Purpose

This study aims to measure economic uncertainty in Turkey by a novel economic uncertainty index (EUI) employing principal component analysis (PCA). We assess the impact of Covid-19 pandemic in Turkey with our constructed uncertainty index.

Design/methodology/approach

In order to obtain the EUI, this study employs a dimension reduction method of PCA using 14 macroeconomic indicators that spans from January 2011 to July 2020. The first principal component is picked as a proxy for the economic uncertainty in Turkey which explains 52% of total variation in entire sample. In the second part of our analysis, with our constructed EUI we conduct a structural vector autoregressions (SVAR) analysis simulating the Covid-19-induced uncertainty shock to the real economy.

Findings

Our EUI sensitively detects important economic/political events in Turkey as well as Covid-19-induced uncertainty rising to extremely high levels during the outbreak. Our SVAR results imply a significant decline in economic activity and in the sub-indices as well. Namely, industrial production drops immediately by 8.2% and cumulative loss over 8 months will be 15% on average. The losses in the capital and intermediate goods are estimated to be 18 and 25% respectively. Forecast error variance decomposition results imply that uncertainty shocks preserve its explanatory power in the long run, and intermediate goods production is more vulnerable to uncertainty shocks than overall industrial production and capital goods production.

Practical implications

The results indicate that monetary and fiscal policy should aim to decrease uncertainty during Covid-19. Moreover, since investment expenditures are affected severely during the outbreak, policymakers should impose investment subsidies.

Originality/value

This is the first study constructing a novel EUI which sensitively captures the critical economic/political events in Turkey. Moreover, we assess the impact of Covid-19-driven uncertainty on Turkish Economy with a SVAR model.

中文翻译：

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使用新的经济不确定性指数评估 Covid-19 大流行在土耳其的影响

目的

本研究旨在通过采用主成分分析 (PCA) 的新型经济不确定性指数 (EUI) 来衡量土耳其的经济不确定性。我们使用我们构建的不确定性指数来评估 Covid-19 大流行在土耳其的影响。

设计/方法/方法

为了获得 EUI，本研究采用 PCA 的降维方法，使用 2011 年 1 月至 2020 年 7 月的 14 个宏观经济指标。选择第一个主成分作为土耳其经济不确定性的代理，它解释了总的 52%整个样本的变化。在我们分析的第二部分中，通过我们构建的 EUI，我们进行了结构向量自回归 (SVAR) 分析，以模拟 Covid-19 引起的对实体经济的不确定性冲击。

发现

我们的 EUI 敏感地检测到土耳其的重要经济/政治事件以及 Covid-19 引发的不确定性在爆发期间上升到极高水平。我们的 SVAR 结果表明经济活动和子指数也显着下降。即工业生产立即下降8.2%，8个月累计损失平均为15%。资本和中间产品的损失估计分别为 18% 和 25%。预测误差方差分解结果表明，不确定性冲击在长期内具有解释力，中间产品生产比整体工业生产和资本品生产更容易受到不确定性冲击的影响。

实际影响

结果表明，货币和财政政策应旨在减少 Covid-19 期间的不确定性。此外，由于疫情期间投资支出受到严重影响，政策制定者应实施投资补贴。

原创性/价值

这是第一项构建新颖的 EUI 的研究，该 EUI 敏感地捕捉了土耳其的关键经济/政治事件。此外，我们使用 SVAR 模型评估了 Covid-19 驱动的不确定性对土耳其经济的影响。