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

Öz

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

Anahtar Kelimeler

• C-CPAM, Euler equation, consumption, risk-free rate, GMM

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

Öz

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

Anahtar Kelimeler

• C-CPAM, Euler denklemi, tüketim, faiz oranları, GMM

Kaynakça

1. 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.
2. 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.
3. 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.
4. Ferson, W. E. and C. R.Harvey (1992) " Seasonality and Consumption- Based Asset Pricing." Journal of Finance. Vol. 47, No. 2. pp. 511-552.
5. Hall, A.R. (2005) Generalized Method of Moments. New York, USA: Oxford University Press.
6. Hall, R.E. (1988) "Intertemporal Substitution in Consumption." Journal of Political Economy. Vol. 96, No. 2. pp. 339-357.
7. Hansen, L.P. (1982) "Large Sample Properties of Generalized Method of Moments Estimators." Econometrica. Vol. 50, No. 4. pp. 1029-1054.
8. 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.

9. 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.
10. 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.
11. 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.
12. Hyde, S. and M. Sherif (2005) "Consumption Asset Pricing Models: Evidence From The Uk." Manchester School. Vol. 73, No. 3. pp. 343- 363.
13. 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.
14. Kose, A., E. S. Prasad and M. E. Terrones (2003) "Financial Integration and Macroeconomic Volatility." International Monetary Fund IMF Working Papers No. 03/50.
15. 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.
16. Matyas, L. (1999). Generalized Method of Moments Estimation. Cambridge, UK: Cambridge University Press.
17. 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.
18. 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.
19. Summers, L. H. (1984) "The After Tax Rate of Return Affects Private Savings." American Economic Review. Vol. 74, No. 2. pp. 249-253.