Belirsizlik ve Türkiye ekonomisine etkisi

There has been a renewed attention to measure uncertainty and estimate its effects on the economy following 2008/2009 global financial crisis. This thesis develops an uncertainty measure for Turkey and analyses the macroeconomic effects of changes in this measure for the period of June 2005-August 2015. Two uncertainty measures are formed through principal component analysis by using a number of uncertainty proxies from three main financial markets and Expectations Survey. Aggregating uncertainty derived from varying sources into one summary statistic, the constructed measures capture four important incidents of uncertainty for Turkey in the last decade. These episodes occurred in May 2006 (domestic economic and political issues), October 2008 (collapse of Lehman Brothers), 2011 (Europe crisis), the summer of 2013 (taper tantrum coincided with Gezi events). A 7-variable vector autoregression model is constructed in order to estimate the impact of uncertainty shocks on Turkish economy. The variables included in the model are uncertainty measure, economic conditions index, unemployment rate, industrial production index, CPI, credit interest rate, and consumer confidence index. Economic conditions index is used to disentangle the effects of uncertainty from deterioration in the economic outlook. The results present evidence that an unanticipated shock to uncertainty measure is associated with a fall in industrial production, rise in unemployment, inflation and credit interest rate together with worsening in consumer confidence. The results are robust to a series of checks with respect to different ordering of variables, an alternative uncertainty measure, and a shorter variable set and sample period.