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The Impact of Foreign Exchange and Oil Prices Shocks on the Novel Google Trend Based Index of Economic Policy Uncertainty: A Case of Developing Country

Year 2021, İstiklal Marşı 100. Yıl Armağan Sayısı, 287 - 298, 19.05.2021
https://doi.org/10.18026/cbayarsos.855000

Abstract

Economic policy uncertainty is one of the remarkable issues in the literature in recent years. Since there is no such index for Turkey, Google Trend based novel economic policy uncertainty index (EPU) was created for the first time by this study. Then the impact of oil price and exchange rate on economic policy uncertainty in Turkey were measured by ARDL bound test. As a result of the analysis, a cointegration relationship was found between all series. In addition, while oil prices have a significant effects on EPU in the long-run, the long-run effects of exchange rates have not been observed. In the short-run, it is seen that 4% of the deviations occurring in brent oil in the long-run improved in the next period. The short-run Granger causality relationships between the examined variables were detected by Block Exogenous Wald test. The results obtained show a mutual causality between the USD / TL exchange rate and the index in the short-run, while a unidirectional causality from Brent oil to EPU index has been detected.

References

  • Alexopoulos, M., & Cohen, J. (2009). Uncertain Times, uncertain measures. Toronto: Department of Economics, University of Toronto.
  • Al-Yahyaee, K. H., Shahzad, S. H., & Mensi, W. (2020). Tail dependence structures between economic policy uncertainty and foreign exchange markets: Nonparametric quantiles methods. International Economics, 161, 66-82.
  • Antonakakis, N., Chatziantoniou, I., & Filis, G. (2014). Dynamic Spilovers of Oil Price Shocks and Economic Policiy Uncertainty. Energy Economics, 44, 433-447.
  • Atta-Mensah, J. (2004). Money Demand and Economic Uncertainty. Ottowa, Ontario, Canada K1A 0G9: Monetary and Financial Analysis Department Bank of Canade.
  • Baker, S., Bloom, N., & Davis, S. (2012). Measuring Economic Policy Uncertainty. Chicago Booth Research Paper.
  • Baker, S., Bloom, N., & Davis, S. (2016). Maesuring Economic Policy Uncertanity. Quarterly Journal of Economics.
  • Basher, S. A., & Sadorsky, P. (2006). Oil price risk and emerging stock markets. Global Finance Journal, 17, 224-251.
  • Bernanke, B. (1983). Irreversibility, Uncertainty, and Cyclical Investment. The Quarterly Journal of Economics, 98(1), 85-106.
  • Berument, M. H., Ceylan, N. B., & Doğan, N. (2010). The Impact of Oil Price Shocks on the Economic Growth of Selected MENA Countries. The Energy Journal, 31(1), 149-176.
  • Bilgin, M. H., Demir, E., Gozgoz, E., Karabulut, G., & Kaya, H. (2019). A novel index of macroeconomic uncertainty for Turkey based on Google-Trends. Economics Letter, 184. doi:https://doi.org/10.1016/j.econlet.2019.108601
  • Bloom, N. (2009). The Impact of Uncertainty Shocks. Econometrica, 77(3), 623-685.
  • Bloom, N., & Bond, S. (2007). Uncertainty and Investment Dynamics. The Review of Economic Studies Limited, 74, 391-415.
  • Bontempi, M., Golinelli, R., & Squadrani, M. (2018). Macroeconomic Unvertainty, Perception and Internet. Working Paper DSE No:1134.
  • Burbidge, J., & Harrison, A. (1984). Testing for the Effects of Oil-Price Rises Using Vector Autoregressiona. International Economic Review, 25(2), 459-484.
  • Castelnuovo, E., & Tran, T. D. (2017). Google It Up! A Google Trends-based Uncertainty Index for the United States and Australia. Munich Personal RePEc Archive. Melbourne: University of Melbourne and University of Padova, University of.
  • Chen, J., Jin, F., Ouyang, G., Ouyang, J., & Wen, F. (2019). Oil Price Shocks, Economic Policy Uncertainty and Industrial Economic Growth in China. PLoS One, 14(5).
  • Dai, Y., Zhang, J.-w., Yu, X.-z., & LI, X. (2017). Causality Between Economic Policy Uncertainty and Exchange Rate in China with Considering Quantile Differences. Theortical and Applied Economics, XXIV(3(612)), 29-38.
