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

Abstract

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.

Keywords

• Inflation
• Expected Inflation
• Adaptive Expectations
• Koyck Transformation Model

Uyarlanabilir Beklentiler Hipotezine Göre Beklenen Enflasyonun Koyck Dönüşümü Kullanılarak İncelenmesi: Türkiye Üzerinde Bir Çalışma

Abstract

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 Türkiye’de 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 Türkiye’de bireylerin enflasyon beklentilerinin oluşumunda enflasyonun geçmiş değerlerinden öğrenme gerçekleştirdikleri tespit edilmiştir. Bu öğrenmenin hızı %77’dir. Bireylerin cari ve geçmiş enflasyon verilerinin %77’sini kullanarak enflasyon beklentilerini oluşturdukları sonucuna ulaşılmıştır. Kastedilen geçmiş, cari dönem ile birinci ve ikinci gecikmeleri kapsamaktadır. Beklentiler açısından gecikmeli verinin 3. gecikmesinin etkisi sıfırdır.

Keywords

• Enflasyon
• Beklenen Enflasyon
• Uyarlayıcı Beklentiler
• Kocyk Dönüşüm Modeli.

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