Effects of global economic policy uncertainty on macroeconomic activity: The case of Turkey

Year 2022, Volume: 36 Issue: 1, 133 - 142, 31.01.2022

Muhammet Daştan , Kerem Karabulut

Abstract

The objective of this study is to investigate the impact of uncertainty shocks arising from economic and political developments in the global economy on real macroeconomic activity in the Turkish economy. To this end, the interactions between global economic policy uncertainty (GEPU) and basic macroeconomic variables such as investment, consumption, employment, and GDP in the Turkish economy are examined using the Vector Autoregression (VAR) model for the period 1999q1-2020q4. Empirical evidence shows that GEPU shocks have contractionary effects on macroeconomic activity in the short and/or medium term and that the investment variable is the variable that is most responsive to these shocks. These results suggest that, on the one hand, the Turkish economy still maintains its fragile structure, and on the other hand, investment decisions are more sensitive to changes in future expectations compared to other economic decisions, such as consumption, and accordingly, the impact of uncertainty on the economy is mainly through the investment channel. The study also conducts a Granger causality test, which leads to the conclusion that there is a unilateral causality running from GEPU to macroeconomic variables.

Keywords

Global Economic Policy Uncertainty, Macroeconomic Activity, Turkish Economy, VAR Model

Küresel ekonomik politika belirsizliklerinin makroekonomik aktivite üzerindeki etkileri: Türkiye örneği

Abstract

Bu çalışmada küresel ekonomide iktisadi ve politik gelişmelerden kaynaklanan belirsizlik şoklarının reel makroekonomik aktivite üzerindeki etkilerinin Türkiye ekonomisi özelinde incelenmesi amaçlanmaktadır. Bu amaçla, küresel ekonomik politika belirsizliği (GEPU) ile Türkiye ekonomisine özgü yatırım, tüketim, istihdam ve Gayrı Safi Yurtiçi Hasıla gibi temel makroekonomik değişkenler arasındaki etkileşimler, 1999q1-2020q4 dönemi için Vektör Otoregresyon (VAR) modeli kullanılarak araştırılmaktadır. Ampirik sonuçlar, GEPU şoklarının makroekonomik aktivite üzerinde daraltıcı etkiler meydana getirdiğini ve yatırım değişkeninin söz konusu şoklar karşısında en yüksek tepkiyi veren değişken olduğunu ortaya koymaktadır. Bu sonuçlar, bir taraftan Türkiye ekonomisinin hali hazırda kırılgan yapısını muhafaza ettiğini, diğer taraftan da yatırım kararlarının tüketim gibi diğer iktisadi kararlara nispeten geleceğe ilişkin beklentilerdeki değişimlere daha fazla duyarlı olduğunu ve buna bağlı olarak da belirsizliğin ekonomi üzerindeki etkilerinin en çok yatırım kanalı üzerinden gerçekleştiğini göstermektedir. Çalışmada ayrıca Granger nedensellik testi uygulanmış ve GEPU’dan makroekonomik değişkenlere doğru tek yönlü nedensellik ilişkisinin bulunduğu sonucuna ulaşılmıştır

Keywords

Küresel Ekonomik Politika Belirsizliği, Makroekonomik Aktivite, Türkiye Ekonomisi, VAR Modeli

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