  • Das, D., & Kannadhasan, M. (2020). The asymmetric oil price and policy uncertainty shock exposure of emerging market sectoral equity returns: A quantile regression approach. International Review of Economics & Finance, 69, 563-581.
  • Donadelli, M., & Gerotto, L. (2019). Non-Macro Based Google Searches, Uncertainty, and Real Economic Activity. Res. Int. Bus. Finance, 48, 111-142.
  • Elder, J. (2010). Oil Price Uncertainty. J. Money Credit Bank, 42(6), 1137-1159.
  • Gay, R. D. (2016). Effect of Macroeconomic Variables on Stock Market Returns For Four Emerging Economies: Brazil, Russia, India, China. International Business & Economics Research journal, 15(3), 119-126.
  • Geyikçi, U. B. (2017). Analysing of the Relation Between Stock Markets and Economic Growth in Turkey by ARDL Bound Test . Jounral of Business Research Turk, 9(3), 197-212.
  • Ghildiyal, V., Pokhriyal, A. K., & Mohan, A. (2015). Impact of Financial Deepening on Economic Growth in Indian Perspective: ARDL Bount Testing Approach to Coentegration. Asian Development Policy Review, 3(3), 49-60.
  • Ghura, D., & Grennes, T. (1993). The Ral Exchange Rate and Macroeconomic Performance in Sub-Saharan Africa. Journal of Development Economics, 42(1), 155-174.
  • Hamilton, J. D. (1983). Oil and the macroeconomy since World War II. J Political Econ. J Political Econ, 91(2), 228-248.
  • Harms, P., & Kreschmann, M. (2009). Words, Deeds and Outcomes: A Survey on teh Growth Effects of Exchange Rate Regimes. Journal of Economic Surveys, 23(1), 139-164.
  • Kang, W., & Ratti, R. A. (2013). Structural Oil Price Shoks an Policy Unvertanity. Economic Modelling, 35, 314-319.
  • Kibritçioğlu, A., & Kibritçioğlu, B. (1999). Inflationary Effects of Increases in Prices of Improted Crude-Oil and Oil-Products in Turkey. Undersecretariat of Treasury Review and Research Journa.
  • Maysami, R. C., Howe, L. C., & Hamza, M. A. (2004). Relationship between Macroeconomic Variables and Stock Market Indices: Cointegration Evidence from Stock Exchange of Singapore’s All-S Sector Indices. Journal Pengurusan, 24, 47-77.
  • Mokni, K., Hammoudeh, S., Ajmi, A. N., & Youssef, M. (2020). Does economic policy uncertainty drive the dynamic connectedness between oil price shocks and gold price? Resource Policy, 69(101819).
  • Musa, F. (2017). The Long Run Effects of Oil Price on Economic Growth The Case of Saudi Arabia. International ournal of Energy Economics and Policy, 7(6), 171-192.
  • Olanipekun, I. O., Güngör, H., & Olasehinde-Williams, G. (2019). Unraveling the Causal Relationship Between Economic Policy Uncertainty and Exchange Market Pressure in BRIC Countries: Evidence From Bootstrap Panel Granger Causality. Sage Open, 1-13.
  • Olanipekun, I. O., Olasehinde-Williams, G., & Güngör, H. (2019). Impact of Economic Policy Uncertainty on Exchange Market Pressure. Sage Open, 1-13.
  • Quattara, B. (2004). Foreign Aid and Fiscal Policy in Senegal. Unpiblished Manuscript. Manchester, U.K.: University of Manchester.
  • Rehman, M. U. (2018). Do Oil Shocks Predict Economic Policy Uncertainty. Physica A: Statistical Mechanics and Its Applications, 498, 123-136.
  • Roubaud, D., & Arorui, M. (2018). Oil prices, excahnge rates and stock markets under uncertanity and regimeswitcing. Finance Research Letters, 27, 28-33.
  • Wang, Y., & Wang, Y. (2019). The Impact of Oil Price Shocks on Economic Policy Uncertainty of China: Evidence from Nonlinear Analysis. Proceedings of the 2nd
  • International Symposium on Social Science and Management Innovation (SSMI 2019). Advances in Social Science, Education and Humanities Research. doi:https://doi.org/10.2991/ssmi-19.2019.79
  • Weinberg, L. (2020). The Google Trend Uncertainty (GTU) Index: A Measure of Economic Policy Uncertainty in the EU Using Google Trends. Undergraduate Economic Review, 17(1).
  • Yesuf, A. J., & Avcı, E. (2018). Economic Policy Uncertainty, Global Oil Price, Interest Rate, And Stock Market Returns - A Cointegration And Causality Analysis. International Review of Economics and Managemtn, 6(2), 21-42.
  • Zhang, D. (2008). Oil Shock and Economic Growth in japan: A Nonlinear Approach. Energy Economics, 30, 2374-2390.

