MUTLUER Defne KURUL

Bankacılar kredi hacmi ve faiz oranlarının yönünü tahmin etmekte başarılı mı?

Bu çalışmanın amacı, bankacılık sektörünün kredi hacmi ve faiz oranlarının yönüne ilişkin beklentilerini gerçekleşmelerle karşılaştırmak ve bankacıların kredi hacmi ve faiz oranlarının yönünü başarılı biçimde tahmin edip etmediğini sınamaktadır. Bankacılık Düzenleme ve Denetleme Kurulu (BDDK) tarafından düzenlenen Bankacılık Sektörü Yönetici Kesimi Beklenti Anketi verileri kullanılarak sayısallaştırılmış olan beklentilerin gerçekleşmelerin hareketini yakaladığı görülmektedir. Beklentiler ile gerçekleşmelerin yönü arasındaki ilişkiyi değerlendirmek üzere uygulanan yönsel doğruluk testleri (directional accuracy tests), bazı sorularda beklenti ve gerçekleşmelerin yönleri arasında ilişki olmadığı hipotezini kabul ederken bazılarında ise beklenti ile gerçekleşmelerin yönünün birbirinden bağımsız olmadığı görülmüştür. Öte yandan yapılan analizler, tahmin başarısının krediler/faiz oranları artarken ve azalırken benzer olduğunu ortaya koymaktadır.

Are bankers successful in forecasting the direction of credit volume and interes?

The aim of this study is to compare directional expectations of credit volume and interest rate of the banking sector with realized observations and to test whether bankers are successful in forecasting the direction of credit volume and interest rates. Using data from the Banking Regulation and Supervision Agency's Survey on expectations of bank managers, it is observed that the quantified expectations capture the movement of the direction of the credit volume and interest rates. Directional accuracy tests reveal that for some survey questions, the hypothesis on the independency of the direction of predicted change and the actual change cannot be rejected whereas for others the independency hypothesis is rejected. On the other hand, the analyses indicate that the success of forecasts does not differ when credit volumes/interest rates rise or fall.

PDF

___

1. Artis, M. J. (1996) "How accurate are the IMF's short-term forecasts? Another examination of the World Economic Outlook"," IMF Working Paper 96/89.
2. Ash, J. C. K„ Easaw, J. Z„ Heravi, S. M„ & Smyth, D. J., (2002) "Are Hodrick-Prescott'forecasts' rational?",.Empirical Economics, 27, issue 4 : 631-643.
3. Ash, J. C. K„ Smyth, D. i. & Heravi, S. M. (1998) "Are OECD forecasts rational and useful?: A directional analysis", International Journal of Forecasting, 14 : 381-391.
4. Ashiya, M. (2003) "The directional accuracy of 15-months-ahead forecasts made by the IMF", Applied Economics Letters, 10 : 331-333.
5. Ashiya, M. (2006) "Are 16-month-ahead forecasts useful? A directional analysis of Japanese GDP forecasts," Journal of Forecasting, 25(3): 201-207.
6. Baghestani, H. (2011) "A directional analysis of Federal Reserve predictions of growth in unit labor costs and productivity", International Review of Applied Economics, 25:3, 303-311.
7. Baghestani, H. & Kherfi, S. (2008) "How well do U.S. consumers predict the direction of change in interest rates?," The Quarterly Review of Economics and Finance, Elsevier, vol. 48(4), pages 725-732, November.
8. Carlson, J. & Parkin, M. (1975) "Inflation Expectations," Economica 42:166 : 123-38.
9. Cicarelli, J. (1982) "A new method of evaluating the accuracy of economic forecasts", Journal of Macroeconomics, 4 : 469-475.
10.Cumby, R. E. & Modest, D. M. (*1987) "Testing for market timing ability: a framework for forecast evaluation", Journal of Financial Economics, 19 : 169-189.
11.Dua, P., & Smyth, D.J. (1993) "Survey evidence on excessive public pessimism about the future behavior of unemployment", Public Opinion Quarterly 57: 566-74.
12.Easaw, J. & Heravi, S. (2009) "Are household subjective forecasts of personal finances accurate and useful? A directional analysis of the British Household Panel Survey", Journal of Forecasting, 28: 667-680.
13.Greer, M. R. (2003) "Directional accuracy tests of long-term interest rate forecasts", International Journal of Forecasting, 19 : 291-298.
14.Havenner, A. & Modjtahedi, B. (1988) "Foreign exchange rates: a multiple currency and maturity analysis", Journal of Econometrics, 37 : 251-264.
15.Henriksson, R. D. & Merton, R. C. (1981) "On market timing and investment performance. II. Statistical procedures for evaluating forecasting skills", Journal of Business, 54 : 513-533.
16.Jackson, D. A., Somers, K. M. & Harvey, H. H. (1989) "Similarity Coefficients: Measures of Co-Occurrence and Association or Simply Measures of Occurrence?", The American Naturalist, Vol. 133, No. 3 (Mar., 1989): 436-453.
17.Joutz, F. & Stekler H.O. (2000) "An evaluation of the predictions of the Federal Reserve". International Journal of Forecasting 16: 17-38.
18.Kolb, R. A. & Stekler, H. O. (1996) "How well do analysts forecast interest rates?", Journal of Forecasting, 15 : 385-394.
19. Lai, K. S. (1990) "An evaluation of survey exchange rate forecasts", Economics Letters, 32 : 61-65.
20.Leitch, G., & Tanner, J. E. (1995) "Professional economic forecasts: are they worth their costs?", Journal of Forecasting, 14, 143-157.
21. Merton, R. C. (1981) "On market timing and investment performance. I. An equilibrium theory of value for market forecasts", Journal of Business, 54 : 363-406.
22.Öller, L.E., & Barot, B. (2000) "The accuracy of European growth and inflation forecasts", International Journal of Forecasting, 16: 293-315.
23.Pesaran, M.H., & Timmermann, A. G. (1994) "A generalization of the non-parametric Henriksson-Merton test of market timing," Economics Letters, Elsevier, vol. 44(1-2): 1-7.
24. Pons, J. (2001) "The rationality of price forecasts: a directional analysis", Applied Financial Economics, 11:3, 287-290.
25.Schnader, M.H., & Stekler, H.O. (1990) "Evaluating predictions of change", Journal of Business, 63: 99-107.
26'.Sinclair, T.M., Stekler, H.O. & Kitzinger, L. (2010) "Directional forecasts of GDP and inflation: A joint evaluation with an application to Federal Reserve predictions", Applied Economics, 42, no. 18: 2289-97.
27. Stekler, H.O. (1994) "Are economic forecasts valuable?", Journal of Forecasting, 13:495-505.
28.Stekler, H.O. & Schnader, M.H. (1991) "Evaluating predictions of change; an application to inflation forecasts", Applied Financial Economics, 1: 135-137.
29.Tsuchiya, Y. (2011) "Do Corporate Executives Have Accurate Predictions for the Economy? A Directional Analysis", SSRN: http://ssrn.com/abstract=1766285.