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Türkiye’de Sürekli Gelir Hipotezinin Test Edilmesi: Doğrusal Olmayan Birim Kök Testlerinden Kanıtlar

Year 2019, Volume: 8 Issue: 15, 219 - 237, 01.01.2019

Abstract

Bu çalışmanın amacı, sürekli gelir hipotezinin Türkiye için 1950-2014 örneklem döneminde test edilmesidir. Sürekli gelir hipotezine göre ortalama tüketim eğilimi uzun dönemde istikrarlıdır ve durağan bir süreçtir. Bu amaçla, öncelikli olarak satın alma gücü paritesi cinsinden hane halkı tüketiminin, çıktı yöntemiyle hesaplanan GSYİH’daki payına APC doğrusal olmayan zaman serisi tekniğine dayanan testlerin kullanılabilmesi için doğrusallık testi yapılmıştır. Doğrusallık hipotezinin reddedilmesi ile birlikte doğrusal olmayan birim kök testlerinin kullanılmasında teknik bir engel kalmamıştır. ADF birim kök testi, Zivot-Andrews yapısal kırılmalı birim kök testi ve Lumsdaine-Papell çoklu yapısal kırılmalı birim kök testinin yanı sıra doğrusal olmayan zaman serisi tekniğine dayanan birim kök testlerinden, Kapetanios, Snell, Shin KSS , Leybourne, Newbold ve Vougas LNV , Sollis LNV-Sollis ve Sollis AESTAR , testleri kullanılarak seri analiz edilmiştir. Elde edilen bulgulara göre; geleneksel birim kök testlerinin aksine, doğrusal olmayan zaman serisi tekniğine dayanan birim kök testleri, içsel ve dışsal şokların, uzun dönemde ortalama tüketim eğilimini etkilemediğini ve kalıcı etkilere yol açmadığını göstermektedir. Uzun dönemde ortalama tüketim eğilimi ortalamaya ve/veya trende dönme eğilimindedir. Bu sonuç, Türkiye’de ele alınan inceleme döneminde sürekli gelir hipotezinin geçerli olduğunu ortaya koymaktadır

