Research Article
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Effects of global economic policy uncertainty on macroeconomic activity: The case of Turkey

Year 2022, Volume: 36 Issue: 1, 133 - 142, 31.01.2022

Abstract

The objective of this study is to investigate the impact of uncertainty shocks arising from economic and political developments in the global economy on real macroeconomic activity in the Turkish economy. To this end, the interactions between global economic policy uncertainty (GEPU) and basic macroeconomic variables such as investment, consumption, employment, and GDP in the Turkish economy are examined using the Vector Autoregression (VAR) model for the period 1999q1-2020q4. Empirical evidence shows that GEPU shocks have contractionary effects on macroeconomic activity in the short and/or medium term and that the investment variable is the variable that is most responsive to these shocks. These results suggest that, on the one hand, the Turkish economy still maintains its fragile structure, and on the other hand, investment decisions are more sensitive to changes in future expectations compared to other economic decisions, such as consumption, and accordingly, the impact of uncertainty on the economy is mainly through the investment channel. The study also conducts a Granger causality test, which leads to the conclusion that there is a unilateral causality running from GEPU to macroeconomic variables.

References

  • Al-Thaqeb, S.A., ve Algharabali, B.G. (2019). Economic Policy Uncertainty: A Literature Review. The Journal of Economic Asymmetries, 20, e00133
  • Bahmani-Oskooee, M., ve Hajilee, M. (2013). Exchange Rate Volatility and Its Impact on Domestic Investment. Research in Economics, 67 (1), 1-12.
  • Baker, S.R., Bloom, N., ve Davis, S.J. (2016). Measuring Economic Uncertainty. Quarterly Journal of Economics, 131 (4), 1593-1636.
  • Basu, S., ve Bundick, B. (2017). Uncertainty Shocks in a Model of Effective Demand. NBER Working Paper Series, No: 18420.
  • Bernanke, B.S. (1983). Irreversibility, Uncertainty, and Cyclical Investment. Quarterly Journal of Economics, 98 (1), 85-106.
  • Biljanovska, N., Grigoli, F., ve Hengge, M. (2017). Fear Thy Neighbor: Spillovers From Economic Policy Uncertainty. IMF Working Papers. No: 17/240.
  • Bloom, N. (2009). The Impact of Uncertainty Shocks. Econometrica, 77 (3). 623-685.
  • Bloom, N. (2014). Fluctuations in Uncertainty. Journal of Economic Perspectives, 28 (2), 153-176.
  • Bloom, N. (2017). Observations on Uncertainty. The Australian Economic Review, 50 (1), 79-84.
  • Bloom, N., Bond, S., ve Reenen, J.V. (2007). Uncertainty and Investment Dynamics. Review of Economic Studies, 74 (2), 391-415.
  • Brach, M.A. (2003). Real Options in Practice. Hoboken, New Jersey: John Wiley & Sons, Inc.
  • Braun, P.A., ve Mittnik, S. (1993). Misspecifications in Vector Autoregressions and Their Effects on Impulse Responses and Variance Decompositions. Journal of Econometrics, 59 (3), 319-341.
  • Brooks, C. (2008). Introductory Econometrics for Finance. Cambridge: Cambridge University Press.
  • Byrne, J.P., ve Davis, E.P. (2005). Investment and Uncertainty in the G7. Review of World Economics / Weltwirtschaftliches Archiv, 141 (1), 1-32.
  • Caggiano, G., Castelnuovo, E., ve Groshenny, N. (2014). Uncertainty Shocks and Unemployment Dynamics in U.S. Recessions. Journal of Monetary Economics, 67, 78-92.