Döviz ve Petrol Fiyat Şoklarının Yeni Google Trend Temelli Ekonomi Politikası Belirsizliği Endeksi Üzerindeki Etkisi: Gelişmekte Olan Ülke Örneği

Year 2021, İstiklal Marşı 100. Yıl Armağan Sayısı, 287 - 298, 19.05.2021
https://doi.org/10.18026/cbayarsos.855000

Abstract

Ekonomi politikası belirsizliği literatürde son yıllarda dikkat çeken konulardan biridir. Konu ile ilgili yapılan çalışmalar genellikle gelişmiş ülkeler üzerinde yoğunlaşmaktadır. Türkiye için böyle bir endeksin hesaplanmadığı için çalışma ile ilk kez bir endeks oluşturulmuştur. Ardından Türkiye’de petrol fiyatları ve döviz kurlarının ekonomi politikası belirsizliği üzerindeki etkisi ARDL sınırlar testi vasıtasıyla ölçülmüştür. Gerçekleştirilen analiz neticesinde tüm seriler arasında eşbütünleşme ilişkisi bulgulanmıştır. Ayrıca petrol fiyatlarının ekonomik politika belirsizliği üzerinde uzun dönemde etkili oldukları bulgulanırken döviz kurlarının uzun dönemde herhangi bir etkisi gözlemlenmemiştir. Kısa dönem de ise, brent petrolde uzun dönemde meydana gelen sapmaların %4’ünün bir sonraki dönemde düzeldiği görülmektedir. İncelenen değişkenler arasındaki kısa dönemli Granger nedensellik ilişkilerini, Block Exojenite Wald testi vasıtasıyla test edilmiştir. Elde edilen sonuçlar, kısa dönemde Dolar/TL kuru ile endeks arasında karşılıklı bir nedensellik gösterirken, Brent petrolden endekse doğru da tek yönlü bir nedensellik bulgulanmıştır.

