IDEAS home Printed from https://ideas.repec.org/a/eee/ecolet/v184y2019ics0165176519302964.html
   My bibliography  Save this article

A novel index of macroeconomic uncertainty for Turkey based on Google-Trends

Author

Listed:
  • Bilgin, Mehmet Huseyin
  • Demir, Ender
  • Gozgor, Giray
  • Karabulut, Gokhan
  • Kaya, Huseyin

Abstract

This paper aims to measure the level of economic and financial uncertainty in Turkey. The measure used is based on an internet search-based strategy and develops the ‘Turkish Economic and Financial Uncertainty Index’ (TEFUI). Based on the real-time monthly Google Trends data for the period from January 2004 to December 2018, our illustration suggests that TEFUI performs significantly well to predict various indicators of the Turkish economy as well as global uncertainty. To check the relative performance of the measure, we also contrast our index, which uses Turkey economy specific words and phrases, with an index generated for another country, e.g., the U.S. Based on correlation analysis and a comprehensive VAR analysis, our results suggest TEFUI successfully capture uncertainty in Turkey.

Suggested Citation

  • Bilgin, Mehmet Huseyin & Demir, Ender & Gozgor, Giray & Karabulut, Gokhan & Kaya, Huseyin, 2019. "A novel index of macroeconomic uncertainty for Turkey based on Google-Trends," Economics Letters, Elsevier, vol. 184(C).
    • Handle: RePEc:eee:ecolet:v:184:y:2019:i:c:s0165176519302964
    DOI: 10.1016/j.econlet.2019.108601
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0165176519302964
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.econlet.2019.108601?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Castelnuovo, Efrem & Tran, Trung Duc, 2017. "Google It Up! A Google Trends-based Uncertainty index for the United States and Australia," Economics Letters, Elsevier, vol. 161(C), pages 149-153.
    2. Scott R. Baker & Nicholas Bloom & Steven J. Davis, 2016. "Measuring Economic Policy Uncertainty," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 131(4), pages 1593-1636.
    3. Fraiberger, Samuel P. & Lee, Do & Puy, Damien & Ranciere, Romain, 2021. "Media sentiment and international asset prices," Journal of International Economics, Elsevier, vol. 133(C).
    4. Donadelli, Michael & Gerotto, Luca, 2019. "Non-macro-based Google searches, uncertainty, and real economic activity," Research in International Business and Finance, Elsevier, vol. 48(C), pages 111-142.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Falik Shear & Badar Nadeem Ashraf & Mohsin Sadaqat, 2020. "Are Investors’ Attention and Uncertainty Aversion the Risk Factors for Stock Markets? International Evidence from the COVID-19 Crisis," Risks, MDPI, vol. 9(1), pages 1-15, December.
    2. Kong, Gaowen & Kong, Dongmin & Shi, Lu, 2022. "Sleeplessness in COVID-19 pandemic: Lockdown and anxiety," Journal of Asian Economics, Elsevier, vol. 80(C).
    3. Diana Petrova & Pavel Trunin, 2023. "Estimation of Economic Policy Uncertainty," Russian Journal of Money and Finance, Bank of Russia, vol. 82(3), pages 48-61, September.
    4. Michele Costola & Michael Donadelli & Luca Gerotto & Ivan Gufler, 2022. "Global risks, the macroeconomy, and asset prices," Empirical Economics, Springer, vol. 63(5), pages 2357-2388, November.
    5. Puhr, Harald & Müllner, Jakob, 2024. "Vox populi, vox dei: A concept and measure for grassroots socio-political risk using Google Trends," Journal of International Management, Elsevier, vol. 30(2).
    6. Szczygielski, Jan Jakub & Charteris, Ailie & Bwanya, Princess Rutendo & Brzeszczyński, Janusz, 2024. "Google search trends and stock markets: Sentiment, attention or uncertainty?," International Review of Financial Analysis, Elsevier, vol. 91(C).
    7. Siphumlile Mangisa & Sonali Das & Rangan Gupta, 2022. "Analyzing The Impact Of Brexit On Global Uncertainty Using Functional Linear Regression With Point Of Impact: The Role Of Currency And Equity Markets," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 67(04), pages 1377-1388, June.
    8. Szczygielski, Jan Jakub & Charteris, Ailie & Bwanya, Princess Rutendo & Brzeszczyński, Janusz, 2023. "Which COVID-19 information really impacts stock markets?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 84(C).
    9. Joscha Beckmann & Robert L. Czudaj, 2023. "The role of expectations for currency crisis dynamics—The case of the Turkish lira," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(3), pages 625-642, April.
    10. Donadelli, Michael & Gufler, Ivan & Pellizzari, Paolo, 2020. "The macro and asset pricing implications of rising Italian uncertainty: Evidence from a novel news-based macroeconomic policy uncertainty index," Economics Letters, Elsevier, vol. 197(C).
    11. Giray Gozgor, 2022. "The role of economic uncertainty in the rise of EU populism," Public Choice, Springer, vol. 190(1), pages 229-246, January.
    12. Ademmer, Martin & Beckmann, Joscha & Bode, Eckhardt & Boysen-Hogrefe, Jens & Funke, Manuel & Hauber, Philipp & Heidland, Tobias & Hinz, Julian & Jannsen, Nils & Kooths, Stefan & Söder, Mareike & Stame, 2021. "Big Data in der makroökonomischen Analyse," Kieler Beiträge zur Wirtschaftspolitik 32, Kiel Institute for the World Economy (IfW Kiel).
    13. Batten, Jonathan A. & Bilgin, Mehmet Huseyin & Demir, Ender & Gozgor, Giray, 2023. "Does globalization affect credit market controls?," International Review of Economics & Finance, Elsevier, vol. 85(C), pages 21-43.
    14. Spyridon Boikos & Eirini Makantasi & Theodore Panagiotidis, 2023. "Macroeconomic Uncertainty Indices for European Countries," Notas Económicas, Faculty of Economics, University of Coimbra, issue 57, pages 7-56, December.
    15. Lee, Kiryoung & Choi, Eunseon & Kim, Minki, 2023. "Twitter-based Chinese economic policy uncertainty," Finance Research Letters, Elsevier, vol. 53(C).

