transformations. Additionally, using the information embedded on the trend derivative, we provide a simple method for improving quantitative point forecasts in the vicinity of turning points. Empirical applications are presented for a set of seasonal monthly economic indicators of the Spanish economy.