LUCAS DEĞİŞKENLİK HİPOTEZİ’NİN SEKTÖREL BAZDA ANALİZİ: TÜRKİYE ÖRNEĞİ

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.

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

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.

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