Measuring Monetary Policy Uncertainty and Its Effects on the Economy: The Case of Turkey

In this study, we present new empirical insights for monetary policy uncertainty perception in Turkey by introducing a set of new measures. We construct a news-based measure based on the frequency counts of articles in newspapers that contain specific terms related to monetary policy uncertainty and two survey-based measures based on the interest rate expectations. Using these measures, we investigate the impact of monetary policy uncertainty on economic activity using vector autoregression models. Our findings indicate that monetary policy uncertainty remained relatively high and volatile during the implementation of unconventional monetary policy. The impulse response analysis suggests that monetary policy uncertainty shocks have negative effects on economic activity in Turkey.