It depends very heavily on how you drive. If you drive a turbocharged car gently, never going past 4000 on the tachometer, then no. That is the main advantage of a turbo over a supercharger.
When you do go past 4000 RPM's however, the turbos kick in, forcing more air and fuel into the engine, giving you more power. Naturally, since you are getting more power, you are using more fuel.
In mixed driving, turbocharged cars will tend to get only 1 or 2 MPG less than their non-turbo counterparts, as opposed to superchargers which affect the efficiency greatly.
in some cases (such as the Golf gti) the turbo will return slightly higher HIGHWAY fuel economy numbers, simply because in situations where you need to accelerate, you don't have to down shift in the turbo when you would in the car without the turbo.
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