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Rasyonel Beklentiler Hipotezi: Türk İmalat Sanayi Örneği

Yıl 2014, Cilt: 16 Sayı: 2, 325 - 347, 30.09.2014
https://doi.org/10.16953/deusbed.99613

Öz

Öz

Bu çalışmanın amacı Türkiye’de enflasyon beklentilerinin rasyonelliğinin test edilmesidir. Bu çalışmada 1992-2009 dönemi itibariyle Türkiye’de imalat sanayi ve alt sektörleri için enflasyon beklentilerinin rasyonelliği Türkiye İstatistik Kurumu (TÜİK) tarafından raporlanan İmalat Sanayi Eğilim İstatistikleri kullanılarak araştırılmıştır. Beklentilerin rasyonel olup olmadığı yansızlık, otokorelasyon, etkinlik ve ortogonallik analizleri ile test edilmiştir. Elde edilen sonuçlara göre incelenen dönem itibariyle toplam imalat sanayi ve alt sektörleri bazında enflasyon beklentileri rasyonel değildir.

Anahtar Kelimeler: Rasyonellik, İmalat Sanayi, Yansızlık, Etkinlik, Ortogonallik.

Kaynakça

  • Bakhshi, H., Kapetanios, G. ve Yates, A. (2003). Rational expectations and fixed-event forecasts: An application to UK inflation. Bank of England Working Paper, No. 176.
  • Barlas Özer, Y. ve Mutluer, D. (2005). Inflation expectations in Turkey: statistical evidence from the business tendency survey. Central Bank Review, 5 (2): 73-97.
  • Barro, R. J. (1976). Rational expectations and the role of monetary policy. Journal of Monetary Economics, 2 (1): 1-33.
  • Bilgili, F. (2001). The unbiasedness and efficiency tests of the rational expectations hypothesis. MPRA Paper, No. 24114.
  • Brown, B. W. ve Maital, S. (1981). What do economists known? An empirical study of experts’ expectations. Econometrica, 49 (2): 491-504.
  • Dabbs, R. E., Smith, K. L. ve Brocato, J. (1991). Tests on the rationality of professional business forecasters with changing forecast horizons. Quarterly Journal of Business and Economics, 30 (2): 28-50.
  • Dickey, D. ve Fuller, W. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74 (366): 427-431.
  • Enders, W. (1995). Applied econometric time series. United States of America: John Wiley & Sons.
  • Evans, G. W. ve Gulamani, R. (1984). Tests for rationality of the Carlson-Parkin inflation expectations data. Oxford Bulletin of Economics and Statistics, 46 (1): 1-19.
  • Forsells, M. ve Kenny, G. (2002). The rationality of consumer’ inflation expectations: Survey-based evidence for the EURO area. European Central Bank Working Paper, No.163.
  • Jeong, J. ve Maddala, G. S. (1991). Measurement errors and tests for rationality. Journal of Business and Economic Statistics, 9 (4): 431-439.
  • Jonsson, T. ve Osterholm, P. (2010). The properties of survey-based inflation expectations in Sweden. National Institute of Economic Research Working Paper, No. 114.
  • Kara, H. ve Küçük-Tuğer, H. (2005). Some evidence on the (ir)rationality of inflation expectations in Turkey. The Central Bank of the Republic of Turkey Working Paper, No. 05/12.
  • Karadaş, E. ve Öğünç, F. (2003). An analysis of inflation expectations of Turkish private manufacturing industry. Central Bank Review, 3 (2): 57-83.
  • Lucas, R. E. (1972). Expectations and the neutrality of money. Journal of Economic Theory, (4): 103-114.
  • Lyziak, T. (2003). Consumer inflation expectations in Poland. European Central Bank Working Paper Series, No. 287.
  • Mehra, Y. P. (2002). Survey measures of expected inflation: Revisiting content and rationality. Economic Quarterly, 88 (3): 17-36.
  • Metin, K. ve Muslu, İ. (1999). Money demand, the Cagan Model, testing rational expectations vs adaptive expectations: The case of Turkey. Empirical Economics, 24 (3): 415-426.
  • Mishkin, F. S. (1981). Are market forecasts rational?. National Bureau of Economic Research Working Paper, No. 0507.
  • Oral, E. (2002). Inflation expectations derived from business tendency survey of the Central Bank. The Central Bank of the Republic of Turkey Working Paper.
  • Oral, E., Saygılı, H., Saygılı, M. ve Tuncel, S. Ö. (2009). An assessment of the Central Bank of the Republic of Turkey’s survey of expectations. İktisat İşletme ve Finans, 24 (276): 23-51.
  • Pearce, D. K. (1984). An empirical analysis of expected stock price movements. Journal of Money, Credit and Banking, 16 (3): 317-327.
  • Pesando, J. E. A.(1975). Note on the rationality of the Livingston price expectations. Journal of Political Economy, 83 (4): 849-858.
  • Phillips, P. ve Peron, P. (1988). Testing for a unit root in time series regressions. Biometrika, 75 (2): 335-346.
  • Prat, G. ve Uctum, R. (2011). Modeling oil price expectations: evidence from survey data. The Quarterly Review of Economics and Finance, 58 (3): 236-247.
  • Razzak, W. A. (1997). Testing the rationality of the National Bank of New Zealand’s survey data. Reserve Bank of New Zealand Discussion Paper, 97 (5).
  • Sargent, T. J. ve Wallace, N. (1975). Rational expectations, the optimal monetary instrument, and the optimal money supply rule. Journal of Political Economy, 83 (2): 241-255.
  • Turnovsky, S. J. (1970). Empirical evidence on the formation of expectations. Journal of the American Statistical Association, 65 (332): 1441-1454.
  • Uygur, E. (1989). Inflation expectations of the Turkish manufacturing firms. Central Bank of the Republic of Turkey Discussion Paper, No.8904.
  • Zivot, E. ve Andrews, D. W. K. (1992). Further evidence on the Great Crash, the Oil Price Shock, and the unit-root hypothesis. Journal of Business and Economics Statistics, 10 (3), 251-270.

