THE STATIONARITY OF CONSUMPTION-INCOME RATIO: EVIDENCE FROM TURKEY

Year 2015, , 23 - 46, 02.01.2016

Ayşe Arı Burcu Özcan

https://doi.org/10.17065/huniibf.103772

Cited By: 2

Abstract

In this study we 
investigate the stationarity of consumption-income ratio for Turkey. For
this aim, the period of 1955-2010 is examined by using the structural break
unit root tests, proposed by Zivot and Andrews (1992) (ZA), Lumsdaine and
Papell (1997) (LP), Lee and Strazicich (2003, 2004) (LM), and Kapetanios et al. (2005) and also a non linear unit
root test developed by Kapetanios et al.
(2003). The results provide evidence of unit root exceptions with  one and two break LM unit root test in case
of Model A and KSS unit root test in case of constant and trend model. As a
result of these findings, we can generally assert that the consumption-income
ratio is not mean reverting and thus the political shocks will have permanent
effects on the consumption and saving behaviours of households. Besides, these
results support the absolute income hypothesis in contrast to the relative
income hypothesis, the permanent income hypothesis and the life cycle
hypothesis.

Keywords

Consumption-income ratio, unit root tests, structural break

TÜKETİM-GELİR ORANININ DURAĞANLIĞI: TÜRKİYE ÖRNEĞİ

Abstract

Bu çalışmada Türkiye’de tüketim-gelir oranının durağan olup olmadığı sorgulanmaktadır. Bu amaçla 1955-2010 dönemi, Zivot ve Andrews (1992) (ZA), Lumsdaine ve Papell (1997) (LP), Lee ve Strazicich (2003, 2004) (LM) ve Kapetanios vd. (2005) tarafından geliştirilen yapısal kırılmalı birim kök testleri ile Kapetanios vd. (2003) (KSS) tarafından geliştirilen doğrusal olmayan birim kök testi ile analiz edilmiştir. Bulgular, bir ve iki kırılmalı LM testinde Model A ile KSS testinde sabitli ve trendli model hariç, tüketim-gelir oranında birim kökün varlığını ortaya koymuştur. Bu durumda genel itibariyle tüketim-gelir oranının bir sabite yakınsamayacağı dolayısıyla şokların hanehalkının tüketim ve tasarruf davranışları üzerinde kalıcı etkilere sahip olacağı söylenebilecektir. Ayrıca nispi gelir hipotezi, sürekli gelir hipotezi ve ömür boyu gelir hipotezlerinin aksine mutlak gelir hipotezinin geçerliliğinden bahsedilebilir.

Keywords

Tüketim-gelir oranı, birim kök testleri, yapısal kırılma

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