Belirsizliğin Türkiye Ekonomisine Etkilerinin Tahmin Edilmesi

Abstract

Bu çalışmada, Türkiye için temel bileşen analizi yöntemi aracılığıyla, üç ana finansal piyasadan ve Belirsizlik Anketi’nden belirsizliği temsil eden bir dizi değişken kullanılarak bir belirsizlik ölçütü oluşturulmuştur. Ardından, bu ölçütü kullanılarak, belirsizlik şoklarının Türkiye ekonomisi üzerindeki etkilerini tahmin etmek için bir vektör otoregresyon modeli kurulmuştur. Sonuçlar, belirsizlik şoklarının sanayi üretimdeki düşüş, tüketici güveninde bozulma ve işsizlik, enflasyon ve kredi faiz oranlarındaki artış ile ilişkili olduğuna dair kanıtlar sunmaktadır. Belirsizlik şoklarının etkileri, ekonomik aktivitede düşüşe enflasyonda ise yükselişe neden olan arz şoklarına benzer görünmektedir.

Keywords

• Temel bileşen analizi,Türkiye ekonomisi,belirsizlik,vektör otoregresyon

Estimating Effects of Uncertainty on the Turkish Economy

Abstract

In this paper, an uncertainty measure for Turkey is developed through principal component analysis based on a number of uncertainty proxies from three main financial markets and the Expectations Survey. Then, using this measure, a vector autoregression model is constructed to estimate the effects of uncertainty shocks on the Turkish economy. The results present evidence that uncertainty shocks are associated with a fall in industrial production, worsening consumer confidence, and rises in unemployment, inflation and credit interest rates. Uncertainty shocks seem similar to supply shocks, which cause economic activity to fall and inflation to rise.

Keywords

• Principal component analysis,Turkish economy,uncertainty,vector autoregression

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