References

  • Aras, A. (2014). Finansal Yatırım ve Tüketim Kararları Çerçevesinde Dönemlerarası Tüketim Ertelemesi, Finans Politik ve Ekonomik Yorumlar,Cilt: 51. Sayı: 594. Sayfa: 113-122.
  • Bernanke B.S. (1984) Permanent Income, Liquidity, and Expenditure on Automobiles: Evidence from Panel Data. The Quarterly Journal of Economics, 99(3), 587-614
  • Carrol C.D. (1997) Buffer-Stock Saving and The Life-Cycle Permanent Income Hypothesis. The Quarterly Journal of Economics, 112(1), 1-55.
  • Çağlayan, E. (2003) Yaşamboyu Sürekli Gelir Hipotezinde Mevsimsellik, Marmara Üniv. İİBF Dergisi,Cilt: XVIII, Sayı: 1.Sayfa: 409-422.
  • Davies R.B. (1987) Hypothesis Testing When a Nuisance Parameter is Present Only Under the Alternatives. Biometrika 74(1), 33-43
  • Friedman M. (1957) The permanent income hypothesis. Princeton University Press, 20-37
  • Fuller A.W., & Dickey D.A. (1979) Distribution of the Estimators for Autoregressive Time Series With a Unit Root. Journal of the American Statistical Association 74(366), 427- 431
  • Hall E. R. (1978) Stochastic Implications of the Life-Cycle Permanent Income Hypothesis: Theory and Evidence. Journal of Political Economy, 86(6), 971-987
  • Kapetanios G., Shin Y., & Snell A. (2003) Testing for a unit root in the nonlinear STAR framework. Journal of Econometrics 112, 359-379
  • Kargı, B. (2014), Türkiye Ekonomisinde Sürekli Gelir Hipotezine İlişkin Kanıtlar: Zaman Serileri Analizi (2004-2012), Akademik Bakış Dergisi, Sayı: 42.
  • Leybourne S., Newbold P., & Vougas D. (1996) Unit Roots and Smooth Transitions. Journal of Time Series Analysis 19(1), 83-97
  • Luukkonen R., Saikkonen P., & Teräsvirta T. (1988) Testing Linearity Against Smooth Transition Autoregressive Models. Biometrika 75(3), 491-499
  • Mishkin F.S., & Hall R.E. (1982) The Sensitivity of Consumption to Transitory Income: Estimates from Panel Data on Households. Econometrica, 50(2), 461-481
  • Papell D.H., & Lumsdaine R. L. (1997) Multiple Trend Breaks and Unit-Root Hypothesis. The Review of Economics and Statistics, 79(2), 212-218
  • Pistaferri L. (2001) Superior Information, Income Shocks, and the Permanent Income Hypothesis. The Review of Economics and Statistics 83(3), 465-476
  • Seater J.J., & DeJuan J.P. (1999) The permanent income hypothesis: Evidence from the consumer expenditure survey. Journal of Monetary Economics 43, 351-376
  • Sivri, U. ve Eryüzlü, H. (2010) Rasyonel Beklentiler-Yaşamboyu Sürekli Gelir Hipotezinin Testi, İstanbul Üniv. İktisat Fakültesi, Ekonometri ve İstatistik Dergisi, Sayı: 11; 90- 99.
  • Sollis R. (2004) Asymetric Adjustment and Smooth Transitions: a Combination of Some Unit Root Tests. Journal of Time Series Analysis 25(3), 409-417
  • Sollis R. (2009) A simple unit root test against asymmetric STAR nonlinearity with an application to real exchange rates in Nordic countries. Economic Modelling 26, 118- 125
  • Souleles S. (1999) The Response of Household Consumption to İncome Tax Refunds. The American Economic Review, 89(4), 947-958
  • Stafford F., & Holbrook R. (1971) The Propensity to Consume Separate Types of Income: A Generalized Permanent Income Hypothesis. Econometrica 39(1), 1-21
  • Tsay R.S. (1989) Testing and Modelling Threshold Autoregressive Processes. Journal of the American Statistical Association 84(405), 231-240
  • Wolpin K.I. (1982) A New Test of the Permanent Income Hypothesis: The Impact of Weather on the Income and Consumption of Farm Households in India. International Economic Review 23(3), 583-594
  • Zivot E., & Andrews D.W.K. (2002) Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis. Journal of Business & Economic Statistics, 20(1), 25-44
  • framework. Journal of Econometrics 112, 359-379
  • Kargı, B. (2014), Türkiye Ekonomisinde Sürekli Gelir Hipotezine İlişkin Kanıtlar: Zaman Serileri Analizi (2004-2012), Akademik Bakış Dergisi, Sayı: 42.
  • Leybourne S., Newbold P., & Vougas D. (1996) Unit Roots and Smooth Transitions. Journal of Time Series Analysis 19(1), 83-97
  • Luukkonen R., Saikkonen P., & Teräsvirta T. (1988) Testing Linearity Against Smooth Transition Autoregressive Models. Biometrika 75(3), 491-499
  • Mishkin F.S., & Hall R.E. (1982) The Sensitivity of Consumption to Transitory Income: Estimates from Panel Data on Households. Econometrica, 50(2), 461-481
  • Papell D.H., & Lumsdaine R. L. (1997) Multiple Trend Breaks and Unit-Root Hypothesis. The Review of Economics and Statistics, 79(2), 212-218
  • Pistaferri L. (2001) Superior Information, Income Shocks, and the Permanent Income Hypothesis. The Review of Economics and Statistics 83(3), 465-476
  • Seater J.J., & DeJuan J.P. (1999) The permanent income hypothesis: Evidence from the consumer expenditure survey. Journal of Monetary Economics 43, 351-376
  • Sivri, U. ve Eryüzlü, H. (2010) Rasyonel Beklentiler-Yaşamboyu Sürekli Gelir Hipotezinin Testi, İstanbul Üniv. İktisat Fakültesi, Ekonometri ve İstatistik Dergisi, Sayı: 11; 90- 99.
  • Sollis R. (2004) Asymetric Adjustment and Smooth Transitions: a Combination of Some Unit Root Tests. Journal of Time Series Analysis 25(3), 409-417
  • Sollis R. (2009) A simple unit root test against asymmetric STAR nonlinearity with an application to real exchange rates in Nordic countries. Economic Modelling 26, 118- 125
  • Souleles S. (1999) The Response of Household Consumption to İncome Tax Refunds. The American Economic Review, 89(4), 947-958
  • Stafford F., & Holbrook R. (1971) The Propensity to Consume Separate Types of Income: A Generalized Permanent Income Hypothesis. Econometrica 39(1), 1-21
  • Tsay R.S. (1989) Testing and Modelling Threshold Autoregressive Processes. Journal of the American Statistical Association 84(405), 231-240
  • Wolpin K.I. (1982) A New Test of the Permanent Income Hypothesis: The Impact of Weather on the Income and Consumption of Farm Households in India. International Economic Review 23(3), 583-594
  • Zivot E., & Andrews D.W.K. (2002) Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis. Journal of Business & Economic Statistics, 20(1), 25-44

