THE DYNAMIC INTERACTIONS BETWEEN US AND EUROPEAN ECONOMIC POLICY UNCERTAINTIES AND SELECTED MACROECONOMIC VARIABLES IN TURKEY - ABD VE AVRUPA’NIN EKONOMİK POLİTİKA BELİRSİZLİKLERİ İLE TÜRKİYE'DE SEÇİLMİŞ MAKROEKONOMİK DEĞİŞKENLER ARASINDAKİ DİNAMİK ETKİLEŞİMLERİN ANALİZİ

Abstract

The purpose of this study is to examine the effects of economic policy uncertainties of EU (EPUEU) and US (EPUUS) on selected macroeconomic variables of Turkey, such as interest rate, stock prices, consumer price index, industrial production index, exchange rate by using ARDL bounds testing approach and monthly data over the period of 2002 January to 2015 December. According to results of the study, an increase in EPUUS causes a statistically significant decrease in industrial production in the long-run and an increase in consumer prices. On the other hand, an increase in EPUEU leads to increase in industrial production. Furthermore, the results show that no matter what the source of the policy uncertainties are, financial indicators of the Turkish economy are not significantly affected by changes in economic policy uncertainties of both EU and US. The results of the Granger causality tests indicate presence of both short-run and long-run causal relations between variables, particularly short-run causalities from EPUEU and EPUUS to industrial production reinforcing the results of ARDL estimates. Thus, Turkish policymakers should take into account of rising EU and US policy uncertainties when forming economic policies.

Keywords

• ekonomi politika belirsizliği
• makroekonomik performans
• zaman serisi analizi
• economic policy uncertainty
• macroeconomic performance
• time series analysis