Türkiye'de Tüketim Modelinin Deşifre Edilmesi: Bir Euler Denkleminin İncelenmesi

Politika yapıcıların ekonomik modellerinde tüketim için yapısal bir biçim varsaymaları nedeniyle tüketim dinamiklerini anlamak çok önemlidir. Bu çalışma, kredi ve banka kartı harcama verilerini kullanarak bir Euler denklemi tahmin etmekte ve Türkiye'deki tüketim dinamiklerini ayrıştırmaya çalışmaktadır. Standart Euler denkleminden farklı olarak, döviz kuru dinamiklerinin tüketim üzerindeki etkisini anlamak için bir modelleme şeması kullanılmaktadır. Bulgularımıza göre Türk Lirası değer kaybettikçe tüketim artmaktadır. Ayrıca, tüketim davranışında önemli bir alışkanlık oluşumu olduğunu gösteriyoruz. Bununla birlikte, geriye dönük harcama davranışı, gelecekteki tüketime ilişkin beklentiler tarafından domine edilmektedir.

Anahtar Kelimeler:

Tüketim, Euler Denklemi, Döviz Kuru, Genelleştirilmiş Momentler Yöntemi

Deciphering Consumption Pattern in Turkey: Testing An Euler Equation

Understanding the consumption dynamics is crucial as policymakers assume a structural form for consumption in their economic models. This paper attempts to decipher the consumption dynamics in Turkey by estimating an Euler equation using credit and debit card spending data. Unlike the standard Euler equation, we use a modeling scheme to figure out the impact of exchange rate dynamics on consumption. According to our findings, as the Turkish Lira depreciates, consumption increases. We also show that there is significant habit formation in consumption behavior. However, the backwardness is dominated by the expectations regarding future consumption.

Keywords:

Consumption, Euler equation, exchange rate, Gneralized method of moments,

PDF

___

Alan, S., Atalay, K., & Crossley, T. F. (2019). Euler equation estimation on micro data. Macroeconomic Dynamics, 23(8), 3267–3292.
Attanasio, O. P., Banks, J., Meghir, C., & Weber, G. (1999). Humps and bumps in lifetime consumption. Journal of Business & Economic Statistics, 17(1), 22–35.
Attanasio, O. P., & Weber, G. (1995). Is consumption growth consistent with intertemporal optimization? evidence from the consumer expenditure survey. Journal of political Economy, 103(6), 1121–1157.
Blanchard, O. J. (1985).Debt, deficits, and finite horizons.Journal of political economy, 93(2), 223–247.
Bobeica, E., & Hartwig, B. (2021). The covid-19 shock and challenges for time series models. Technical report, ECB Working Paper.
Campbell, J. Y., & Cochrane, J. H. (1999). By force of habit: A consumption-based explanation of aggregate stock market behavior. Journal of political Economy, 107(2), 205–251.
Campbell, J. Y., & Cochrane, J. H. (2000). Explaining the poor performance of consumption‐based asset pricing models. The Journal of Finance, 55(6), 2863-2878.
Del Negro, M., Giannoni, M. P., & Patterson, C. (2012). The forward guidance puzzle. FRB of New York Staff Report, (574).
Fernández-Villaverde, J., Rubio-Ramirez, J. F., & Schorfheide, F. (2015). Solution and estimation methods for DSGE models. Handbook of Macroeconomics, 2:15–042.
Friedman, M. (1957). Introduction to" A theory of the consumption function". In A theory of the consumption function (pp. 1-6). princeton university press.
Galí, J. (2015). