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

Öz

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.

Anahtar Kelimeler

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

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

Öz

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.

Anahtar Kelimeler

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

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), 17-35.
2. Adam, K., Marcet, A., & Beutel, J. (2017). Stock Price Booms and Expected Capital Gains. American Economic Review, 107(8), 2352-2408. https://doi.org/10.1257/aer.20140205 .
3. Bilgili, F. (2001). The Unbiasedness and Efficiency Tests of the Rational Expectations Hypothesis. MPRA Working Paper, 24114: 1-22.
4. Başçı, E. (1990). Rationality of Inflation Expectations in a Financially Repressed Economy (Doctoral dissertation, Bilkent Universitesi (Turkey)).
5. Beladi, H., Choudhary, M. A., & Parai, A. K. (1993). Rational and Adaptive Expectations in the Present Value Model of Hyperinflation. The Review of Economics and Statistics, 75(3), 511-514. https://doi.org/10.2307/2109466 .
6. Bocutoğlu, E. (2013). Karşılaştırmalı Makro İktisat: Teoriler ve Politikalar. Ekin Yayınevi. Bursa.
7. Cagan, P. (1956). The Monetary Dynamics of Hyperinflation. M. Friedman (ed.). Studies in the Quantity Theory of Money. University of Chicago Press.
8. Carlson, J. A., & Parkin, M. (1975). Inflation Expectations. Economica, 42(166), 123-138. https://doi.org/10.2307/2553588 .

