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Türkiye’de Toplam Tüketim ve Risksiz Faiz Oranları: Ampirik bir Analiz

Aggregate Consumption and the Risk Free Rates in Turkey: An Empirical Analysis

Journal Name:

  • Dumlupınar Üniversitesi Sosyal Bilimler Dergisi

Publication Year:

  • 2006

Key Words:

Keywords (Original Language):

Author NameUniversity of AuthorFaculty of Author
Abstract (2. Language): 
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.
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Abstract (Original Language): 
Gelismis ülkelerin toplulastırılmıs verilerini kullanan ekonometrik çalısmalar tüketim temelli sermaye varlıkları fiyatlandırma (Consumption based Capital Asset Pricing - C-CAP) modelini reddetmislerdir. Bu çalısma toplulastırılmıs 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 edilmistir. Tahminlerin hiçbirinde asırı belirlenme kısıtları reddedilmemistir ve tercih parametreleri istatistiksel olarak anlamlı bulunmustur.
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