Küresel Ekonomik, Politik ve Jeopolitik Belirsizliklerin Makroekonomik Etkileri: Türkiye Ekonomisi Üzerine SVAR Analizi (1992:Q1-2018Q:2)

Bu çalışmada, küresel ekonomide ekonomik, politik ve jeopolitik (EPJ) gelişmelerden kaynaklı belirsizliklerin, Türkiye ekonomisinin finansal ve mali nitelikli temel makroekonomik göstergeleri (faiz, enflasyon ve işsizlik oranı, döviz kuru, hisse senedi fiyatları, para arzı, cari işlemler dengesi, doğrudan yabancı yatırımlar, portföy yatırımları, diğer yatırımlar, fiziksel sermaye birikimi, ekonomik büyüme) üzerinde teorik düzeyde öngörüldüğü gibi etkiler yaratıp yaratmadığının ampirik olarak incelenmesi amaçlanmaktadır. Bu amaçla çalışmada, küresel EPJ belirsizliklerin Türkiye ekonomisinin finansal ve mali nitelikli makroekonomik göstergeleri üzerindeki etkileri, zaman serisi analizi metodolojisi ve SVAR modeli kapsamında 1992:Q1-2018Q:2 dönemi için ekonometrik olarak araştırılmaktadır. Çalışmanın sonucunda, küresel EPJ gelişmelerden kaynaklı belirsizliklerin, kısa ve/veya uzun dönemde Türkiye ekonomisinin finansal ve mali nitelikli makroekonomik göstergeleri üzerinde önemli ölçüde ve beklentilerle uyumlu olarak olumsuz yönde etkiler yarattığı belirlenmiştir.

___

  • Amisano, Gianni and Giannini, Carlo. 1997. Topics in structural VAR econometrics. Second Edition, Berlin: Springer.
  • Arbatli, Elif C., Davis, Steven J., Ito, Arata., Miake, Naoko and Saito, Ikuo. 2017. “Policy Uncertainty in Japan.” International Monetary Fund Working Paper, No: WP/17/128, 1-48.
  • Baker, Scott R., Bloom, Nicholas and Davis, Steven J. 2013. “Measuring Economic Policy Uncertainty.” Stanford University Centre for Economic Performance, CEPR Working Paper, 1-55.
  • Baker, Scott R., Bloom, Nicholas and Davis, Steven J. 2015. “Measuring Economic Policy Uncertainty.” Centre for Economic Performance, CEP Discussion Paper No: 1379, 1-77.
  • Bernanke, Ben S. 1986. “Alternative Explanations of the Money Income Correlation.” NBER National Bureau of Economic Research, Working Paper Series No: 1842, 1-62.
  • Bhagat, Sanjai, Ghosh, Pulak and Rangan, Srinivasan P. 2013. “Economic Policy Uncertainty and Economic Growth in India.” Indian Institute of Management Bangalore, Working Paper No: 407, 1-20.
  • Blanchard, Olivier and Perotti, Roberto. 2002. “An empirical characterization of the dynamic effects of changes in government spending and taxes on output.” The Quarterly Journal of Economics, 117:4, 1329-1368.
  • Caldara, Dario and Iacoviello, Matteo. 2018. “Measuring Geopolitical Risk.” Board of Governors of the Federal Reserve System International Finance Discussion Papers, No: 1222, 1-64.
  • Cerda, Rodrigo, Silva, Álvaro and Valente, Jose T. 2018. “Impact of economic uncertainty in a small open economy: the case of Chile.” Journal Applied Economics, 50: 26, 2894-2908.
  • Charles, Amélie, Darné, Olivier and Tripier, Fabien. 2018. “Uncertainty and the Macroeconomy: Evidence from an uncertainty composite indicator.” Applied Economics, 50:10, 1093-1107.
  • Čižmešija, Mirjana, Lolić, Ivana and Sorić, Petar. 2017. “Economic policy uncertainty index and economic activity: what causes what.” Croatian Operational Research Review, 8: 563-575.
  • Dai, Yen, Zhang, J. W., Yu, X. Z. and Li, Xin. 2017. “Causality between economic policy uncertainty and exchange rate in China with considering quantile differences.” Theoretical and Applied Economics, 24:3, 29-38.
  • Damane, Moeti. 2018. “The Macroeconomic Impact of Shocks in the US Federal Funds Rate on the Republic of South Africa: An SVAR Analysis.” Modern Economy, 9: 04, 796-829.