TEST FOR PERMANENT INCOME HYPOTHESIS IN TURKEY: EVIDENCES FROM NON-LINEAR UNIT ROOT TESTS

Year 2019, Volume: 8 Issue: 15, 219 - 237, 01.01.2019

Abstract

The purpose of this article is to analyze permanent income hypothesis whether exists in Turkey in period of 1950-2014 or not. According to permanent income hypothesis, average propensity to consume is stable and stationary. On this purpose, share of househould consumption in output based GDP at PPPs APC analyzed by not only ADF unit root test, Zivot-Andrews unit root test with structural break and Lumsdaine-Papell unit root test with multiple breaks but also unit root tests based on non-linear timeseries techniques: Kapetanios, Snell, Shin 2003 KSS , Leybourne, Newbold and Vougas 1996 LNV , Sollis 2004 LNV-Sollis , and Sollis 2009 AESTAR . Linearity test is applied to data in order to use non-linear time series technique based tests. There is no any technical restriction left to use non-linear time series techniques based unit root tests by the rejection of null hypothesis of linearity. According to findings; unit root tests which are based on non-linear time series techniques reveals that internal and externals shocks do not affect aggregate consumption tendency in the long run and they do not cause permanent effects while traditional unit root tests can not. Average propensity to consume tends to return to mean and/or trend in the long run. This result imply that, permanent income hypothesis is valid in Turkey for sample period

