Belirsizliğin Türkiye Ekonomisine Etkilerinin Tahmin Edilmesi

Öz

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.

Anahtar Kelimeler

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

Estimating Effects of Uncertainty on the Turkish Economy

Öz

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.

Anahtar Kelimeler

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

Kaynakça

1. Acemoglu, D. and Scott, A. (1994). “Consumer Confidence and Rational Expectations: Are Agents’ Beliefs Consistent with the Theory”. Economic Journal, 104(422):1-19.
2. Alexopoulos, M. and Cohen, J. (2009). “Uncertain times, uncertain measures”. University of Toronto Working Paper, 352. Available at http://www.economics.utoronto.ca/public/workingPapers/tecipa-352.pdf (Downloaded: 28 May 2015).
3. Alfaro, I., Bloom, N., and Lin, X. (2018). “The Finance Uncertainty Multiplier”. NBER Working Paper, 24571.
4. Arellano, C., Bai, Y., and Kehoe, P. (March 2012). “Financial Markets and Fluctuations in Uncertainty”. Federal Reserve Bank of Minneapolis Research Department Staff Report. Available at http://www.albany.edu/economics/research/seminar/files/Yan%20Bai.pdf (Downloaded: 01 June 2015).
5. Arslan, Y., Atabek, A., Hulagu, T., and Sahinoz, S. (September 2011). “Expectation Errors, Uncertainty and Economic Activity”. CBRT, Working Paper 11/17.
6. Asteriou, D., and Price, S. (2005). “Uncertainty, investment and economic growth: evidence from a dynamic panel”. Review of Development Economics, 9(2): 277–288.
7. Bachmann, R., Elstner, S., and Sims, E. R. (2013). “Uncertainty and Economic Activity: Evidence from Business Survey Data”. American Economic Journal: Macroeconomics, 5(2): 217–249.
8. Baker, S. R., Bloom, N., and Davis, S. J. (10 October 2011). “Measuring Economic Policy Uncertainty”. Available at http://web.stanford.edu/~nbloom/PolicyUncertainty.pdf (Downloaded: 1 February 2015).

