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

Umut Burak Geyikci , Fatma İzmirli Ata , Lale Demirlioğlu

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.

Keywords

Economic Policy Uncertainty Index, Google Trend Based Index, EPU, ARDL Bound Test

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

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.

Keywords

Ekonomi Politikası Belirsizlik Endeksi, Google Trende Dayalı Endeks, EPU, ARDL Sınırlar Testi

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