Rational Expectation Hypothesis: The Case of Turkish Manufacturing Industry

Yıl 2014, Cilt: 16 Sayı: 2, 325 - 347, 30.09.2014
https://doi.org/10.16953/deusbed.99613

Öz

Abstract

The aim of this study is to test rationality of inflation expectations in Turkey. In this study, the rationality of manufacturing industry and sub-sectors’ inflation expectations were investigated in Turkey using the Manufacturing Industry Tendency Statistics which reported by Turkish Statistical Institute (TurkStat) for the period of 1992-2009. Whether the expectations are rational is tested by the analysis of unbiasedness, autocorrelation, efficiency, and orthogonality. According to results, the inflation expectations for the total manufacturing industry and sub-sectors are not rational for the period under discussion.

Keywords: Rationality, Manufacturing Industry, Unbiasedness, Efficiency, Orthogonality.

Kaynakça

  • Bakhshi, H., Kapetanios, G. ve Yates, A. (2003). Rational expectations and fixed-event forecasts: An application to UK inflation. Bank of England Working Paper, No. 176.
  • Barlas Özer, Y. ve Mutluer, D. (2005). Inflation expectations in Turkey: statistical evidence from the business tendency survey. Central Bank Review, 5 (2): 73-97.
  • Barro, R. J. (1976). Rational expectations and the role of monetary policy. Journal of Monetary Economics, 2 (1): 1-33.
  • Bilgili, F. (2001). The unbiasedness and efficiency tests of the rational expectations hypothesis. MPRA Paper, No. 24114.
  • Brown, B. W. ve Maital, S. (1981). What do economists known? An empirical study of experts’ expectations. Econometrica, 49 (2): 491-504.
  • Dabbs, R. E., Smith, K. L. ve Brocato, J. (1991). Tests on the rationality of professional business forecasters with changing forecast horizons. Quarterly Journal of Business and Economics, 30 (2): 28-50.
  • Dickey, D. ve Fuller, W. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74 (366): 427-431.
  • Enders, W. (1995). Applied econometric time series. United States of America: John Wiley & Sons.
  • Evans, G. W. ve Gulamani, R. (1984). Tests for rationality of the Carlson-Parkin inflation expectations data. Oxford Bulletin of Economics and Statistics, 46 (1): 1-19.
  • Forsells, M. ve Kenny, G. (2002). The rationality of consumer’ inflation expectations: Survey-based evidence for the EURO area. European Central Bank Working Paper, No.163.
  • Jeong, J. ve Maddala, G. S. (1991). Measurement errors and tests for rationality. Journal of Business and Economic Statistics, 9 (4): 431-439.
  • Jonsson, T. ve Osterholm, P. (2010). The properties of survey-based inflation expectations in Sweden. National Institute of Economic Research Working Paper, No. 114.
  • Kara, H. ve Küçük-Tuğer, H. (2005). Some evidence on the (ir)rationality of inflation expectations in Turkey. The Central Bank of the Republic of Turkey Working Paper, No. 05/12.
