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AGGREGATE CONSUMPTION AND THE RISK FREE RATES IN TURKEY: AN EMPIRICAL ANALYSIS

Gelişmiş ülkelerin toplulaştırılmış verilerini kullanan ekonometrik çalışmalar tüketim temelli sermaye varlıkları fiyatlandırma (Consumption based Capital Asset Pricing - C-CAP) modelini reddetmişlerdir. Bu çalışma toplulaştırılmış 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 edilmiştir. Tahminlerin hiçbirinde aşırı belirlenme kısıtları reddedilmemiştir ve tercih parametreleri istatistiksel olarak anlamlı bulunmuştur

Anahtar Kelimeler:

C-CPAM, Euler denklemi, tüketim, faiz oranları, GMM

AGGREGATE CONSUMPTION AND THE RISK FREE RATES IN TURKEY: AN EMPIRICAL ANALYSIS

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

Keywords:

C-CPAM, Euler equation, consumption, risk-free rate, GMM,

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