9. Chow, G. C. (1989). Rational Versus Adaptive Expectations in Present Value Models. Springer Berlin Heidelberg. (pp. 269-284) https://doi.org/10.2307/1926893 .
10. Chow, G. C. (2011). Usefulness of Adaptive and Rational Expectations in Economics. Princeton, NJ, USA: Center for Economic Policy Studies, Princeton University.
11. Chen, J. (2016). The Causes of Inflation Under Neo-Keynesian Synthesis in Singapore: 1990-2014. In 2016 International Conference on Humanity, Education and Social Science (pp. 553-556). Atlantis Press. https://doi.org/10.2991/ichess-16.2016.118 .
12. Evans, G. W., & Ramey, G. (2006). Adaptive Expectations, Underparameterization and the Lucas Critique. Journal of Monetary Economics, 53(2), 249-264. https://doi.org/10.1016/j.jmoneco.2004.12.002 .
13. Figlewski, S., & Wachtel, P. (1981). The Formation of Inflationary Expectations. The Review of Economics and Statistics, 63(1), 1-10. https://doi.org/10.2307/1924211 .
14. Fısher, I. (1930). The Theory of Interest. The Macmillan Company, New York.
15. Friedman, M. (1957). Theory of the Consumption Function. Princeton University Press. https://doi.org/10.1126/science.127.3292.243.a .
16. Greenwood, R., & Shleifer, A. (2014). Expectations of Returns and Expected Returns. The Review of Financial Studies, 27(3), 714-746. https://doi.org/10.1093/rfs/hht082 .
17. Gujarati, D. N., & Porter, D. C. (2012). Temel Ekonometri. (Çev. Ü. Şenesen ve GG Şenesen). İstanbul: Literatür Yayınları.
18. Gujarati, D. (2016). Örneklerle Ekonometri. (N. Bolatoğlu. Çev.). Ankara: BB101 Yayınları.
19. Harvey, N., Bolger, F., & McClelland, A. (1994). On the Nature of Expectations. British Journal of Psychology, 85(2), 203-229. https://doi.org/10.1111/j.2044-8295.1994.tb02519.x .
20. Huber, P. J. (1973). Robust Regression: Asymptotics, Conjectures and Monte Carlo. The Annals of Statistics, 1(5), 799-821. https://doi.org/10.1214/aos/1176342503 .
21. Jurgilas, M., & Lansing, K. J. (2013). Housing Bubbles and Expected Returns to Homeownership: Lessons and Policy İmplications. Forthcoming in Property Prices and Real Estate Financing in a Turbulent World, M. Balling and J. Berg, (eds.). https://doi.org/10.2139/ssrn.2209719 .
22. Kara, H., & Tuger, H. K. (2005). Some Evidence on the Irrationality of Inflation Expectations in Turkey. The Central Bank of the Republic of Turkey. Working Paper No: 05/12.
23. 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 .
24. Klein, L. R. (1955). Distributed Lags and Investment Analysis. The Economic Journal, 65(259), 523-525. https://doi.org/10.2307/2227337 .
25. Koyck, L. M. (1954). Distributed Lags and Investment Analysis. Amsterdam: North-Holland. https://doi.org/10.1017/s1373971900069778 .
26. Ling, D. C., Ooi, J. T., & Le, T. T. (2015). Explaining House Price Dynamics: Isolating the Role of Nonfundamentals. Journal of Money, Credit and Banking, 47(S1), 87-125. https://doi.org/10.1111/jmcb.12194 .
27. Lucas Jr, R. E., & Prescott, E. C. (1971). Investment Under Uncertainty. Econometrica, 39(5), 659-681. https://doi.org/10.2307/1909571 .
28. Lucas Jr, R. E. (1976). Econometric Policy Evaluation: A Critique. In Carnegie-Rochester Conference Series on Public Policy (Vol. 1, pp. 19-46). North-Holland. https://doi.org/10.1016/s0167-2231(76)80003-6 .
29. Metin, K., & Muslu, İ. (1995). Cagan’ın Para Talebi Modeli ve Uyumlu (Adaptif) Bekleyişlerin Testi: Türkiye Örneği. Ekonomik Yaklasim, 6(17), 93-101. https://doi.org/10.5455/ey.10205 .
30. Metin, K., & Muslu, I. (1999). Money Demand, the Cagan Model, Testing Rational Expectations vs Adaptive Expectations: The Case of Turkey. Empirical Economics, 24, 415-426. https://doi.org/10.1007/s001810050064 .
31. Mlambo, L. (2012). Adaptive and Rational Expectations Hypotheses: Reviewing the Critiques. International Journal of Economic Behavior (IJEB), 2(1), 3-15.
32. Muth, J. F. (1961). Rational Expectations and The Theory of Price Movements. Econometrica, 29(3), 315-335. https://doi.org/10.2307/1909635 .
33. Nerlove, M. (1958). Adaptive Expectations and Cobweb Phenomena. The Quarterly Journal of Economics, 72(2), 227-240. https://doi.org/10.2307/1880597 .
34. Nerlove, M. (1983). Expectations, Plans, and Realizations in Theory and Practice. Econometrica, 51(5) 1251-1279. https://doi.org/10.2307/1912274 .
35. Oral, E. (2013). Consumer Inflation Expectations in Turkey, IFC Working Papers (Bank for International). Working Paper No: 10.
36. Özcan, M. (2016). Economical Expectation Theories with Quantitative Aspects: Case of Turkey and Kazakhstan. Eurasian Academy of Sciences Social Sciences Journal, 7(7), 50-73. https://doi.org/10.17740/eas.soc.2016.v7-03 .
37. Pfajfar, D., & Žakelj, B. (2014). Experimental Evidence on Inflation Expectation Formation. Journal of Economic Dynamics and Control, 44, 147-168. https://doi.org/10.1016/j.jedc.2014.04.012 .
38. Sabrowski, H. (2008). Inflation Expectation Formation of German Consumers: Rational or Adaptive? (No. 100). Working paper series in economics.
39. Sargent, T. J. (2008). Rational Expectations. In Macroeconometrics and Time Series Analysis. (pp. 193-201). London: Palgrave Macmillan UK. https://doi.org/10.1057/978-1-349-95121-5_1684-2 .
40. Shepherd, B. (2012). When are Adaptive Expectations Rational? A Generalization. Economics Letters, 115(1), 4-6. https://doi.org/10.1016/j.econlet.2011.11.017
41. Sargent, T. J., & Wallace, N. (1975). Rational Expectations, the Optimal Monetary Instrument, and the Optimal Money Supply Rule. Journal of Political Economy, 83(2), 241-254. https://doi.org/10.1086/260321 .
42. Soybilen, 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 .
43. Svendsen, I. (1993). Empirical Tests of the Formation of Expectations. Statistisk Sentralbyrå.
44. Togan, S. (1987). The Influence of Money and the Rate of Interest on Inflation in a Financially Repressed Economy: The Case of Turkey. Applied Economics, 19(12), 1585-1601. https://doi.org/10.1080/00036848700000085 .
45. Thornton, D. L. (1982). Maximum Likelihood Estimates of a Partial Adjustment-Adaptive Expectations Model of the Demand for Money. The Review of Economics and Statistics 64(2), 325-329. https://doi.org/10.2307/1924313 .
46. Turnovsky, Stephen J. (1970). Empirical Evidence on the Formation of Price Expectations. Journal of the American Statistical Association, 65(332), 1441–1454. https://doi.org/10.1080/01621459.1970.10481175 .
47. 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 .
48. Ünsal, E. (2013). Makro İktisat, 10. Baskı, İmaj Yayınevi, Ankara.
49. Waud, R. N. (1968). Misspecification in the Partial Adjustment and Adaptive Expectations Models. International Economic Review, 9(2), 204-217. https://doi.org/10.2307/2525475 .
50. Yao, Y., Zhao, Y., & Li, Y. (2022). A Volatility Model Based on Adaptive Expectations: An Improvement on the Rational Expectations Model. International Review of Financial Analysis, 82, 102202. https://doi.org/10.1016/j.irfa.2022.102202 .
51. Yorulmaz, Ö. (2003). Robust Regresyon ve Mathematica Uygulamaları. (Doctoral dissertation, Marmara Universitesi (Türkiye)).
52. Yıldız, Ü., & Günsoy, B. (2021). Testing the Rational Expectations Hypothesis: An Empirical Evidence from Turkey. Yönetim Ekonomi Edebiyat İslami ve Politik Bilimler Dergisi, 6(1), 197-225. https://doi.org/10.24013/jomelips.867562 .
53. Zaman, T., & Alakuş, K. (2016). Some Robust Estimation Methods and Their Applications. Alphanumeric Journal, 3(2), 73-82.