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AGGREGATE CONSUMPTION AND THE RISK FREE RATES IN TURKEY: AN EMPIRICAL ANALYSIS

Year 2006, Issue: 15, - , 20.06.2015

Murat Taşdemir

Abstract

The empirical work using the aggregate data from developed countries has been rejected the consumption based capital asset pricing model (C-CPAM). This paper attempts to test C-CPAM using Turkish aggregate data. The nonlinear Euler equation from C-CPAM with a single risk-free asset is estimated by GMM estimation procedure using different measures of consumption and rate of return. In all estimations, the overidentification restrictions are failed to reject, and the estimations of the preference parameters are significant

Keywords

C-CPAM Euler equation consumption risk-free rate GMM

References

  • Breeden, D. T., M. R. Gibbons and R. H. Litzenberger (1989) "Empirical Test of the Consumption-Oriented CAPM." Journal of Finance. Vol. 44, No. 2. pp. 231-262.
  • English, W. B., J. A. Miron and D. W. Wilcox (1989) "Seasonal Fluctuations and the Life Cycle-Permanent Income Model of Consumption: A Correction." Journal of Political Economy. Vol. 97, No. 4. pp. 988-991.
  • Epstein, L.G. and S.E. Zin (1991) "Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis." Journal of Economic Theory. Vol. 99, No. 2. pp. 263-286.
  • Ferson, W. E. and C. R.Harvey (1992) " Seasonality and Consumption- Based Asset Pricing." Journal of Finance. Vol. 47, No. 2. pp. 511-552.
  • Hall, A.R. (2005) Generalized Method of Moments. New York, USA: Oxford University Press.
  • Hall, R.E. (1988) "Intertemporal Substitution in Consumption." Journal of Political Economy. Vol. 96, No. 2. pp. 339-357.
  • Hansen, L.P. (1982) "Large Sample Properties of Generalized Method of Moments Estimators." Econometrica. Vol. 50, No. 4. pp. 1029-1054.
  • Hansen, L.P. and K.J. Singleton (1984) "Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models: Errata." Econometrica. Vol. 52, No. 1. pp. 267-268.
  • Hansen, L.P. and K.J. Singleton (1982) "Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models: Errata." Econometrica. Vol. 50, No. 5. pp. 1269-1286.
  • Hansen, L.P. and K.J. Singleton (1996) "Efficient Estimation of Linear Asset Pricing Models with Moving-Average Errors." Journal of Business & Economic Statistics. Vol. 14, No. 1. pp. 53-68.
  • Hansen, L.P. and K.J. Singleton (1983) "Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns." Journal of Political Economy. Vol. 91, No. 2. pp. 249-265.
  • Hyde, S. and M. Sherif (2005) "Consumption Asset Pricing Models: Evidence From The Uk." Manchester School. Vol. 73, No. 3. pp. 343- 363.
  • King, R.G. and S. Rebelo (1990) "Public Policy and Economic Growth: Developing Neoclassical Implications." Journal of Political Economy. Vol. 98, No. 5. pp. S126-S150.
  • Kose, A., E. S. Prasad and M. E. Terrones (2003) "Financial Integration and Macroeconomic Volatility." International Monetary Fund IMF Working Papers No. 03/50.
  • Mankiw, N. G., J. J. Rotemberg and L. H. Summers (1985) "Intertemporal Substitution in Macroeconomics." The Quarterly Journal of Economics. Vol. 100, No. 1. pp. 225-251.
  • Matyas, L. (1999). Generalized Method of Moments Estimation. Cambridge, UK: Cambridge University Press.
  • Miron, J. A. (1986) "Seasonal Fluctuations and the Life Cycle-Permanent Income Model of Consumption." Journal of Political Economy. Vol. 94, No. 6. pp. 1258-1279.
  • Ogaki, M. and C. M. Reinhart (1998) "Measuring Intertemporal Substitution: The Role of Durable Goods." Journal of Political Economy. Vol. 106, No. 5. pp. 1078-1098.
  • Summers, L. H. (1984) "The After Tax Rate of Return Affects Private Savings." American Economic Review. Vol. 74, No. 2. pp. 249-253.

AGGREGATE CONSUMPTION AND THE RISK FREE RATES IN TURKEY: AN EMPIRICAL ANALYSIS

Year 2006, Issue: 15, - , 20.06.2015

Murat Taşdemir

Abstract

Gelişmiş ülkelerin toplulaştırılmış verilerini kullanan ekonometrik çalışmalar tüketim temelli sermaye varlıkları fiyatlandırma (Consumption based Capital Asset Pricing - C-CAP) modelini reddetmişlerdir. Bu çalışma toplulaştırılmış veri kullanarak C-CAP modelini Türkiye için test etmeyi amaçlamaktadır. Sadece risksiz bir sermaye varlığının yer aldığı bir C-CAP modelinden elde edilen doğrusal olmayan Euler denklemi, farklı tüketim ve getiri oranları kullanılarak GMM yöntemi ile tahmin edilmiştir. Tahminlerin hiçbirinde aşırı belirlenme kısıtları reddedilmemiştir ve tercih parametreleri istatistiksel olarak anlamlı bulunmuştur

