THE RATIONALITY OF INFLATION EXPECTATIONS IN TURKEY AND ITS EFFECT ON THE FUNCTIONING OF EXPECTATIONS CHANNEL

Öz

Since the global financial crisis of 2008, the Central Bank of the Republic of Turkey has been using macroprudential monetary policies whose objectives are price stability and financial stability. The Central Bank can affect the real sector and achieve its objectives through the transmission mechanism. The expectations according to which agents determine their economic behavior play an important role in this mechanism. If these expectations are not rational, the expectations channel of the transmission mechanism cannot function efficiently. In this work, the aim is to find out if the inflation expectations of Turkish agents are rational within the framework of macroprudential policies; which in turn allows a good functioning of the channel of expectations. With this perspective, several empirical analysis have been conducted for the period January 2010-October 2022, using inflation expectations errors calculated from surveys conducted by the Central Bank. The run test, Wald test, Portmanteau test and unit root tests showed that consumer price inflation expectations for the current month, next 12 and 24 months and expectations for producer price inflation for the next 12 months are not rational because they are biased, auto correlated and systematic hence the effective functioning of the expectations channel is queried.

Anahtar Kelimeler

• : Inflation expectations
• Macroprudential monetary policy
• Transmission mechanism.

La Rationalité des Anticipations d'Inflation en Turquie et son Effet sur le Fonctionnement du Canal des Anticipations

Öz

Depuis la crise financière globale de 2008, la Banque Centrale de République de Turquie mène la politique monétaire macro prudentielle dont les objectifs sont la stabilité des prix et la stabilité financière. La Banque Centrale peut affecter le secteur réel et atteindre ses objectifs via le mécanisme de transmission. Les anticipations en fonction desquelles les agents décident de leur comportement économique jouent un rôle important dans ce mécanisme. Si ces anticipations ne sont pas rationnelles, le canal des anticipations du mécanisme de transmission de la politique macro prudentielle ne peut pas fonctionner de façon efficace. Dans ce travail, on a essayé de voir si les anticipations d’inflation des agents turcs sont rationnels dans le cadre de la politique macro prudentielle et permettent un bon fonctionnement de ce canal des anticipations. Différentes analyses empiriques ont été effectuées à partir des erreurs d’anticipation d’inflation obtenue des enquêtes meneés par la Banque Centrale. Le test de séquences, le test de Wald, le test de Portmanteau et les tests de racine unitaire ont montré que les anticipations d’inflation des prix à la consommation pour le mois courant, pour les 12 et 24 mois prochains et les anticipations d’inflation des prix à la production pour les 12 mois prochains ne sont pas rationnelles car elles sont biaisées, autocorrélées et systématiques d’où le fonctionnement efficace du canal des anticipations est mis en question.

Anahtar Kelimeler

• Anticipations d’inflation
• Politique monétaire macro prudentielle
• Mécanisme de transmission.
• : Inflation expectations
• Macroprudential monetary policy
• Transmission mechanism.

Kaynakça

1. Abdioğlu, Z., & Yılmaz, S. (2013). Rasyonel Beklentiler Hipotezinin Testi: Enflasyon, Faiz ve Kur. Çukurova Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 17(1), 21-36.
2. Alcidi, C., Gros, D., & Shamsfakhr, F. (2022). Inflation expectations: models and measures. Politica economica, 1-18. https://doi.org/10.1429/103706
3. Andolfatto, D., Hendry, S., & Moran, K. (2008). Are inflation expectations rational?. Journal of Monetary Economics, 55(2), 406-422. https://doi.org/10.1016/j.jmoneco.2007.07.004
4. Barlas Özer, Y., & Mutluer, D. (2012). Inflation expectations in Turkey: Statistical evidence from the business tendency survey. Central Bank Review, 5(2), 73-97.
5. Başkaya, S., Kara, H., & Mutluer, D. (2008). Expectations, communication and monetary policy in Turkey. TCMB Çalışma Tebliği, 8(1).
6. Bernanke, B. S. (2007, July). Inflation expectations and inflation forecasting. In Speech at the Monetary Economics Workshop of the National Bureau of Economic Research Summer Institute, Cambridge, Massachusetts (Vol. 10).
7. Blanchard, O. & Cohen, D. (2004). Macroéconomie, Bruxelles: Pearson Education, ISBN 2-7440-7019-X. 593p. Chamouton, T., & Piatecki, C. (1984). Anticipations rationnelles et théorie économique. Revue d’économie politique, 754-772. http://www.jstor.org/stable/24698862.
8. Christiano, L., & Gust, C. (2000). The expectations trap hypothesis. National Bureau of Economic Research Working Papers, 7809. https://doi.org/10.3386/w7809