  • Carrière-Swallow, Y., ve Céspedes, L.F. (2013). The Impact of Uncertainty Shocks in Emerging Economies. Journal of International Economics, 90 (2), 316-325.
  • Cheng, C.H.J. (2017). Effects of Foreign and Domestic Economic Policy Uncertainty Shocks on South. Korea Journal of Asian Economics, 51, 1-11.
  • Choi, S. (2018). The Impact of US Financial Uncertainty Shocks on Emerging Market Economies: An International Credit Channel. Open Economies Review, 29 (1), 89-118.
  • Choi, S., ve Loungani, P. (2015). Uncertainty and Unemployment: The Effects of Aggregate and Sectoral Channels. IMF Working Paper, No: 15/36.
  • Christiano, L.J. (2012). Christopher A. Sims and Vector Autoregressions. The Scandinavian Journal of Economics, 114 (4), 1082-1104.
  • Davis, S.J. (2016). An Index of Global Economic Policy Uncertainty. NBER Working Paper Series, No: 22740.
  • Dixit, A.K. ve Pindyck, R.S. (1994). Investment under Uncertainty. Princeton: Princeton University Press.
  • Dow, A., ve Dow, S.C. (2011). Animal Spirits Revisited. Capitalism and Society, 6 (2), 1-25.
  • Enders, W. (2015). Applied Econometric Time Series. Hoboken, New Jersey: John Wiley & Sons, Inc.
  • Erdoğan Coşar, E., ve Şahinöz, S. (2018). Quantifying Uncertainty and Identifying its Impacts on the Turkish Economy. Türkiye Cumhuriyet Merkez Bankası, Working Paper, No: 18/06.
  • Ferderer, J.P. (1993). The Impact of Uncertainty on Aggregate Investment Spending: An Empirical Analysis. Journal of Money, Credit and Banking, 25 (1), 30-48.
  • Ferrara, L., Lhuissier, S., ve Tripier, F. (2017). Uncertainty Fluctuations: Measures, Effects and Macroeconomic Policy Challenges. CEPII, Policy Brief, No: 20.
  • Ghosal, V., ve Laungani, P. (2000). The Differential Impact of Uncertainty on Investment in Small and Large Businesses. The Review of Economics and Statistics, 82 (2), 383-343.
  • Ghosal, V., ve Ye, Y. (2015). Uncertainty and the Employment Dynamics of Small and Large Businesses. Small Business Economics, 44 (3), 529-558.
  • Giavazzi, F., ve McMahon, M. (2012). Policy Uncertainty and Household Savings. Review of Economics and Statistics, 94 (2), 517-531.
  • Gilchrist, S., Sim, J.W., ve Zakrajšek, E. (2014). Uncertainty, Financial Frictions, and Investment Dynamics. NBER Working Paper Series, No: 20038.
  • Gujarati, D.N., ve Porter, D.C. (2009). Basic Econometrics. New York: The McGraw-Hill Companies, Inc.
  • Gulen, H., ve Ion, M. (2015). Policy Uncertainty and Corporate Investment. The Review of Financial Studies, 29 (3), 523-564.
  • Hassler, J. (2001). Uncertainty and the Timing of Automobile Purchases. The Scandinavian Journal of Economics, 103 (2), 351-366.
  • Ivanov, V., ve Kilian, L. (2001). A Practitioner’s Guide to Lag Order Selection for Vector Autoregressions. Centre for Economic Policy Research, Discussion Papers, No: 2685.
  • Julio, B., ve Yook, Y. (2012). Political Uncertainty and Corporate Investment Cycles. The Journal of Finance, 67 (2), 45-83.
  • Keynes, J.M. (1936). The General Theory of Employment, Interest, and Money. Macmillan, Cambridge University Press.
  • Knight, F.H. (1921). Risk, Uncertainty and Profit. Boston and New York, Houghton Mifflin Company.
  • Knotek, E.S., ve Khan, S., (2011). How Do Households Respond to Uncertainty Shocks? Economic Review [Kansas City], 96 (2), 5-34.
