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LUCAS DEĞİŞKENLİK HİPOTEZİ’NİN SEKTÖREL BAZDA ANALİZİ: TÜRKİYE ÖRNEĞİ

Year 2022, Volume: 15 Issue: 1, 142 - 159, 30.06.2022

Sinem Koçak Rahmi Yamak

https://doi.org/10.17218/hititsbd.1101603

Abstract

Bu çalışmanın amacı, literatürde toplam talep şoklarının varyansı ile enflasyon-çıktı ödünleşme parametresi arasındaki negatif ilişki olarak ifade edilen Lucas değişkenlik hipotezini 2003-2018 dönemi Türkiye’si için tarım, sanayi ve hizmetler sektörleri bazında En Küçük Kareler (EKK) ve Zellner’in Görünürde İlişkisiz Denklem Sistemi (SUR) yöntemleri aracılığıyla test etmektir. Çalışmada talep şoklarının yanı sıra arz şoklarıyla genişletilmiş Froyen ve Waud (1984) modeli çerçevesinde, arz şoklarının ana sektörlere ait reel değişkenler üzerindeki etkileri de incelenmiştir. Elde edilen bulgular, orijinal Lucas modeli aracılığıyla test edilen değişkenlik hipotezinin Türkiye ekonomisi için geçerli olduğunu göstermiştir. Froyen ve Waud modelinden elde edilen bulgular ise sadece dolar kuru şokları ile temsil edilen arz şoklarının, hizmetler sektörü üzerinde reel bir etki yaratabildiğini ortaya koymuştur.

Keywords

Toplam Talep Şokları Toplam Arz Şokları Enflasyon-Çıktı Ödünleşmesi Türkiye SUR

References

  • Alberro, J. (1981). The Lucas hypothesis on the Phillips curve further ınternational evidence. Journal of Monetary Economics, 7, 239-250.
  • Apergis, N. ve Miller, M. S. (2003). Macroeconomic rationality and Lucas’s misperceptions model: further evidence from forty-one countries. Economics Working Papers, 200326.
  • Arak, Marcelle (1977). Some ınternational evidence on output-ınflation tradeoff: comment. The American Economic Review, 67, 728-730.
  • Arseneau, M. (2017). The Phillips curve still holds. Erişim Adresi: Special Report, National Bank of Canada, https://www.nbc.ca/content/dam/bnc/en/rates-and-analysis/economic-nalysis/special-report-15sept2017.pdf.
  • Ashraf, M. ve Mohabbat, K. A. (2003). A panel data analysis of the Lucas hypothesis. Journal of Business & Economics Research, 1(2), 1-10.
  • Crump, R. K., Eusepi, S., Giannoni, M., ve Şahin, A. (2022). The unemployment-ınflation trade-off revisited: the Phillips curve in COVID times (No. w29785). National Bureau of Economic Research.
  • Cukierman, A. ve Wachtel, P. (1979). Differential ınflationary expectations and the variability of the rate of ınflation. American Economic Review, 69, 595-610.
  • Dickey, D. ve Fuller, W.A. (1979). Distribution of the estimates for autoregressive time series with a unit root. Journal of the American Statistical Association, 74, 427–431.
  • Froyen, R.T. ve Waud, R.N. (1980). Further ınternational evidence on output-ınflation tradeoffs. The American Economic Review, 70(3), 409-421.
  • Froyen, R.T. ve Waud, R.N. (1984). Demand variability, supply shocks and the output-ınflation tradeoff. The Review of Economics and Statistics, 67(1), 9-15.
  • Gilbert, R.D. ve Yamak, R. (1994). Inflation-output tradeoffs in ındustrial and developing countries: evidence from disaggregate output data. Presented at the 31. Annual Meeting of Missouri Valley Economic Association, Saint Louis, 1994.
  • Holmes, M.J. (2000). The output ınflation tradeoff in African less developed countries. Journal of Economic Development, 25(1),41-55.
  • Koskela, E. ve Matti, V. (1980). New ınternational evidence on output-ınflation tradeoffs. Economics Letters, 6, 233-239.
  • Kretzmer, P.E. (1989). The cross-ındustries effects of unanticipated money in an equilibrium business cycle model. Journal of Monetary Economics, 23, 275-296.
  • Küçükkale, Y. (2000). Phillips eğrisi üzerine Lucas değişkenlik hipotezi. Yayınlanmamış Doktora Tezi. Karadeniz Teknik Üniversitesi, Trabzon.
  • Kwiatkowski, D. ve diğerleri (1992). Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root?. Journal of Econometrics, 54(1-3), 159-178.
  • Lucas, R.E.Jr. (1973). Some international evidence on output-ınflation tradeoffs. American Economic Review, 63(3), 326-334.
  • Lucas, R.E.Jr. (1976). Errata-some ınternational evidence on output-ınflation tradeoffs. American Economic Review, 66(5), 925.
  • Lucas, R.E.Jr. (1977). Some ınternational evidence on output-ınflation tradeoffs: reply. American Economic Review, 67, 731.
  • Murphy, A. (2018). The death of the Phillips curve?. Working Paper 1801, Federal Reserve Bank of Dallas.
  • Pedroni, P. (1999). Critical values for cointegration tests in heterogeneous panels with multiple regressors. Oxford Bulletin of Economics and Statistics, 61, 653-670.
  • Phillips, A.W. (1958). The relation of between unemployment and the rate of change of money wage rates in the United Kingdom:1861-1957. Economica, 25, 283-299.
  • Phillips, P. ve Perron, P. (1988). Testing for a unit root in time series regression. Biometrica, 75, 335-346.
  • Yamak, R. (1994). Furter ıntra-country evidence on the Lucas variability hypothesis. Southwestern Economic Proceedings, South Western Society of Economists, pp. 183-187.
  • Yamak, R. ve Karahasan, N. (1995). Lucas hipotezinin Türk ekonomisi için geçerliliği. Dokuz Eylül Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 10, 71-77.
  • Yamak, R. (1997). Yeni Klasik makroekonomik modelin Politika Etkisizliği hipotezi: Literatür ve Türkiye örneği. Sermaye Piyasası Kurulu Yayınları, Vol 67.
  • Yamak, R. ve Abdioğlu, Z. (2017). Phillips eğrisi üzerine Lucas Değişkenlik hipotezi: Türkiye örneği. Anadolu İktisat ve İşletme Dergisi, 2(1), 38-55.
  • Zellner, A. (1962). An efficient method of estimating seemingly unrelated regressions and test for aggregation bias. Journal of The American Statistical Asscociation, 57(298), 348-368.