References

  • Aras, A. (2014). Finansal Yatırım ve Tüketim Kararları Çerçevesinde Dönemlerarası Tüketim Ertelemesi, Finans Politik ve Ekonomik Yorumlar,Cilt: 51. Sayı: 594. Sayfa: 113-122.
  • Bernanke B.S. (1984) Permanent Income, Liquidity, and Expenditure on Automobiles: Evidence from Panel Data. The Quarterly Journal of Economics, 99(3), 587-614
  • Carrol C.D. (1997) Buffer-Stock Saving and The Life-Cycle Permanent Income Hypothesis. The Quarterly Journal of Economics, 112(1), 1-55.
  • Çağlayan, E. (2003) Yaşamboyu Sürekli Gelir Hipotezinde Mevsimsellik, Marmara Üniv. İİBF Dergisi,Cilt: XVIII, Sayı: 1.Sayfa: 409-422.
  • Davies R.B. (1987) Hypothesis Testing When a Nuisance Parameter is Present Only Under the Alternatives. Biometrika 74(1), 33-43
  • Friedman M. (1957) The permanent income hypothesis. Princeton University Press, 20-37
  • Fuller A.W., & Dickey D.A. (1979) Distribution of the Estimators for Autoregressive Time Series With a Unit Root. Journal of the American Statistical Association 74(366), 427- 431
  • Hall E. R. (1978) Stochastic Implications of the Life-Cycle Permanent Income Hypothesis: Theory and Evidence. Journal of Political Economy, 86(6), 971-987
  • Kapetanios G., Shin Y., & Snell A. (2003) Testing for a unit root in the nonlinear STAR framework. Journal of Econometrics 112, 359-379
  • Kargı, B. (2014), Türkiye Ekonomisinde Sürekli Gelir Hipotezine İlişkin Kanıtlar: Zaman Serileri Analizi (2004-2012), Akademik Bakış Dergisi, Sayı: 42.
  • Leybourne S., Newbold P., & Vougas D. (1996) Unit Roots and Smooth Transitions. Journal of Time Series Analysis 19(1), 83-97
  • Luukkonen R., Saikkonen P., & Teräsvirta T. (1988) Testing Linearity Against Smooth Transition Autoregressive Models. Biometrika 75(3), 491-499
  • Mishkin F.S., & Hall R.E. (1982) The Sensitivity of Consumption to Transitory Income: Estimates from Panel Data on Households. Econometrica, 50(2), 461-481
  • Papell D.H., & Lumsdaine R. L. (1997) Multiple Trend Breaks and Unit-Root Hypothesis. The Review of Economics and Statistics, 79(2), 212-218
  • Pistaferri L. (2001) Superior Information, Income Shocks, and the Permanent Income Hypothesis. The Review of Economics and Statistics 83(3), 465-476
  • Seater J.J., & DeJuan J.P. (1999) The permanent income hypothesis: Evidence from the consumer expenditure survey. Journal of Monetary Economics 43, 351-376
  • Sivri, U. ve Eryüzlü, H. (2010) Rasyonel Beklentiler-Yaşamboyu Sürekli Gelir Hipotezinin Testi, İstanbul Üniv. İktisat Fakültesi, Ekonometri ve İstatistik Dergisi, Sayı: 11; 90- 99.
  • Sollis R. (2004) Asymetric Adjustment and Smooth Transitions: a Combination of Some Unit Root Tests. Journal of Time Series Analysis 25(3), 409-417
  • Sollis R. (2009) A simple unit root test against asymmetric STAR nonlinearity with an application to real exchange rates in Nordic countries. Economic Modelling 26, 118- 125
  • Souleles S. (1999) The Response of Household Consumption to İncome Tax Refunds. The American Economic Review, 89(4), 947-958
  • Stafford F., & Holbrook R. (1971) The Propensity to Consume Separate Types of Income: A Generalized Permanent Income Hypothesis. Econometrica 39(1), 1-21
  • Tsay R.S. (1989) Testing and Modelling Threshold Autoregressive Processes. Journal of the American Statistical Association 84(405), 231-240
  • Wolpin K.I. (1982) A New Test of the Permanent Income Hypothesis: The Impact of Weather on the Income and Consumption of Farm Households in India. International Economic Review 23(3), 583-594
  • Zivot E., & Andrews D.W.K. (2002) Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis. Journal of Business & Economic Statistics, 20(1), 25-44
  • framework. Journal of Econometrics 112, 359-379
  • Kargı, B. (2014), Türkiye Ekonomisinde Sürekli Gelir Hipotezine İlişkin Kanıtlar: Zaman Serileri Analizi (2004-2012), Akademik Bakış Dergisi, Sayı: 42.
  • Leybourne S., Newbold P., & Vougas D. (1996) Unit Roots and Smooth Transitions. Journal of Time Series Analysis 19(1), 83-97
  • Luukkonen R., Saikkonen P., & Teräsvirta T. (1988) Testing Linearity Against Smooth Transition Autoregressive Models. Biometrika 75(3), 491-499
  • Mishkin F.S., & Hall R.E. (1982) The Sensitivity of Consumption to Transitory Income: Estimates from Panel Data on Households. Econometrica, 50(2), 461-481
  • Papell D.H., & Lumsdaine R. L. (1997) Multiple Trend Breaks and Unit-Root Hypothesis. The Review of Economics and Statistics, 79(2), 212-218
  • Pistaferri L. (2001) Superior Information, Income Shocks, and the Permanent Income Hypothesis. The Review of Economics and Statistics 83(3), 465-476
  • Seater J.J., & DeJuan J.P. (1999) The permanent income hypothesis: Evidence from the consumer expenditure survey. Journal of Monetary Economics 43, 351-376
  • Sivri, U. ve Eryüzlü, H. (2010) Rasyonel Beklentiler-Yaşamboyu Sürekli Gelir Hipotezinin Testi, İstanbul Üniv. İktisat Fakültesi, Ekonometri ve İstatistik Dergisi, Sayı: 11; 90- 99.
  • Sollis R. (2004) Asymetric Adjustment and Smooth Transitions: a Combination of Some Unit Root Tests. Journal of Time Series Analysis 25(3), 409-417
  • Sollis R. (2009) A simple unit root test against asymmetric STAR nonlinearity with an application to real exchange rates in Nordic countries. Economic Modelling 26, 118- 125
  • Souleles S. (1999) The Response of Household Consumption to İncome Tax Refunds. The American Economic Review, 89(4), 947-958
  • Stafford F., & Holbrook R. (1971) The Propensity to Consume Separate Types of Income: A Generalized Permanent Income Hypothesis. Econometrica 39(1), 1-21
  • Tsay R.S. (1989) Testing and Modelling Threshold Autoregressive Processes. Journal of the American Statistical Association 84(405), 231-240
  • Wolpin K.I. (1982) A New Test of the Permanent Income Hypothesis: The Impact of Weather on the Income and Consumption of Farm Households in India. International Economic Review 23(3), 583-594
  • Zivot E., & Andrews D.W.K. (2002) Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis. Journal of Business & Economic Statistics, 20(1), 25-44
There are 40 citations in total.

