Test of the Rational Expectations Hypothesis: Inflation, Interest Rate and Exchange Rate

Öz

The rationality of expectations mean to that economic agents do not make systematic errors in making their forecasts. The effects of monetary policy on output and employment depend on whether expectations are rational. Therefore, it is important to examine whether variables such as inflation rate, interest rate and exchange rate forecasts exhibit rationality. In this study, we examine to whether inflation rate, interest rate and exchange rate expectations are rational in Turkey for the period of 2005-2012 using unbiasedness, autocorrelation, efficiency, orthogonality and consistency analysis. According to results while inflation rate expectations are unbiased and inconsistency, exchange rate and interest rate expectation errors have autocorrelation. In addition, interest rate expectations are not orthogonal. Therefore, we find that inflation rate, exchange rate and interest rate expectations are not rational in Turkey for this period.

Anahtar Kelimeler

• Rational Expectations
• Unbiasedness
• Efficiency
• Orthogonality
• Consistency

Rasyonel Beklentiler Hipotezinin Testi: Enflasyon, Faiz ve Kur

Öz

Beklentilerin rasyonel olması ekonomik birimlerin tahminlerinde sistematik hata yapmamaları anlamına gelmektedir. Para politikasının çıktı ve istihdam üzerindeki etkileri beklentilerin rasyonel olup olmamasına bağlıdır. Bu nedenle enflasyon oranı, faiz oranı ve döviz kuru gibi değişkenlerinin tahminlerinin rasyonel olup olmadığını araştırmak önem arz etmektedir. Bu çalışmada Türkiye’de enflasyon oranı, faiz oranı ve döviz kuru beklentilerinin rasyonel olup olmadığı 2005-2012 dönemi itibariyle yansızlık, otokorelasyon, etkinlik, ortogonallik ve tutarlılık analizleri kullanılarak incelenmiştir. Elde edilen sonuçlara göre enflasyon oranı beklentileri yanlı ve tutarsız iken döviz kuru ve faiz oranı beklenti hataları otokorelasyon içermektedir. Bunun yanı sıra faiz oranı beklentileri ortogonal değildir. Sonuç olarak enflasyon oranı, döviz kuru ve faiz oranı beklentilerinin Türkiye’de bu dönem için rasyonel olmadığı belirlenmiştir.

Anahtar Kelimeler

• Rasyonel Beklentiler
• Yansızlık
• Etkinlik
• Ortogonallik
• Tutarlılık

Kaynakça

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