WAVELET COMOVEMENT ANALYSIS BETWEEN TENDENCY SURVEYS AND ECONOMIC ACTIVITY IN TURKEY

Abstract

─Abstract ─ It is now common practice to measure economy-wide expectations so that additional information on the future path of economic variables like growth, unemployment and inflation could be extracted. The well-known methodology is to use tendency surveys, which cover producers and/or consumers. Following Yıldırım (2002), this paper is an attempt to assess whether there is any considerable pattern of comovement between selected macroeconomic variables (growth, unemployment and inflation) and tendency surveys (the Consumer Tendency Survey-CTS and Business Tendency Survey-BTS) in Turkey. Our originality is that we employ the wavelet comovement analysis, developed by Rua (2010), which is a strong methodological improvement combining the measures of comovement in time and frequency domain. We use monthly data to examine the period of January 2007 – March 2011 so that our analysis involves pre- and post- global financial and economic crisis. Our findings show that business tendency surveys exhibit significant comovement with industrial production and inflation in high and low frequency. On the other hand, consumer tendency surveys follow similar patterns with the change in inflation in high frequency especially during the global crisis period of 2009

Keywords

• Consumer Tendency Survey, Business Tendency Survey, Industrial Production, Wavelet Comovement Analysis

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