Keywords

C-CPAM Euler denklemi tüketim faiz oranları GMM

References

  • Breeden, D. T., M. R. Gibbons and R. H. Litzenberger (1989) "Empirical Test of the Consumption-Oriented CAPM." Journal of Finance. Vol. 44, No. 2. pp. 231-262.
  • English, W. B., J. A. Miron and D. W. Wilcox (1989) "Seasonal Fluctuations and the Life Cycle-Permanent Income Model of Consumption: A Correction." Journal of Political Economy. Vol. 97, No. 4. pp. 988-991.
  • Epstein, L.G. and S.E. Zin (1991) "Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis." Journal of Economic Theory. Vol. 99, No. 2. pp. 263-286.
  • Ferson, W. E. and C. R.Harvey (1992) " Seasonality and Consumption- Based Asset Pricing." Journal of Finance. Vol. 47, No. 2. pp. 511-552.
  • Hall, A.R. (2005) Generalized Method of Moments. New York, USA: Oxford University Press.
  • Hall, R.E. (1988) "Intertemporal Substitution in Consumption." Journal of Political Economy. Vol. 96, No. 2. pp. 339-357.
  • Hansen, L.P. (1982) "Large Sample Properties of Generalized Method of Moments Estimators." Econometrica. Vol. 50, No. 4. pp. 1029-1054.
  • Hansen, L.P. and K.J. Singleton (1984) "Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models: Errata." Econometrica. Vol. 52, No. 1. pp. 267-268.
  • Hansen, L.P. and K.J. Singleton (1982) "Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models: Errata." Econometrica. Vol. 50, No. 5. pp. 1269-1286.
  • Hansen, L.P. and K.J. Singleton (1996) "Efficient Estimation of Linear Asset Pricing Models with Moving-Average Errors." Journal of Business & Economic Statistics. Vol. 14, No. 1. pp. 53-68.
  • Hansen, L.P. and K.J. Singleton (1983) "Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns." Journal of Political Economy. Vol. 91, No. 2. pp. 249-265.
  • Hyde, S. and M. Sherif (2005) "Consumption Asset Pricing Models: Evidence From The Uk." Manchester School. Vol. 73, No. 3. pp. 343- 363.
  • King, R.G. and S. Rebelo (1990) "Public Policy and Economic Growth: Developing Neoclassical Implications." Journal of Political Economy. Vol. 98, No. 5. pp. S126-S150.
  • Kose, A., E. S. Prasad and M. E. Terrones (2003) "Financial Integration and Macroeconomic Volatility." International Monetary Fund IMF Working Papers No. 03/50.
  • Mankiw, N. G., J. J. Rotemberg and L. H. Summers (1985) "Intertemporal Substitution in Macroeconomics." The Quarterly Journal of Economics. Vol. 100, No. 1. pp. 225-251.
  • Matyas, L. (1999). Generalized Method of Moments Estimation. Cambridge, UK: Cambridge University Press.
  • Miron, J. A. (1986) "Seasonal Fluctuations and the Life Cycle-Permanent Income Model of Consumption." Journal of Political Economy. Vol. 94, No. 6. pp. 1258-1279.
  • Ogaki, M. and C. M. Reinhart (1998) "Measuring Intertemporal Substitution: The Role of Durable Goods." Journal of Political Economy. Vol. 106, No. 5. pp. 1078-1098.
  • Summers, L. H. (1984) "The After Tax Rate of Return Affects Private Savings." American Economic Review. Vol. 74, No. 2. pp. 249-253.
There are 19 citations in total.

Details

Primary Language Turkish
Journal Section Articles
Authors

Murat Taşdemir This is me

Publication Date June 20, 2015
Published in Issue Year 2006 Issue: 15

Cite

APA Taşdemir, M. (2015). AGGREGATE CONSUMPTION AND THE RISK FREE RATES IN TURKEY: AN EMPIRICAL ANALYSIS. Dumlupınar Üniversitesi Sosyal Bilimler Dergisi(15).
AMA Taşdemir M. AGGREGATE CONSUMPTION AND THE RISK FREE RATES IN TURKEY: AN EMPIRICAL ANALYSIS. Dumlupınar Üniversitesi Sosyal Bilimler Dergisi. June 2015;(15).
Chicago Taşdemir, Murat. “AGGREGATE CONSUMPTION AND THE RISK FREE RATES IN TURKEY: AN EMPIRICAL ANALYSIS”. Dumlupınar Üniversitesi Sosyal Bilimler Dergisi, no. 15 (June 2015).
EndNote Taşdemir M (June 1, 2015) AGGREGATE CONSUMPTION AND THE RISK FREE RATES IN TURKEY: AN EMPIRICAL ANALYSIS. Dumlupınar Üniversitesi Sosyal Bilimler Dergisi 15
IEEE M. Taşdemir, “AGGREGATE CONSUMPTION AND THE RISK FREE RATES IN TURKEY: AN EMPIRICAL ANALYSIS”, Dumlupınar Üniversitesi Sosyal Bilimler Dergisi, no. 15, June 2015.
ISNAD Taşdemir, Murat. “AGGREGATE CONSUMPTION AND THE RISK FREE RATES IN TURKEY: AN EMPIRICAL ANALYSIS”. Dumlupınar Üniversitesi Sosyal Bilimler Dergisi 15 (June 2015).
JAMA Taşdemir M. AGGREGATE CONSUMPTION AND THE RISK FREE RATES IN TURKEY: AN EMPIRICAL ANALYSIS. Dumlupınar Üniversitesi Sosyal Bilimler Dergisi. 2015.
MLA Taşdemir, Murat. “AGGREGATE CONSUMPTION AND THE RISK FREE RATES IN TURKEY: AN EMPIRICAL ANALYSIS”. Dumlupınar Üniversitesi Sosyal Bilimler Dergisi, no. 15, 2015.
Vancouver Taşdemir M. AGGREGATE CONSUMPTION AND THE RISK FREE RATES IN TURKEY: AN EMPIRICAL ANALYSIS. Dumlupınar Üniversitesi Sosyal Bilimler Dergisi. 2015(15).

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