Quantifying Uncertainty and Identifying its Impacts on the Turkish Economy

Evren Erdoğan Coşar and Saygin Sahinoz

Working Papers from Research and Monetary Policy Department, Central Bank of the Republic of Turkey

Abstract: In this study, firstly, we construct indices reflecting the financial uncertainty and the uncertainty perception of different agents such as consumers, firms and forecasters. Then, we develop an index of Economic Policy Uncertainty based on newspaper coverage frequency. In a dynamic factor model framework, we combine these indices to obtain an aggregate measure of economic uncertainty for the Turkish economy. Finally, by using this measure, we investigate the impact of uncertainty on economic activity via vector autoregression models. Empirical evidence shows that uncertainty has adverse impacts on economic growth, consumption and investment in Turkey. The impacts typically take two to three quarters to reach the maximum effect and the most severe effects of uncertainty are observed on investment.

Keywords: Uncertainty; Business cycle; Turkey (search for similar items in EconPapers)
JEL-codes: C22 C52 D81 E32 (search for similar items in EconPapers)
Date: 2018
New Economics Papers: this item is included in nep-ara, nep-cwa and nep-mac
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Citations: View citations in EconPapers (7)

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https://www.tcmb.gov.tr/wps/wcm/connect/EN/TCMB+EN ... g+Paperss/2018/18-06 (application/pdf)

Related works:
Journal Article: Quantifying uncertainty and identifying its impacts on the Turkish economy (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:tcb:wpaper:1806

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