  • Davis, Steven J. 2016. “An Index of Global Economic Policy Uncertainty.” National Bureau of Economıc Research, NBER Working Paper Series, Working Paper 22740, 1-13.
  • Dima, Bogdan, Dincă, M. Sorin, Dima, Ş. Maria and Dincă, Gheorghiţa. 2017. “Does Economic Policies Uncertainty Affect Economic Activity? Evidences From The Unıted States of America.” Romanian Journal of Economic Forecasting, 20:1, 60-74.
  • Ferrara, Laurent and Guérin, Pierre. 2016. “What are the macroeconomic effects of high-frequency uncertainty shocks.” Bank of Canada Staff Working Paper, WP No: 2016-25, 1-44.
  • Ferrara, Laurent, Lhuissier, Stéphane. and Tripier, Fabien. 2017. “Uncertainty Fluctuations: Measures, Effects and Macroeconomic Policy Challenges.” CEPII Policy Brief, WP No 20, 1-16.
  • Fontaine, Idriss. Razafindravaosolonirina, Justinien and Didier, Laurent. .2018. “Chinese policy uncertainty shocks and the world macroeconomy: Evidence from STVAR”, China Economic Review, https://doi.org/10.1016/j.chieco.2018.04.008.
  • Fry, Renée and Pagan, Adrian. 2011. “Sign Restrictions in Structural Vector Autoregressions: A Critical Review.” Journal of Economic Literature, 49:4, 938-960.GBPC. 2018. The Productivity Imperative: Global Economic Outlook 2018-2022, Global Business Policy Council 1-2. Gujarati, Damodar N. and Porter, Dawn C. 2012. Temel Ekonometri, 1. Baskı, Çev. Şenesen Ümit ve Gülay Günlük Şenesen, İstanbul: Litaratür Yayınları.
  • Hardouvelis, Gikas A., Karalas, Georgios I., Karanastasis, Dimitrios I. and Samartzis, Panagiotis K. 2018. “Economic Policy Uncertainty, Political Uncertainty and the Greek Economic Crisis.” SSRN: https://ssrn.com/abstract=3155172, (Erişim: 10.09.2018).
  • IMF. 2018a. Less Even Expansion, Rising Trade Tensions, International Monetary Fund, World Economic Outlook Update, July 2018, 1-9. www.imf.org.
  • IMF. 2018b. Brighter Prospects, Optimistic Markets, Challenges Ahead, International Monetary Fund, World Economic Outlook Update, January 2018, 1-8. www.imf.org.
  • Lee, Junsoo and Strazicich, Mark C. 2003. “Minimum Lagrange Multiplier Unit Root Test with Two Structural Breaks.” Review of Economics and Statistics, 85:4, 1082-1089.
  • Lee, Seohyun. 2015. “Macroeconomic Uncertainty and Its Impact on Economic Activity: Investigating Two Different Measures”, 1-27. http://www.revecap.com/encuentros/trabajos/l/pdf/182.pdf, (Erişim: 10.08.2018).
  • Lovato, Clara 2013. “On the impact of economic policy uncertainty shocks on macroeconomic expectations in the United States.” Anno Accademico, 2012/13. No: 1010635, 1-67.
  • Luk, Paul, Cheng, Michael, Ng, Philip and Wong, Ken .2017. “Economic Policy Uncertainty Spillovers in Small Open Economies: the Case of Hong Kong.” http://www.policyuncertainty.com/media/HK_EPU_Paper.pdf, (Erişim: 6.06.2018).
  • Lutkepohl, Helmut. 2005. New Introduction to Multiple Time Series Analysis, Berlin: Springer.
  • Manteu, Cristina and Serra, Sara. 2017. “Impact of uncertainty measures on the Portuguese economy.” Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies, 29-51. https://www.bportugal.pt/sites/default/files/anexos/papers/ree201706_e.pdf, (Erişim: 10.08.2018).
  • Narayan, P. Kumar and Popp, Stephan. 2010. “A New Unit Root Test with Two Structural Breaks in Level and Slope at Unknown Time”, Journal of Applied Statistics, 37: 9, 1425-1438.
  • Narayan, P. Kumar, Narayan, Seema and Prasad, Arti. 2008. “A structural VAR analysis of electricity consumption and real GDP: Evidence from the G7 countries”, Energy Policy, 36, 2765-2769.