Sectoral-based analysis of Lucas variability hypothesis: the case of Turkey

Year 2022, Volume: 15 Issue: 1, 142 - 159, 30.06.2022

Sinem Koçak Rahmi Yamak

https://doi.org/10.17218/hititsbd.1101603

Abstract

The purpose of this study is to test the Lucas variability hypothesis known as the negative relationship between the variance of aggregate demand shocks and the inflation-output tradeoff parameter by using Ordinary Least Square (OLS) and Seemingly Unrelated Regression (SUR) Model for agriculture, industry and service sectors of Turkey for the period of 2003-2018. The empirical findings support the existence of the Lucas variability hypothesis for Turkey. In addition, the effects of the supply shocks on real variables were examined within the scope of Froyen and Waud (1984) model. The results of this study support the variability hypothesis tested by using original Lucas for the case of Turkey. The results obtained from the Froyen and Waud model show that supply shock represented by exchange rate can only have a real impact on the service sector.

Keywords

Aggregate Demand Shocks Aggregate Supply Shocks Inflation-output Tradeoff Turkey SUR

References

  • Alberro, J. (1981). The Lucas hypothesis on the Phillips curve further ınternational evidence. Journal of Monetary Economics, 7, 239-250.
  • Apergis, N. ve Miller, M. S. (2003). Macroeconomic rationality and Lucas’s misperceptions model: further evidence from forty-one countries. Economics Working Papers, 200326.
  • Arak, Marcelle (1977). Some ınternational evidence on output-ınflation tradeoff: comment. The American Economic Review, 67, 728-730.
  • Arseneau, M. (2017). The Phillips curve still holds. Erişim Adresi: Special Report, National Bank of Canada, https://www.nbc.ca/content/dam/bnc/en/rates-and-analysis/economic-nalysis/special-report-15sept2017.pdf.
  • Ashraf, M. ve Mohabbat, K. A. (2003). A panel data analysis of the Lucas hypothesis. Journal of Business & Economics Research, 1(2), 1-10.
  • Crump, R. K., Eusepi, S., Giannoni, M., ve Şahin, A. (2022). The unemployment-ınflation trade-off revisited: the Phillips curve in COVID times (No. w29785). National Bureau of Economic Research.
  • Cukierman, A. ve Wachtel, P. (1979). Differential ınflationary expectations and the variability of the rate of ınflation. American Economic Review, 69, 595-610.
  • Dickey, D. ve Fuller, W.A. (1979). Distribution of the estimates for autoregressive time series with a unit root. Journal of the American Statistical Association, 74, 427–431.
  • Froyen, R.T. ve Waud, R.N. (1980). Further ınternational evidence on output-ınflation tradeoffs. The American Economic Review, 70(3), 409-421.
  • Froyen, R.T. ve Waud, R.N. (1984). Demand variability, supply shocks and the output-ınflation tradeoff. The Review of Economics and Statistics, 67(1), 9-15.
  • Gilbert, R.D. ve Yamak, R. (1994). Inflation-output tradeoffs in ındustrial and developing countries: evidence from disaggregate output data. Presented at the 31. Annual Meeting of Missouri Valley Economic Association, Saint Louis, 1994.