References

  • Alexopoulos, M., & Cohen, J. (2009). Uncertain Times, uncertain measures. Toronto: Department of Economics, University of Toronto.
  • Al-Yahyaee, K. H., Shahzad, S. H., & Mensi, W. (2020). Tail dependence structures between economic policy uncertainty and foreign exchange markets: Nonparametric quantiles methods. International Economics, 161, 66-82.
  • Antonakakis, N., Chatziantoniou, I., & Filis, G. (2014). Dynamic Spilovers of Oil Price Shocks and Economic Policiy Uncertainty. Energy Economics, 44, 433-447.
  • Atta-Mensah, J. (2004). Money Demand and Economic Uncertainty. Ottowa, Ontario, Canada K1A 0G9: Monetary and Financial Analysis Department Bank of Canade.
  • Baker, S., Bloom, N., & Davis, S. (2012). Measuring Economic Policy Uncertainty. Chicago Booth Research Paper.
  • Baker, S., Bloom, N., & Davis, S. (2016). Maesuring Economic Policy Uncertanity. Quarterly Journal of Economics.
  • Basher, S. A., & Sadorsky, P. (2006). Oil price risk and emerging stock markets. Global Finance Journal, 17, 224-251.
  • Bernanke, B. (1983). Irreversibility, Uncertainty, and Cyclical Investment. The Quarterly Journal of Economics, 98(1), 85-106.
  • Berument, M. H., Ceylan, N. B., & Doğan, N. (2010). The Impact of Oil Price Shocks on the Economic Growth of Selected MENA Countries. The Energy Journal, 31(1), 149-176.
  • Bilgin, M. H., Demir, E., Gozgoz, E., Karabulut, G., & Kaya, H. (2019). A novel index of macroeconomic uncertainty for Turkey based on Google-Trends. Economics Letter, 184. doi:https://doi.org/10.1016/j.econlet.2019.108601
  • Bloom, N. (2009). The Impact of Uncertainty Shocks. Econometrica, 77(3), 623-685.
  • Bloom, N., & Bond, S. (2007). Uncertainty and Investment Dynamics. The Review of Economic Studies Limited, 74, 391-415.
  • Bontempi, M., Golinelli, R., & Squadrani, M. (2018). Macroeconomic Unvertainty, Perception and Internet. Working Paper DSE No:1134.
  • Burbidge, J., & Harrison, A. (1984). Testing for the Effects of Oil-Price Rises Using Vector Autoregressiona. International Economic Review, 25(2), 459-484.
  • Castelnuovo, E., & Tran, T. D. (2017). Google It Up! A Google Trends-based Uncertainty Index for the United States and Australia. Munich Personal RePEc Archive. Melbourne: University of Melbourne and University of Padova, University of.
  • Chen, J., Jin, F., Ouyang, G., Ouyang, J., & Wen, F. (2019). Oil Price Shocks, Economic Policy Uncertainty and Industrial Economic Growth in China. PLoS One, 14(5).
  • Dai, Y., Zhang, J.-w., Yu, X.-z., & LI, X. (2017). Causality Between Economic Policy Uncertainty and Exchange Rate in China with Considering Quantile Differences. Theortical and Applied Economics, XXIV(3(612)), 29-38.
  • Das, D., & Kannadhasan, M. (2020). The asymmetric oil price and policy uncertainty shock exposure of emerging market sectoral equity returns: A quantile regression approach. International Review of Economics & Finance, 69, 563-581.
  • Donadelli, M., & Gerotto, L. (2019). Non-Macro Based Google Searches, Uncertainty, and Real Economic Activity. Res. Int. Bus. Finance, 48, 111-142.
  • Elder, J. (2010). Oil Price Uncertainty. J. Money Credit Bank, 42(6), 1137-1159.
  • Gay, R. D. (2016). Effect of Macroeconomic Variables on Stock Market Returns For Four Emerging Economies: Brazil, Russia, India, China. International Business & Economics Research journal, 15(3), 119-126.
  • Geyikçi, U. B. (2017). Analysing of the Relation Between Stock Markets and Economic Growth in Turkey by ARDL Bound Test . Jounral of Business Research Turk, 9(3), 197-212.
  • Ghildiyal, V., Pokhriyal, A. K., & Mohan, A. (2015). Impact of Financial Deepening on Economic Growth in Indian Perspective: ARDL Bount Testing Approach to Coentegration. Asian Development Policy Review, 3(3), 49-60.
