A New Method to Measure Economic and Financial Uncertainty in Turkey

13 Pages Posted: 11 Mar 2019

See all articles by Mehmet Huseyin Bilgin

Mehmet Huseyin Bilgin

Istanbul Medeniyet University

Ender Demir

Istanbul Medeniyet University

Giray Gozgor

Istanbul Medeniyet University

Gokhan Karabulut

Istanbul University

Hüseyin Kaya

İstanbul Medeniyet University

Date Written: February 19, 2019

Abstract

This paper aims to measure the level of economic and financial uncertainty in Turkey. More specifically, it constructs a search-based ‘Turkish Economic and Financial Uncertainty Index’ (TEFUI) and employs the real-time monthly Google Trends data to cover the period from January 2004 to December 2018. The paper considers more than four hundred potential words to construct the TEFUI to generate the baseline TEFUI. The findings from both the correlation analysis and the Impulse-Response shocks of the Vector Autoregression models indicate that the TEFUI is significantly related to various indicators of the domestic economy and global uncertainty indices.

Keywords: economic uncertainty, financial uncertainty, consumer sentiment, consumer confidence, stock market volatility, emerging markets

JEL Classification: E32, D81, D12, C32

Suggested Citation

Bilgin, Mehmet Huseyin and Demir, Ender and Gozgor, Giray and Karabulut, Gokhan and Kaya, Hüseyin, A New Method to Measure Economic and Financial Uncertainty in Turkey (February 19, 2019). Available at SSRN: https://ssrn.com/abstract=3337913 or http://dx.doi.org/10.2139/ssrn.3337913

Mehmet Huseyin Bilgin

Istanbul Medeniyet University ( email )

D-100 Karayolu
Merdivenkoy Mevkii No:6/1 Goztepe/Kadıkoy
Istanbul
Turkey

Ender Demir

Istanbul Medeniyet University ( email )

D-100 Karayolu
Merdivenkoy Mevkii No:6/1 Goztepe/Kadıkoy
Istanbul
Turkey

Giray Gozgor (Contact Author)

Istanbul Medeniyet University ( email )

D-100 Karayolu
Merdivenkoy Mevkii No:6/1 Goztepe/Kadıkoy
Istanbul
Turkey

Gokhan Karabulut

Istanbul University ( email )

Istanbul
Turkey

Hüseyin Kaya

İstanbul Medeniyet University ( email )

D-100 Karayolu
Merdivenkoy Mevkii No:6/1 Goztepe/Kadıkoy
Istanbul
Turkey

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