  • Holmes, M.J. (2000). The output ınflation tradeoff in African less developed countries. Journal of Economic Development, 25(1),41-55.
  • Koskela, E. ve Matti, V. (1980). New ınternational evidence on output-ınflation tradeoffs. Economics Letters, 6, 233-239.
  • Kretzmer, P.E. (1989). The cross-ındustries effects of unanticipated money in an equilibrium business cycle model. Journal of Monetary Economics, 23, 275-296.
  • Küçükkale, Y. (2000). Phillips eğrisi üzerine Lucas değişkenlik hipotezi. Yayınlanmamış Doktora Tezi. Karadeniz Teknik Üniversitesi, Trabzon.
  • Kwiatkowski, D. ve diğerleri (1992). Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root?. Journal of Econometrics, 54(1-3), 159-178.
  • Lucas, R.E.Jr. (1973). Some international evidence on output-ınflation tradeoffs. American Economic Review, 63(3), 326-334.
  • Lucas, R.E.Jr. (1976). Errata-some ınternational evidence on output-ınflation tradeoffs. American Economic Review, 66(5), 925.
  • Lucas, R.E.Jr. (1977). Some ınternational evidence on output-ınflation tradeoffs: reply. American Economic Review, 67, 731.
  • Murphy, A. (2018). The death of the Phillips curve?. Working Paper 1801, Federal Reserve Bank of Dallas.
  • Pedroni, P. (1999). Critical values for cointegration tests in heterogeneous panels with multiple regressors. Oxford Bulletin of Economics and Statistics, 61, 653-670.
  • Phillips, A.W. (1958). The relation of between unemployment and the rate of change of money wage rates in the United Kingdom:1861-1957. Economica, 25, 283-299.
  • Phillips, P. ve Perron, P. (1988). Testing for a unit root in time series regression. Biometrica, 75, 335-346.
  • Yamak, R. (1994). Furter ıntra-country evidence on the Lucas variability hypothesis. Southwestern Economic Proceedings, South Western Society of Economists, pp. 183-187.
  • Yamak, R. ve Karahasan, N. (1995). Lucas hipotezinin Türk ekonomisi için geçerliliği. Dokuz Eylül Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 10, 71-77.
  • Yamak, R. (1997). Yeni Klasik makroekonomik modelin Politika Etkisizliği hipotezi: Literatür ve Türkiye örneği. Sermaye Piyasası Kurulu Yayınları, Vol 67.
  • Yamak, R. ve Abdioğlu, Z. (2017). Phillips eğrisi üzerine Lucas Değişkenlik hipotezi: Türkiye örneği. Anadolu İktisat ve İşletme Dergisi, 2(1), 38-55.
  • Zellner, A. (1962). An efficient method of estimating seemingly unrelated regressions and test for aggregation bias. Journal of The American Statistical Asscociation, 57(298), 348-368.
There are 28 citations in total.

Details

Primary Language Turkish
Journal Section Articles
Authors

Sinem Koçak 0000-0002-2313-0161

Rahmi Yamak 0000-0002-2604-1797

Publication Date June 30, 2022
Submission Date April 11, 2022
Published in Issue Year 2022 Volume: 15 Issue: 1

Cite

APA Koçak, S., & Yamak, R. (2022). LUCAS DEĞİŞKENLİK HİPOTEZİ’NİN SEKTÖREL BAZDA ANALİZİ: TÜRKİYE ÖRNEĞİ. Hitit Sosyal Bilimler Dergisi, 15(1), 142-159. https://doi.org/10.17218/hititsbd.1101603
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