9. Englander, A. S., & Stone, G. (1989). Inflation expectations surveys as predictors of inflation and behavior in financial and labor markets. Quarterly Review, 14(Aut), 20-32.
10. Figlewski, S., & Wachtel, P. (1981). The formation of inflationary expectations. The Review of Economics and Statistics, 1-10. https://doi.org/10.2307/1924211
11. Forsells, M., & Kenny, G. (2002). The rationality of consumers’ inflation expectations: survey-based evidence for the euro area. European Central Bank Working Paper Series, 163. Available at SSRN 358021. https://doi.org/10.2139/ssrn.358021
12. Guesnerie, R. (2011). Rationalité économique et anticipations rationnelles. Idées économiques et sociales, 165(3), 7-14. https://doi.org/10.3917/idee.165.0007
13. Kara, H., & Tuğer, H. K. (2005). Some evidence on the (ir) rationality of inflation expectations in Turkey. The Central Bank of the Republic of Turkey Working Paper, 05(12).
14. Kara, H., & Küçük-Tuğer, H. (2010). Inflation expectations in Turkey: learning to be rational. Applied Economics, 42(21), 2725-2742. https://doi.org/10.1080/00036840801964559
15. Karadaş, E., & Öğünç, F. (2003). An Analysis of Inflation Expectations of the Turkish Private Manufacturing Industry. Central Bank Review, 3(2), 57-83.
16. Lucas Jr, R. E. (1972). Expectations and the Neutrality of Money. Journal of economic theory, 4(2), 103-124. https://doi.org/10.1016/0022-0531(72)90142-1
17. Muth, J. F. (1961). Rational expectations and the theory of price movements. Econometrica: Journal of the Econometric Society, 315-335. https://doi.org/10.2307/1909635
18. Oral, E. (2013). Consumer inflation expectations in Turkey (No. 10). Bank for International Settlements. Oral, E., Saygili, H., Saygili, M., & Tuncel, S.Ö. (2011). Inflation expectations in Turkey: evidence from panel data. OECD Journal: Journal of Business Cycle Measurement and Analysis, 2011(1), 5-28. https://doi.org/10.1787/jbcma-2011-5kgg5k53np7c
19. Pesaran, M. H., & Weale, M. (2006). Survey expectations. Handbook of economic forecasting, 1, 715-776. https://doi.org/10.1016/S1574-0706(05)01014-1
20. Rudd, J. B. (2022). Why do we think that inflation expectations matter for inflation? (And should we?). Review of Keynesian Economics, 10(1), 25-45. https://doi.org/10.17016/FEDS.2021.062
21. Sargent, T. J. (1973). “Rational Expectations” : A Correction. Brookings Papers on Economic Activity, 4(3), 799-800. https://www.jstor.org/stable/23356949
22. Soybilgen, B., & Yazgan, E. (2017). An evaluation of inflation expectations in Turkey. Central Bank Review, 17(1), 31-38. https://doi.org/10.1016/j.cbrev.2017.01.001
23. Türkiye Cumhuriyet Merkez Bankası, 2013, Parasal Aktarım Mekanizması, Ankara, 17p. Available at ISBN 978-605-5758-89-9.
24. Us, V., & Ozcan, K. M. (2005). Optimal univariate expectations under high and persistent inflation: new evidence from Turkey. Physica A: Statistical Mechanics and its Applications, 346(3-4), 499-517. https://doi.org/10.1016/j.physa.2004.08.001
25. Yıldırım, N. (2002). Yönelim anketlerini büyüme tahminlerinde ne ölçüde kullanabiliriz?. METU Studies in Development, 29(1), 175.