터키 경제 불확실성의 주성분 분석

초록

The guiding research question of this study is to discover whether the principal component analysis leads us to the advanced understanding of economic uncertainty in Turkey. The time frame covers June 2004 to August 2016 and the basic components of economic uncertainty in Turkey consist of foreign exchange rate(to US dollars), overnight call interest rate, credit default swap spread(maturity 5 years), BIST National All Share Index, MSCI Turkey Index, JPM EMBI Turkey Index, JPM EMBI Composite Index. The main findings are twofold: JPM EMBI Indexes, BIST National All Share Index, and foreign exchange rate are the main principal components in the case of 3 months moving average, whilst JPM EMBI Indexes, BIST National All Share Index, and financial stress(national credit) are in the case of 6 months moving average.

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