9. Baker, S. R., Bloom, N., and Davis, S. J. (19 May 2013). “Measuring Economic Policy Uncertainty”. Available at http://www.policyuncertainty.com/media/BakerBloomDavis.pdf (Downloaded: 21 February 2015).
10. Baker, S. R., Bloom, N., and Davis, S. J. (2015). “Measuring Economic Policy Uncertainty”. NBER Working Paper, 21633.
11. Basu, S., and Bundick, B. (September 2012). “Uncertainty Shocks in a Model of Effective Demand”. NBER Working Paper, 18420.
12. Bernanke, B. S. (1983). “Irreversibility, Uncertainty, and Cyclical Investment”. The Quarterly Journal of Economics, 98(1): 85-106.
13. Berument, H., Ceylan, N. B. and Olgun, H. (2007). “Inflation uncertainty and interest rates: is the Fisher relation universal?”. Applied Economics, 39: 53–68.
14. Bloom, N. (May 2009). “The Impact of Uncertainty Shocks”. Econometrica, 77(3): 623–685.
15. Bloom, N., Floetotto, M., Jaimovich, N., Saporta-Eksten I., and Terry, S. J. (December 2014). “Really Uncertain Business Cycles”. Available at http://web.stanford.edu/~nbloom/RUBC.pdf (Downloaded: 07 August 2015).
16. Bloom, N., Kose, M. A., and Terrones, M. E. (March 2013). “Held back by uncertainty”. IMF Finance and Development, 50 (1): 38-41.
17. Bonciani, D., Van Roye, B. (July 2015). “Uncertainty shocks, banking frictions and economic activity”. ECB Working Paper Series, 1825.
18. Bram, J. and Ludvigson, S. C. (June1998). “Does Consumer Confidence Forecast Household Expenditure?: A Sentiment Index Horse Race”. FRBNY Economic Policy Review, 59-78. Available at https://www.newyorkfed.org/medialibrary/media/research/epr/98v04n2/9806bram.pdf (Downloaded: 30 October 2015).
19. Caggiano, G., Castelnuovo, E., and Groshenny, N. (2014). “Uncertainty shocks and unemployment dynamics in U.S. recessions”. Journal of Monetary Economics, 67: 78-92.
20. Caldara, D., Fuentes-Albero, C., Gilchrist, S., and Zakrajšek, E. (2016). “The macroeconomic impact of financial and uncertainty shocks”. European Economic Review, 88: 185-207.
21. Carriere-Swallow, Y., and Cespedes, L. F. (2013). “The impact of uncertainty shocks in emerging economies”. Journal of International Economics, 90: 316-325.
22. Carroll, C. D. (October 1996). “Buffer Stock Savings and the Life Cycle/Permanent Income Hypothesis”. NBER Working Paper, 5788.
23. Choi, S., and Shim, M. (2018). “Financial vs. Policy Uncertainty in Emerging Market Economies”. Open Economies Review.
24. Colombo, V. (2013). “Economic policy uncertainty in the US: Does it matter for the Euro area?”. Economics Letters, 121: 39–42.
25. Creal, D. D., and Wu J. C. (2014). “Term Structure of Interest Rate Volatility and Macroeconomic Uncertainty”. Unpublished. Available at http://faculty.chicagobooth.edu/drew.creal/research/papers/crealWu2013_sv.pdf (Downloaded: 11 February 2015).
26. Denis, S., and Kannan, P. (2013). “The Impact of Uncertainty Shocks on the UK Economy”. IMF Working Paper, 13/66.
27. Dion, D. P. (2006). “Does Consumer Confidence Forecast Household Spending? The Euro Area Case”. MPRA Paper, 911. Available at https://mpra.ub.uni-muenchen.de/911/1/MPRA_paper_911.pdf (Downloaded: 13 October 2015).
28. Dixit, A, and Pindyck, R. (1994). Investment under Uncertainty. Princeton, New Jersey: Princeton University Press.
29. Dlugoszek, G. (2018). “Macroeconomic Effects of Financial Uncertainty”. 2018 Meeting Papers, 1128, Society for Economic Dynamics.
30. European Central Bank ECB. (October 2013). “How has macroeconomic uncertainty in the euro area evolved recently?”. Monthly Bulletin, 44-48. Available at https://www.ecb.europa.eu/pub/pdf/mobu/mb201310en.pdf (Downloaded: 6 June 2015).
31. Fernandez-Villaverde J., Guerrón-Quintana, P. A., Rubio-Ramírez J., and Uribe, M. (2011). “Risk Matters: The Real Effects of Volatility Shocks”. American Economic Review, 101: pp. 2530–2561.
32. Gauvin, L., McLoughlin, C., and Reinhardt, D. (September 2014). “Policy uncertainty spillovers to emerging markets-evidence from capital flows”. Bank of England Working Paper, 512.
33. Gilchrist, S., Sim, J. W., and Zakrajsek E. (2014). “Uncertainty, Financial Frictions, and Investment Dynamics”. NBER Working Paper, 20038.
34. Haddow, A., and Hare, C. (2013). “Macroeconomic uncertainty: what is it, how can we measure it and why does it matter?”. Bank of England Quarterly Bulletin, Q2: 100-109.
35. International Monetary Fund (IMF). (October 2012). “Coping with High Debt and Sluggish Growth”. World Economic Outlook.
36. Jermann, U., and Quadrini, V. (2012). “Macroeconomic Effects of Financial Shocks”. American Economic Review, 102(1): pp. 238-271.
37. Jurado, K., Ludvigson, S. C., and Ng, S. (2015). “Measuring Uncertainty”. American Economic Review, 105(3): 1177–1216.
38. Karasoy, H. G., and Yüncüler, Ç. (2015). “The Explanatory Power and the Forecast Performance of Consumer Confidence Indices for Private Consumption Growth in Turkey”. Central Bank of the Republic of Turkey Working Paper, 15/19.
39. Kazi, I. A., and Wagan, H. (2014). “Are emerging markets exposed to contagion from U.S.: Evidence from stock and sovereign bond markets”. IPAG Business School Working Paper, 058. Available at https://www.ipag.fr/wp-content/uploads/recherche/WP/IPAG_WP_2014_058.pdf (Downloaded: 10 September 2015).
40. Klossner, S., and Sekkel, R. (2014). “International spillovers of policy uncertainty”. Economics Letters, 124: 508–512.
41. Knotek II, E. S., and Khan, S. (Second Quarter 2011). “How Do Households Respond to Uncertainty Shocks?”. Economic Review Federal Reserve Bank of Kansas City. Available at https://www.kansascityfed.org/publicat/econrev/pdf/11q2knotek-khan.pdf (Downloaded: 16 September 2015).
42. Leahy, J. V., and Whited, T. M. (February 1996). “The Effect of Uncertainty on Investment: Some Stylized Facts”. Journal of Money, Credit, and Banking, 281: 64-83.
43. Leduc, S., and Liu, Z. (May 2015). “Uncertainty Shocks are Aggregate Demand Shocks”. Federal Reserve Bank of San Francisco Working Paper, 2012-10.
44. Lopez-Salido, S., Stein J. C., and Zakrajšek E. (2016) Credit-market Sentiment and the Business Cycle, NBER Working Paper 21879.
45. Ludvigson, S. C., Ma, S., and Ng, S. (2018). “Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response”. NBER Working Paper, 21803.
46. Mumtaz, H., and Theodoridis, K. (October 2012). “The international transmission of volatility shocks: an empirical analysis”. Bank of England Working Paper, 463.
47. Organization for Economic Cooperation and Development (OECD), Joint Research Centre (JRC), and European Commission (EC). (2008). Handbook on Constructing Composite Indicators. Available at from http://www.oecd.org/std/42495745.pdf (Downloaded: 15 April 2015)
48. Organization for Economic Cooperation and Development (OECD). (October 2006). “Economic Survey of Turkey 2006”. Policy Brief. Available at from http://www.egm.org.tr/makaleler//OECD%20Policy%20Brief-Economic%20Survey%20of%20Turkey,%20October%202006.pdf (Downloaded: 13 May 2015).
49. Popp, A., and Zhang, F. (16 August 2015). “The Macroeconomic Effects of Uncertainty Shocks: The Role of the Financial Channel”. Available at http://mihaylofaculty.fullerton.edu/sites/fazhang/Macro%20effect%20of%20U%20shock_Credit.pdf (Downloaded: 21 October 2015).
50. Romer, C. D. (August1990). “The Great Crash and the Onset of the Great Depression”. The Quarterly Journal of Economics, 1053: 597-624.
51. Rossi, B., and Sekhposyan T. (2015). “Macroeconomic Uncertainty Indices Based on Nowcast and Forecast Error Distributions”. American Economic Review: Papers and Proceedings, 1055: 650–655.
52. Shaghil, A., Coulibaly, B., and Zlate, A. (April 2015). “International Financial Spillovers to Emerging Market Economies: How Important Are Economic Fundamentals?”. Board of Governors of the Federal Reserve System International Finance Discussion Papers, 1135. Available at http://www.federalreserve.gov/econresdata/ifdp/2015/files/ifdp1135.pdf (Downloaded: 30 November 2015).