  • Karadaş, E. ve Öğünç, F. (2003). An analysis of inflation expectations of Turkish private manufacturing industry. Central Bank Review, 3 (2): 57-83.
  • Lucas, R. E. (1972). Expectations and the neutrality of money. Journal of Economic Theory, (4): 103-114.
  • Lyziak, T. (2003). Consumer inflation expectations in Poland. European Central Bank Working Paper Series, No. 287.
  • Mehra, Y. P. (2002). Survey measures of expected inflation: Revisiting content and rationality. Economic Quarterly, 88 (3): 17-36.
  • Metin, K. ve Muslu, İ. (1999). Money demand, the Cagan Model, testing rational expectations vs adaptive expectations: The case of Turkey. Empirical Economics, 24 (3): 415-426.
  • Mishkin, F. S. (1981). Are market forecasts rational?. National Bureau of Economic Research Working Paper, No. 0507.
  • Oral, E. (2002). Inflation expectations derived from business tendency survey of the Central Bank. The Central Bank of the Republic of Turkey Working Paper.
  • Oral, E., Saygılı, H., Saygılı, M. ve Tuncel, S. Ö. (2009). An assessment of the Central Bank of the Republic of Turkey’s survey of expectations. İktisat İşletme ve Finans, 24 (276): 23-51.
  • Pearce, D. K. (1984). An empirical analysis of expected stock price movements. Journal of Money, Credit and Banking, 16 (3): 317-327.
  • Pesando, J. E. A.(1975). Note on the rationality of the Livingston price expectations. Journal of Political Economy, 83 (4): 849-858.
  • Phillips, P. ve Peron, P. (1988). Testing for a unit root in time series regressions. Biometrika, 75 (2): 335-346.
  • Prat, G. ve Uctum, R. (2011). Modeling oil price expectations: evidence from survey data. The Quarterly Review of Economics and Finance, 58 (3): 236-247.
  • Razzak, W. A. (1997). Testing the rationality of the National Bank of New Zealand’s survey data. Reserve Bank of New Zealand Discussion Paper, 97 (5).
  • Sargent, T. J. ve Wallace, N. (1975). Rational expectations, the optimal monetary instrument, and the optimal money supply rule. Journal of Political Economy, 83 (2): 241-255.
  • Turnovsky, S. J. (1970). Empirical evidence on the formation of expectations. Journal of the American Statistical Association, 65 (332): 1441-1454.
  • Uygur, E. (1989). Inflation expectations of the Turkish manufacturing firms. Central Bank of the Republic of Turkey Discussion Paper, No.8904.
  • Zivot, E. ve Andrews, D. W. K. (1992). Further evidence on the Great Crash, the Oil Price Shock, and the unit-root hypothesis. Journal of Business and Economics Statistics, 10 (3), 251-270.
Toplam 30 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Bölüm Makaleler
Yazarlar

Sinem Yılmaz Bu kişi benim

Zehra Abdioğlu

Yayımlanma Tarihi 30 Eylül 2014
Gönderilme Tarihi 21 Ocak 2015
Yayımlandığı Sayı Yıl 2014 Cilt: 16 Sayı: 2

Kaynak Göster

APA Yılmaz, S., & Abdioğlu, Z. (2014). Rasyonel Beklentiler Hipotezi: Türk İmalat Sanayi Örneği. Dokuz Eylül Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 16(2), 325-347. https://doi.org/10.16953/deusbed.99613