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Puhr, Harald & Müllner, Jakob, 2024. "Vox populi, vox dei: A concept and measure for grassroots socio-political risk using Google Trends," Journal of International Management, Elsevier, vol. 30(2).
    2. Lee, Kiryoung & Choi, Eunseon & Kim, Minki, 2023. "Twitter-based Chinese economic policy uncertainty," Finance Research Letters, Elsevier, vol. 53(C).
    3. Tamgac, Unay, 2021. "Emerging market exchange rates during quantitative tapering: The effect of US and domestic news," Research in International Business and Finance, Elsevier, vol. 57(C).
    4. Szczygielski, Jan Jakub & Charteris, Ailie & Bwanya, Princess Rutendo & Brzeszczyński, Janusz, 2023. "Which COVID-19 information really impacts stock markets?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 84(C).
    5. Michele Costola & Michael Donadelli & Luca Gerotto & Ivan Gufler, 2022. "Global risks, the macroeconomy, and asset prices," Empirical Economics, Springer, vol. 63(5), pages 2357-2388, November.
    6. Nikolay Hristov & Markus Roth, 2019. "Uncertainty Shocks and Financial Crisis Indicators," CESifo Working Paper Series 7839, CESifo.
    7. Himounet, Nicolas, 2022. "Searching the nature of uncertainty: Macroeconomic and financial risks VS geopolitical and pandemic risks," International Economics, Elsevier, vol. 170(C), pages 1-31.
    8. Dim, Chukwuma & Koerner, Kevin & Wolski, Marcin & Zwart, Sanne, 2022. "Hot off the press: News-implied sovereign default risk," EIB Working Papers 2022/06, European Investment Bank (EIB).
    9. Azqueta-Gavaldon, Andres, 2023. "Political referenda and investment: Evidence from Scotland," European Journal of Political Economy, Elsevier, vol. 80(C).
    10. Efrem Castelnuovo, 2019. "Yield Curve and Financial Uncertainty: Evidence Based on US Data," Australian Economic Review, The University of Melbourne, Melbourne Institute of Applied Economic and Social Research, vol. 52(3), pages 323-335, September.
    11. Efrem Castelnuovo & Guay Lim, 2019. "What Do We Know About the Macroeconomic Effects of Fiscal Policy? A Brief Survey of the Literature on Fiscal Multipliers," Australian Economic Review, The University of Melbourne, Melbourne Institute of Applied Economic and Social Research, vol. 52(1), pages 78-93, March.
    12. Gabriel Caldas Montes & Victor Maia, 2023. "The reaction of disagreements in inflation expectations to fiscal sentiment obtained from information in official communiqués," Bulletin of Economic Research, Wiley Blackwell, vol. 75(4), pages 828-859, October.
    13. Beckmann, Joscha & Czudaj, Robert L. & Murach, Michael, 2024. "Macroeconomic Effects from Media Coverage of the China-U.S. Trade War on selected EU Countries," MPRA Paper 121751, University Library of Munich, Germany.
    14. Beckmann, Joscha & Davidson, Sharada Nia & Koop, Gary & Schüssler, Rainer, 2023. "Cross-country uncertainty spillovers: Evidence from international survey data," Journal of International Money and Finance, Elsevier, vol. 130(C).
    15. Sifat, Imtiaz & Zarei, Alireza & Hosseini, Seyedmehdi & Bouri, Elie, 2022. "Interbank liquidity risk transmission to large emerging markets in crisis periods," International Review of Financial Analysis, Elsevier, vol. 82(C).
    16. Bhanu Pratap & Nalin Priyaranjan, 2023. "Macroeconomic effects of uncertainty: a Google trends-based analysis for India," Empirical Economics, Springer, vol. 65(4), pages 1599-1625, October.
    17. Tosapol Apaitan & Pongsak Luangaram & Pym Manopimoke, 2022. "Uncertainty in an emerging market economy: evidence from Thailand," Empirical Economics, Springer, vol. 62(3), pages 933-989, March.
    18. Dai, Peng-Fei & Xiong, Xiong & Zhou, Wei-Xing, 2021. "A global economic policy uncertainty index from principal component analysis," Finance Research Letters, Elsevier, vol. 40(C).
    19. Guglielmo Maria Caporale & Menelaos Karanasos & Stavroula Yfanti, 2019. "Macro-Financial Linkages in the High-Frequency Domain: The Effects of Uncertainty on Realized Volatility," CESifo Working Paper Series 8000, CESifo.
    20. Michael Donadelli & Luca Gerotto & Marcella Lucchetta & Daniela Arzu, 2018. "Migration Fear, Uncertainty, and Macroeconomic Dynamics," Working Papers 2018:29, Department of Economics, University of Venice "Ca' Foscari".

    More about this item

    Keywords

    Search-based indices; Economic and financial uncertainty; Turkey; Google Trends;
    All these keywords.

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • D12 - Microeconomics - - Household Behavior - - - Consumer Economics: Empirical Analysis
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:ecolet:v:184:y:2019:i:c:s0165176519302964. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/ecolet .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.