  • Köhn, J. (2017). Uncertainty in Economics: A New Approach. Cham: Springer International Publishing AG.
  • Kraft, H., Schwatrz, E., ve Weiss, F. (2018). Growth Options and Firm Valuation. European Financial Management, 24 (2), 209-238.
  • Kumo, W.L. (2006). Macroeconomic Uncertainty and Aggregate Private Investment in South Africa. South African Journal of Economics, 74 (2), 190-204.
  • Luk, P., Cheng, M., ve Wong, K. (2020). Economic Policy Uncertainty Spillovers in Small Open Economies: The Case of Hong Kong. Pasific Economic Review, 25 (1), 21-46.
  • Masayuki, M. (2017). Impact of Policy Uncertainty on Consumption and Saving Behavior: Evidence from a Survey on Consumers. RIETI Discussion Paper Series, No: 17-E-075.
  • McDonald, R. ve Siegel D. (1986). The Value of Waiting to Invest. The Quarterly Journal of Economics, 101 (4), 707-728.
  • Mody, A., Ohnsorge, F., Sandri, D. (2012). Precautionary Savings in the Great Recession. IMF Working Paper, No: 12/42.
  • Morikawa, M. (2016). Business Uncertainty and Investment: Evidence from Japanese Companies. Journal of Macroeconomics, 49, 224-236.
  • Mukalayi, N. (2021). Does Exchange Rate Volatility Reduce South African Domestic Consumption? SA-TIED Working Paper, No: 160.
  • Özer, M., ve Erdoğan, L. (2006). Türkiye’de İhracat, İthalat ve Ekonomik Büyüme Arasındaki İlişkilerin Zaman Serisi Analizi. Ekonomik Yaklaşım, 17 (60-61), 93-110.
  • Özgen, F.B., ve Güloğlu, B. (2004). Türkiye’de İç Borçların İktisadî Etkilerinin VAR Tekniğiyle Analizi. METU Studies in Development, 31 (1), 93-114.
  • Pástor, L., ve Veronesi, P. (2013). Political Uncertainty and Risk Premia. Journal of Financial Economics, 110 (3), 520-545.
  • Price, S. (1995). Aggregate Uncertainty, Capacity Utilization and Manufacturing Investment. Applied Economics, 27 (2), 147-154.
  • Romer, C.D. (1990). The Great Crash and the Onset of the Great Depression. The Quarterly Journal of Economics, 105 (3), 597-624.
  • Schaal, E. (2017). Uncertainty and Unemployment. Econometrica, 85 (6), 1675-1721.
  • Segal, G., Shaliastovich, I., ve Yaron, A. (2015). Good and Bad Uncertainty: Macroeconomic and Financial Market Implications. Journal of Financial Economics, 117 (2), 395-397.
  • Shah, S.Z., Baharumshah, A.Z., Said, R., ve Murdipi, R. (2019). The International Transmission of Volatility Shocks on an Emerging Economy: The Case of Malaysia. Malaysian Journal of Economic Studies, 56 (2), 243-265.
  • Sims, C.A. (1980). Macroeconomics and Reality. Econometrica, 48 (1), 1-48.
  • Takım, A. (2010). Türkiye’de GSYİH ile İhracat Arasındaki İlişki: Granger Nedensellik Testi. Atatürk Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 14 (2), 315-330.
  • Tarı, R., ve Bozkurt, H. (2006). Türkiye’de İstikrarsız Büyümenin VAR Modelleri ile Analizi. Ekonometri ve İstatistik, 4, 12-28.
  • Trung, N.B. (2019). The Spillover Effect of the US Uncertainty on Emerging Economies: A Panel VAR Approach. Applied Economics Letters, 26 (3), 210-216.
  • Vo, L.V., ve Le, H.T.T. (2017). Strategic Growth Option, Uncertainty, and R&D Investment. International Review of Financial Analysis, 51, 16-24.
  • Wang, Y., Chen, C.R., ve Huang, Y.S. (2014). Economic Policy Uncertainty and Corporate İnvestment: Evidence from China. Pacific-Basin Finance Journal, 26, 227-243.
  • Zalla, R. (2017). Economic Policy Uncertainty in Ireland. Atlantic Economic Journal, 45 (2), 269-271.