  • Ghura, D., & Grennes, T. (1993). The Ral Exchange Rate and Macroeconomic Performance in Sub-Saharan Africa. Journal of Development Economics, 42(1), 155-174.
  • Hamilton, J. D. (1983). Oil and the macroeconomy since World War II. J Political Econ. J Political Econ, 91(2), 228-248.
  • Harms, P., & Kreschmann, M. (2009). Words, Deeds and Outcomes: A Survey on teh Growth Effects of Exchange Rate Regimes. Journal of Economic Surveys, 23(1), 139-164.
  • Kang, W., & Ratti, R. A. (2013). Structural Oil Price Shoks an Policy Unvertanity. Economic Modelling, 35, 314-319.
  • Kibritçioğlu, A., & Kibritçioğlu, B. (1999). Inflationary Effects of Increases in Prices of Improted Crude-Oil and Oil-Products in Turkey. Undersecretariat of Treasury Review and Research Journa.
  • Maysami, R. C., Howe, L. C., & Hamza, M. A. (2004). Relationship between Macroeconomic Variables and Stock Market Indices: Cointegration Evidence from Stock Exchange of Singapore’s All-S Sector Indices. Journal Pengurusan, 24, 47-77.
  • Mokni, K., Hammoudeh, S., Ajmi, A. N., & Youssef, M. (2020). Does economic policy uncertainty drive the dynamic connectedness between oil price shocks and gold price? Resource Policy, 69(101819).
  • Musa, F. (2017). The Long Run Effects of Oil Price on Economic Growth The Case of Saudi Arabia. International ournal of Energy Economics and Policy, 7(6), 171-192.
  • Olanipekun, I. O., Güngör, H., & Olasehinde-Williams, G. (2019). Unraveling the Causal Relationship Between Economic Policy Uncertainty and Exchange Market Pressure in BRIC Countries: Evidence From Bootstrap Panel Granger Causality. Sage Open, 1-13.
  • Olanipekun, I. O., Olasehinde-Williams, G., & Güngör, H. (2019). Impact of Economic Policy Uncertainty on Exchange Market Pressure. Sage Open, 1-13.
  • Quattara, B. (2004). Foreign Aid and Fiscal Policy in Senegal. Unpiblished Manuscript. Manchester, U.K.: University of Manchester.
  • Rehman, M. U. (2018). Do Oil Shocks Predict Economic Policy Uncertainty. Physica A: Statistical Mechanics and Its Applications, 498, 123-136.
  • Roubaud, D., & Arorui, M. (2018). Oil prices, excahnge rates and stock markets under uncertanity and regimeswitcing. Finance Research Letters, 27, 28-33.
  • Wang, Y., & Wang, Y. (2019). The Impact of Oil Price Shocks on Economic Policy Uncertainty of China: Evidence from Nonlinear Analysis. Proceedings of the 2nd
  • International Symposium on Social Science and Management Innovation (SSMI 2019). Advances in Social Science, Education and Humanities Research. doi:https://doi.org/10.2991/ssmi-19.2019.79
  • Weinberg, L. (2020). The Google Trend Uncertainty (GTU) Index: A Measure of Economic Policy Uncertainty in the EU Using Google Trends. Undergraduate Economic Review, 17(1).
  • Yesuf, A. J., & Avcı, E. (2018). Economic Policy Uncertainty, Global Oil Price, Interest Rate, And Stock Market Returns - A Cointegration And Causality Analysis. International Review of Economics and Managemtn, 6(2), 21-42.
  • Zhang, D. (2008). Oil Shock and Economic Growth in japan: A Nonlinear Approach. Energy Economics, 30, 2374-2390.
There are 41 citations in total.

Details

Primary Language English
Journal Section Articles
Authors

Umut Burak Geyikci 0000-0002-4285-2151

Fatma İzmirli Ata 0000-0003-2207-0010

Lale Demirlioğlu 0000-0001-5328-886X

Publication Date May 19, 2021
Published in Issue Year 2021 İstiklal Marşı 100. Yıl Armağan Sayısı

Cite

APA Geyikci, U. B., İzmirli Ata, F., & Demirlioğlu, L. (2021). The Impact of Foreign Exchange and Oil Prices Shocks on the Novel Google Trend Based Index of Economic Policy Uncertainty: A Case of Developing Country. Manisa Celal Bayar Üniversitesi Sosyal Bilimler Dergisi, 19(Armağan Sayısı), 287-298. https://doi.org/10.18026/cbayarsos.855000