The Impact of Foreign Exchange and Oil Prices Shocks on the Novel Google Trend Based Index of Economic Policy Uncertainty: A Case of Developing Country
The Impact of Foreign Exchange and Oil Prices Shocks on the Novel Google Trend Based Index of Economic Policy Uncertainty: A Case of Developing Country

Summary/Abstract: Economic policy uncertainty is one of the remarkable issues in the literature in recent years. Since there is no such index for Turkey, Google Trend based novel economic policy uncertainty index (EPU) was created for the first time by this study. Then the impact of oil price and exchange rate on economic policy uncertainty in Turkey were measured by ARDL bound test. As a result of the analysis, a cointegration relationship was found between all series. In addition, while oil prices have a significant effects on EPU in the long-run, the long-run effects of exchange rates have not been observed. In the short-run, it is seen that 4% of the deviations occurring in brent oil in the long-run improved in the next period. The short-run Granger causality relationships between the examined variables were detected by Block Exogenous Wald test. The results obtained show a mutual causality between the USD / TL exchange rate and the index in the short-run, while a unidirectional causality from Brent oil to EPU index has been detected.

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