Küresel ekonomik politika belirsizliklerinin makroekonomik aktivite üzerindeki etkileri: Türkiye örneği

Year 2022, Volume: 36 Issue: 1, 133 - 142, 31.01.2022

Abstract

Bu çalışmada küresel ekonomide iktisadi ve politik gelişmelerden kaynaklanan belirsizlik şoklarının reel makroekonomik aktivite üzerindeki etkilerinin Türkiye ekonomisi özelinde incelenmesi amaçlanmaktadır. Bu amaçla, küresel ekonomik politika belirsizliği (GEPU) ile Türkiye ekonomisine özgü yatırım, tüketim, istihdam ve Gayrı Safi Yurtiçi Hasıla gibi temel makroekonomik değişkenler arasındaki etkileşimler, 1999q1-2020q4 dönemi için Vektör Otoregresyon (VAR) modeli kullanılarak araştırılmaktadır. Ampirik sonuçlar, GEPU şoklarının makroekonomik aktivite üzerinde daraltıcı etkiler meydana getirdiğini ve yatırım değişkeninin söz konusu şoklar karşısında en yüksek tepkiyi veren değişken olduğunu ortaya koymaktadır. Bu sonuçlar, bir taraftan Türkiye ekonomisinin hali hazırda kırılgan yapısını muhafaza ettiğini, diğer taraftan da yatırım kararlarının tüketim gibi diğer iktisadi kararlara nispeten geleceğe ilişkin beklentilerdeki değişimlere daha fazla duyarlı olduğunu ve buna bağlı olarak da belirsizliğin ekonomi üzerindeki etkilerinin en çok yatırım kanalı üzerinden gerçekleştiğini göstermektedir. Çalışmada ayrıca Granger nedensellik testi uygulanmış ve GEPU’dan makroekonomik değişkenlere doğru tek yönlü nedensellik ilişkisinin bulunduğu sonucuna ulaşılmıştır

