Investigation of Expected Inflation According to Adaptive Expectations Hypothesis Using Koyck Transformation: A Study on Türkiye

Serhat Alpağut

Makale detayları

Investigation of Expected Inflation According to Adaptive Expectations Hypothesis Using Koyck Transformation: A Study on Türkiye

Yazarlar:

Serhat Alpağut

Yayıncı:

Dokuz Eylul University

Ana Başlıklar:

Enflasyon

Dergi:

İzmir İktisat Dergisi Vol.39 Issue 3, pp.698-714

Belge Tipi:

Makale

Yayın Tarihi:

4/2024

Belge Dili:

İngilizce

Document ID (Org No.):

2001322720

pISSN:

1308-8505

Anahtar kelimeler:

Özet:

 Inflation expectations have been researched theoretically and practically for more than a century and continue to be a favorite research topic for economists even today. The validity of the Rational Expectations Hypothesis has not yet been proven by empirical research, and many studies show that it is invalid. This situation drew attention again to the validity of the Adaptive Expectations Hypothesis. In this study, inflation expectations for Türkiye in the 2013m6-2023m7 period, under the assumption of the Adaptive Expectations Hypothesis, were tested first by applying the Nerlove 1958 model and secondly by applying the Koyck transformation within the framework of the Friedman-Cagan model. As a result of the study, although evidence was found that the Adaptive Expectations Hypothesis is valid in Türkiye according to the Nerlove 1958 model, it was observed that there was a weak relationship between actual inflation and expected inflation. The second model was applied to avoid hesitation in accepting the hypothesis. With the Koyck transform model, it has been determined that individuals in Türkiye learn from past inflation values in forming inflation expectations. The speed of this learning is 77. It was concluded that individuals form their inflation expectations by using 77 of current and past inflation data. The intended history includes the current period, the first and second lags. In terms of expectations, the effect of the third lag is zero.

 Inflation expectations have been researched theoretically and practically for more than a century and continue to be a favorite research topic for economists even today. The validity of the Rational Expectations Hypothesis has not yet been proven by empirical research, and many studies show that it is invalid. This situation drew attention again to the validity of the Adaptive Expectations Hypothesis. In this study, inflation expectations for Türkiye in the 2013m6-2023m7 period, under the assumption of the Adaptive Expectations Hypothesis, were tested first by applying the Nerlove 1958 model and secondly by applying the Koyck transformation within the framework of the Friedman-Cagan model. As a result of the study, although evidence was found that the Adaptive Expectations Hypothesis is valid in Türkiye according to the Nerlove 1958 model, it was observed that there was a weak relationship between actual inflation and expected inflation. The second model was applied to avoid hesitation in accepting the hypothesis. With the Koyck transform model, it has been determined that individuals in Türkiye learn from past inflation values in forming inflation expectations. The speed of this learning is 77. It was concluded that individuals form their inflation expectations by using 77 of current and past inflation data. The intended history includes the current period, the first and second lags. In terms of expectations, the effect of the third lag is zero.

 Inflation expectations have been researched theoretically and practically for more than a century and continue to be a favorite research topic for economists even today. The validity of the Rational Expectations Hypothesis has not yet been proven by empirical research, and many studies show that it is invalid. This situation drew attention again to the validity of the Adaptive Expectations Hypothesis. In this study, inflation expectations for Türkiye in the 2013m6-2023m7 period, under the assumption of the Adaptive Expectations Hypothesis, were tested first by applying the Nerlove 1958 model and secondly by applying the Koyck transformation within the framework of the Friedman-Cagan model. As a result of the study, although evidence was found that the Adaptive Expectations Hypothesis is valid in Türkiye according to the Nerlove 1958 model, it was observed that there was a weak relationship between actual inflation and expected inflation. The second model was applied to avoid hesitation in accepting the hypothesis. With the Koyck transform model, it has been determined that individuals in Türkiye learn from past inflation values in forming inflation expectations. The speed of this learning is 77. It was concluded that individuals form their inflation expectations by using 77 of current and past inflation data. The intended history includes the current period, the first and second lags. In terms of expectations, the effect of the third lag is zero.

 Enflasyon beklentileri yüzyılı aşkın süredir teorik ve uygulamalı olarak araştırılmakta ve günümüzde dahi iktisatçıların gözde araştırma konusu olmaya devam etmektedir. Rasyonel Beklentiler Hipotezinin günümüzde geçerliliği ampirik araştırmalarla kesin kanıtlara ulaşmamıştır ve geçerli olmadığına dair birçok çalışma da bulunmaktadır. Bu durum dikkatleri tekrar Adaptif Beklentiler Hipotezinin geçerliliğine çekmiştir. Bu çalışmada Türkiye için 2013m6-2023m7 döneminde Adaptif Beklentiler Hipotezi varsayımı altında enflasyon beklentileri ilk olarak Nerlove 1958 modeli ve ikinci olarak Friedman-Cagan modeli çerçevesinde Koyck dönüşümü uygulanarak test edilmiştir. Çalışma sonucunda Nerlove 1958 modeline göre Türkiyede Adaptif Beklentiler Hipotezinin geçerli olduğuna dair kanıtlar bulunmuş olsa da gerçekleşen enflasyon ve beklenen enflasyon arasında zayıf bir ilişki olduğu görülmüştür. Hipotezin kabulü noktasına tereddüt oluşmaması için ikinci model uygulanmıştır. Koyck dönüşümlü model ile Türkiyede bireylerin enflasyon beklentilerinin oluşumunda enflasyonun geçmiş değerlerinden öğrenme gerçekleştirdikleri tespit edilmiştir. Bu öğrenmenin hızı 77dir. Bireylerin cari ve geçmiş enflasyon verilerinin 77sini kullanarak enflasyon beklentilerini oluşturdukları sonucuna ulaşılmıştır. Kastedilen geçmiş, cari dönem ile birinci ve ikinci gecikmeleri kapsamaktadır. Beklentiler açısından gecikmeli verinin 3. gecikmesinin etkisi sıfırdır.

Makale detayları

Investigation of Expected Inflation According to Adaptive Expectations Hypothesis Using Koyck Transformation: A Study on Türkiye

Yazarlar:

Serhat Alpağut

Yayıncı:

Dokuz Eylul University

Ana Başlıklar:

Enflasyon

Dergi:

İzmir İktisat Dergisi Vol.39 Issue 3, pp.698-714

Belge Tipi:

Makale

Yayın Tarihi:

4/2024

Belge Dili:

İngilizce

Document ID (Org No.):

2001322720

pISSN:

1308-8505

Inflation

Expected Inflation

Adaptive Expectations

Koyck Transformation ModelEnflasyon

Beklenen Enflasyon

Uyarlayıcı Beklentiler

Kocyk Dönüşüm Modeli.

Sayı

Makale detayları

Yazarlar: Serhat Alpağut

Yayıncı: Dokuz Eylul University

Ana Başlıklar: Enflasyon

Dergi: İzmir İktisat Dergisi Vol.39 Issue 3, pp.698-714

Belge Tipi: Makale

Yayın Tarihi: 4/2024

Belge Dili: İngilizce

Document ID (Org No.): 2001322720

pISSN: 1308-8505

Sayı

Yazarlar:

Serhat Alpağut

Yayıncı:

Dokuz Eylul University

Ana Başlıklar:

Enflasyon

Dergi:

İzmir İktisat Dergisi Vol.39 Issue 3, pp.698-714

Belge Tipi:

Makale

Yayın Tarihi:

4/2024

Belge Dili:

İngilizce

Document ID (Org No.):

2001322720

pISSN:

1308-8505