Decomposing Uncertainty in Turkey into Its Determinants

Emine Meltem Bastan and Umit Ozlale

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

Abstract: This study aims at decomposing macroeconomic uncertainty into its components and constructs uncertainty indicators using the responses given to the Business Tendency Survey in Turkey with the method of Bachmann et al. (2010).The uncertainty indicators concentrate on questions on production capacity, total orders, expected fixed investment and general conditions. They are decomposed into their determinants using variables related to economic activity, exchange rate, interest rates, oil prices and both domestic and foreign price indices. The results show that variables related to economic activity, exchange rates, interest rates and consumer price indices have significant impact on uncertainty indicators, with the distinguished impact of non-linear variables noted for the exchange rate variables. In addition, the effects of the macroeconomic variables are more in line with expectations for production and total orders’ uncertainty compared to the investment and general conditions' uncertainty.

Keywords: Macroeconomic uncertainty; Bachmann method; Cross-sectional standard deviation; Business Tendency Survey; Random effects method (search for similar items in EconPapers)
JEL-codes: E20 E22 E23 E32 (search for similar items in EconPapers)
Date: 2019
New Economics Papers: this item is included in nep-ara and nep-mac
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Persistent link: https://EconPapers.repec.org/RePEc:tcb:wpaper:1932

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