References

  • Al-Thaqeb, S.A., ve Algharabali, B.G. (2019). Economic Policy Uncertainty: A Literature Review. The Journal of Economic Asymmetries, 20, e00133
  • Bahmani-Oskooee, M., ve Hajilee, M. (2013). Exchange Rate Volatility and Its Impact on Domestic Investment. Research in Economics, 67 (1), 1-12.
  • Baker, S.R., Bloom, N., ve Davis, S.J. (2016). Measuring Economic Uncertainty. Quarterly Journal of Economics, 131 (4), 1593-1636.
  • Basu, S., ve Bundick, B. (2017). Uncertainty Shocks in a Model of Effective Demand. NBER Working Paper Series, No: 18420.
  • Bernanke, B.S. (1983). Irreversibility, Uncertainty, and Cyclical Investment. Quarterly Journal of Economics, 98 (1), 85-106.
  • Biljanovska, N., Grigoli, F., ve Hengge, M. (2017). Fear Thy Neighbor: Spillovers From Economic Policy Uncertainty. IMF Working Papers. No: 17/240.
  • Bloom, N. (2009). The Impact of Uncertainty Shocks. Econometrica, 77 (3). 623-685.
  • Bloom, N. (2014). Fluctuations in Uncertainty. Journal of Economic Perspectives, 28 (2), 153-176.
  • Bloom, N. (2017). Observations on Uncertainty. The Australian Economic Review, 50 (1), 79-84.
  • Bloom, N., Bond, S., ve Reenen, J.V. (2007). Uncertainty and Investment Dynamics. Review of Economic Studies, 74 (2), 391-415.
  • Brach, M.A. (2003). Real Options in Practice. Hoboken, New Jersey: John Wiley & Sons, Inc.
  • Braun, P.A., ve Mittnik, S. (1993). Misspecifications in Vector Autoregressions and Their Effects on Impulse Responses and Variance Decompositions. Journal of Econometrics, 59 (3), 319-341.
  • Brooks, C. (2008). Introductory Econometrics for Finance. Cambridge: Cambridge University Press.
  • Byrne, J.P., ve Davis, E.P. (2005). Investment and Uncertainty in the G7. Review of World Economics / Weltwirtschaftliches Archiv, 141 (1), 1-32.
  • Caggiano, G., Castelnuovo, E., ve Groshenny, N. (2014). Uncertainty Shocks and Unemployment Dynamics in U.S. Recessions. Journal of Monetary Economics, 67, 78-92.
  • Carrière-Swallow, Y., ve Céspedes, L.F. (2013). The Impact of Uncertainty Shocks in Emerging Economies. Journal of International Economics, 90 (2), 316-325.
  • Cheng, C.H.J. (2017). Effects of Foreign and Domestic Economic Policy Uncertainty Shocks on South. Korea Journal of Asian Economics, 51, 1-11.
  • Choi, S. (2018). The Impact of US Financial Uncertainty Shocks on Emerging Market Economies: An International Credit Channel. Open Economies Review, 29 (1), 89-118.
  • Choi, S., ve Loungani, P. (2015). Uncertainty and Unemployment: The Effects of Aggregate and Sectoral Channels. IMF Working Paper, No: 15/36.
  • Christiano, L.J. (2012). Christopher A. Sims and Vector Autoregressions. The Scandinavian Journal of Economics, 114 (4), 1082-1104.
  • Davis, S.J. (2016). An Index of Global Economic Policy Uncertainty. NBER Working Paper Series, No: 22740.
  • Dixit, A.K. ve Pindyck, R.S. (1994). Investment under Uncertainty. Princeton: Princeton University Press.
  • Dow, A., ve Dow, S.C. (2011). Animal Spirits Revisited. Capitalism and Society, 6 (2), 1-25.
  • Enders, W. (2015). Applied Econometric Time Series. Hoboken, New Jersey: John Wiley & Sons, Inc.
  • Erdoğan Coşar, E., ve Şahinöz, S. (2018). Quantifying Uncertainty and Identifying its Impacts on the Turkish Economy. Türkiye Cumhuriyet Merkez Bankası, Working Paper, No: 18/06.
  • Ferderer, J.P. (1993). The Impact of Uncertainty on Aggregate Investment Spending: An Empirical Analysis. Journal of Money, Credit and Banking, 25 (1), 30-48.
  • Ferrara, L., Lhuissier, S., ve Tripier, F. (2017). Uncertainty Fluctuations: Measures, Effects and Macroeconomic Policy Challenges. CEPII, Policy Brief, No: 20.
  • Ghosal, V., ve Laungani, P. (2000). The Differential Impact of Uncertainty on Investment in Small and Large Businesses. The Review of Economics and Statistics, 82 (2), 383-343.
  • Ghosal, V., ve Ye, Y. (2015). Uncertainty and the Employment Dynamics of Small and Large Businesses. Small Business Economics, 44 (3), 529-558.
  • Giavazzi, F., ve McMahon, M. (2012). Policy Uncertainty and Household Savings. Review of Economics and Statistics, 94 (2), 517-531.
  • Gilchrist, S., Sim, J.W., ve Zakrajšek, E. (2014). Uncertainty, Financial Frictions, and Investment Dynamics. NBER Working Paper Series, No: 20038.
  • Gujarati, D.N., ve Porter, D.C. (2009). Basic Econometrics. New York: The McGraw-Hill Companies, Inc.
  • Gulen, H., ve Ion, M. (2015). Policy Uncertainty and Corporate Investment. The Review of Financial Studies, 29 (3), 523-564.
  • Hassler, J. (2001). Uncertainty and the Timing of Automobile Purchases. The Scandinavian Journal of Economics, 103 (2), 351-366.