Details

Primary Language Turkish
Journal Section Research Article
Authors

Reşat Ceylan This is me

Güray Enes Karaağaç This is me

Publication Date January 1, 2019
Published in Issue Year 2019 Volume: 8 Issue: 15

Cite

APA Ceylan, R., & Karaağaç, G. E. (2019). Türkiye’de Sürekli Gelir Hipotezinin Test Edilmesi: Doğrusal Olmayan Birim Kök Testlerinden Kanıtlar. Ufuk Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 8(15), 219-237.
AMA Ceylan R, Karaağaç GE. Türkiye’de Sürekli Gelir Hipotezinin Test Edilmesi: Doğrusal Olmayan Birim Kök Testlerinden Kanıtlar. Ufuk Üniversitesi Sosyal Bilimler Enstitüsü Dergisi. January 2019;8(15):219-237.
Chicago Ceylan, Reşat, and Güray Enes Karaağaç. “Türkiye’de Sürekli Gelir Hipotezinin Test Edilmesi: Doğrusal Olmayan Birim Kök Testlerinden Kanıtlar”. Ufuk Üniversitesi Sosyal Bilimler Enstitüsü Dergisi 8, no. 15 (January 2019): 219-37.
EndNote Ceylan R, Karaağaç GE (January 1, 2019) Türkiye’de Sürekli Gelir Hipotezinin Test Edilmesi: Doğrusal Olmayan Birim Kök Testlerinden Kanıtlar. Ufuk Üniversitesi Sosyal Bilimler Enstitüsü Dergisi 8 15 219–237.
IEEE R. Ceylan and G. E. Karaağaç, “Türkiye’de Sürekli Gelir Hipotezinin Test Edilmesi: Doğrusal Olmayan Birim Kök Testlerinden Kanıtlar”, Ufuk Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, vol. 8, no. 15, pp. 219–237, 2019.
ISNAD Ceylan, Reşat - Karaağaç, Güray Enes. “Türkiye’de Sürekli Gelir Hipotezinin Test Edilmesi: Doğrusal Olmayan Birim Kök Testlerinden Kanıtlar”. Ufuk Üniversitesi Sosyal Bilimler Enstitüsü Dergisi 8/15 (January 2019), 219-237.
JAMA Ceylan R, Karaağaç GE. Türkiye’de Sürekli Gelir Hipotezinin Test Edilmesi: Doğrusal Olmayan Birim Kök Testlerinden Kanıtlar. Ufuk Üniversitesi Sosyal Bilimler Enstitüsü Dergisi. 2019;8:219–237.
MLA Ceylan, Reşat and Güray Enes Karaağaç. “Türkiye’de Sürekli Gelir Hipotezinin Test Edilmesi: Doğrusal Olmayan Birim Kök Testlerinden Kanıtlar”. Ufuk Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, vol. 8, no. 15, 2019, pp. 219-37.
Vancouver Ceylan R, Karaağaç GE. Türkiye’de Sürekli Gelir Hipotezinin Test Edilmesi: Doğrusal Olmayan Birim Kök Testlerinden Kanıtlar. Ufuk Üniversitesi Sosyal Bilimler Enstitüsü Dergisi. 2019;8(15):219-37.