  • Nowzohour, Laura and Stracca, Livio. 2017. “More than a feeling: confidence, uncertainty and macroeconomic fluctuations.” European Central Bank (ECB), Working Paper Series No 2100, 1-57.
  • Nyawo, Seabelo T. and Van Wyk, R. Bertrum. 2018. “The Impact of Policy Uncertainty on Macro-Economy of Developed and Developing Countries”, Journal of Economics and Behavioral Studies, 10:1, 33-41.
  • OECD. 2018. OECD Economic Outlook: Stronger Growth, But Risks Loom Large, May 2018, 1-27. www.oecd.org/OECDEconomicOutlook.
  • OECD. 2018. OECD Economic Outlook: Stronger Growth, But Risks Loom Large, May 2018, 1-27. www.oecd.org/OECDEconomicOutlook.
  • Onafowora, Olugbenga and Owoye, Oluwole. 2017. “Impact of external debt shocks on economic growth in Nigeria: a SVAR analysis.” Economic Change and Restructuring, 1-23. DOI 10.1007/s10644-017-9222-5.
  • Perron, Pierre. 1989. “The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis.” Econometrica, 57:6, 1361-1401.
  • Rice, Amy, Vehbi, Tugrul and Wong, Benjamin. 2018. “Measuring uncertainty and its impact on the New Zealand economy.” Reserve Bank of New Zealand Analytical Note Series, No: AN2018/01, 1-19.
  • Sevüktekin, Mustafa and Çınar, Mehmet. 2014. Ekonometrik Zaman Serisi Analizi: EViews Uygulamalı, 4. Baskı, Bursa: Dora Basın Yayın Dağıtım.
  • Sorić, Petar; Lolić, Ivana. 2017. “Economic uncertainty and its impact on the Croatian economy.” Public Sector Economics, 41:4, 443-477.
  • Stockhammar, Par and Osterholm, Par. 2014. “Effects of US Policy Uncertainty on Swedish GDP Growth.” National Institute of Economic Research, NIER Working Paper No: 135.
  • Stockhammar, Par and Osterholm, Par. 2017. “The impact of US uncertainty shocks on small open economies.” Open Economies Review, 28:2, 347-368.
  • TCMB. 2017. Enflasyon Raporu 2017-IV, Türkiye Cumhuriyet Merkez Bankası, Yayın No: ISSN 1306-4509, www.tcmb.gov.tr.
  • TCMB. 2018. Enflasyon Raporu 2018-I, Türkiye Cumhuriyet Merkez Bankası, Yayın No: ISSN 1306-4509, www.tcmb.gov.tr.
  • TMB. 2017a. İnşaat Sektörü Analizi: ABD’de Yeni Başkan Dünya'da Yeni Düzen. Türkiye Müteahhitler Birliği, Ocak 2017. 1-19. www.tmb.org.tr.
  • TMB. 2017b. İnşaat Sektörü Analizi: Sıra Artık Ekonomiye Gelmeli. Türkiye Müteahhitler Birliği, Nisan 2017. 1-20. www.tmb.org.tr.
  • TMB. 2018a. İnşaat Sektörü Analizi: Geleceğe Hazırlanmak, Türkiye Müteahhitler Birliği, Ocak 2018, 1-24. www.tmb.org.tr.
  • TMB. 2018b. İnşaat Sektörü Analizi: Ticaret Savaşları: Kılıçlar Çekiliyor, Türkiye Müteahhitler Birliği, Nisan 2018, 1-28. www.tmb.org.tr.
  • TÜSİAD. 2018. 2018 Yılına Girerken Türkiye ve Dünya Ekonomisi. Türk Sanayicileri ve İş İnsanları Derneği, Ekonomik Araştırmalar Bölümü, Yayın No: TÜSİAD-T/2017-12/587, Ocak 2018, www.tusiad.org.
  • Yalçınkaya, Ömer and Aydın, H. İbrahim. 2017. “The Effects of Economic and Political Uncertainty on Economic Growth: A Panel Data Analysis on The G-7+BRC Countries (1997-2015).” Ege Academic Review,17: 3, 419-429.
  • Zalla, Ryan. 2017. “Economic Policy Uncertainty in Ireland.” Atlantic Economic Journal, 45, 269-271.