  • Ivanov, V., ve Kilian, L. (2001). A Practitioner’s Guide to Lag Order Selection for Vector Autoregressions. Centre for Economic Policy Research, Discussion Papers, No: 2685.
  • Julio, B., ve Yook, Y. (2012). Political Uncertainty and Corporate Investment Cycles. The Journal of Finance, 67 (2), 45-83.
  • Keynes, J.M. (1936). The General Theory of Employment, Interest, and Money. Macmillan, Cambridge University Press.
  • Knight, F.H. (1921). Risk, Uncertainty and Profit. Boston and New York, Houghton Mifflin Company.
  • Knotek, E.S., ve Khan, S., (2011). How Do Households Respond to Uncertainty Shocks? Economic Review [Kansas City], 96 (2), 5-34.
  • Köhn, J. (2017). Uncertainty in Economics: A New Approach. Cham: Springer International Publishing AG.
  • Kraft, H., Schwatrz, E., ve Weiss, F. (2018). Growth Options and Firm Valuation. European Financial Management, 24 (2), 209-238.
  • Kumo, W.L. (2006). Macroeconomic Uncertainty and Aggregate Private Investment in South Africa. South African Journal of Economics, 74 (2), 190-204.
  • Luk, P., Cheng, M., ve Wong, K. (2020). Economic Policy Uncertainty Spillovers in Small Open Economies: The Case of Hong Kong. Pasific Economic Review, 25 (1), 21-46.
  • Masayuki, M. (2017). Impact of Policy Uncertainty on Consumption and Saving Behavior: Evidence from a Survey on Consumers. RIETI Discussion Paper Series, No: 17-E-075.
  • McDonald, R. ve Siegel D. (1986). The Value of Waiting to Invest. The Quarterly Journal of Economics, 101 (4), 707-728.
  • Mody, A., Ohnsorge, F., Sandri, D. (2012). Precautionary Savings in the Great Recession. IMF Working Paper, No: 12/42.
  • Morikawa, M. (2016). Business Uncertainty and Investment: Evidence from Japanese Companies. Journal of Macroeconomics, 49, 224-236.
  • Mukalayi, N. (2021). Does Exchange Rate Volatility Reduce South African Domestic Consumption? SA-TIED Working Paper, No: 160.
  • Özer, M., ve Erdoğan, L. (2006). Türkiye’de İhracat, İthalat ve Ekonomik Büyüme Arasındaki İlişkilerin Zaman Serisi Analizi. Ekonomik Yaklaşım, 17 (60-61), 93-110.
  • Özgen, F.B., ve Güloğlu, B. (2004). Türkiye’de İç Borçların İktisadî Etkilerinin VAR Tekniğiyle Analizi. METU Studies in Development, 31 (1), 93-114.
  • Pástor, L., ve Veronesi, P. (2013). Political Uncertainty and Risk Premia. Journal of Financial Economics, 110 (3), 520-545.
  • Price, S. (1995). Aggregate Uncertainty, Capacity Utilization and Manufacturing Investment. Applied Economics, 27 (2), 147-154.
  • Romer, C.D. (1990). The Great Crash and the Onset of the Great Depression. The Quarterly Journal of Economics, 105 (3), 597-624.
  • Schaal, E. (2017). Uncertainty and Unemployment. Econometrica, 85 (6), 1675-1721.
  • Segal, G., Shaliastovich, I., ve Yaron, A. (2015). Good and Bad Uncertainty: Macroeconomic and Financial Market Implications. Journal of Financial Economics, 117 (2), 395-397.
  • Shah, S.Z., Baharumshah, A.Z., Said, R., ve Murdipi, R. (2019). The International Transmission of Volatility Shocks on an Emerging Economy: The Case of Malaysia. Malaysian Journal of Economic Studies, 56 (2), 243-265.
  • Sims, C.A. (1980). Macroeconomics and Reality. Econometrica, 48 (1), 1-48.
  • Takım, A. (2010). Türkiye’de GSYİH ile İhracat Arasındaki İlişki: Granger Nedensellik Testi. Atatürk Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 14 (2), 315-330.
  • Tarı, R., ve Bozkurt, H. (2006). Türkiye’de İstikrarsız Büyümenin VAR Modelleri ile Analizi. Ekonometri ve İstatistik, 4, 12-28.
  • Trung, N.B. (2019). The Spillover Effect of the US Uncertainty on Emerging Economies: A Panel VAR Approach. Applied Economics Letters, 26 (3), 210-216.
  • Vo, L.V., ve Le, H.T.T. (2017). Strategic Growth Option, Uncertainty, and R&D Investment. International Review of Financial Analysis, 51, 16-24.
  • Wang, Y., Chen, C.R., ve Huang, Y.S. (2014). Economic Policy Uncertainty and Corporate İnvestment: Evidence from China. Pacific-Basin Finance Journal, 26, 227-243.
  • Zalla, R. (2017). Economic Policy Uncertainty in Ireland. Atlantic Economic Journal, 45 (2), 269-271.
There are 63 citations in total.

Details

Primary Language Turkish
Subjects Economics
Journal Section Makaleler
Authors

Muhammet Daştan 0000-0001-6067-8946

Kerem Karabulut 0000-0002-3159-3289

Early Pub Date January 31, 2022
Publication Date January 31, 2022
Published in Issue Year 2022 Volume: 36 Issue: 1

Cite

APA Daştan, M., & Karabulut, K. (2022). Küresel ekonomik politika belirsizliklerinin makroekonomik aktivite üzerindeki etkileri: Türkiye örneği. Atatürk Üniversitesi İktisadi Ve İdari Bilimler Dergisi, 36(1), 133-142.

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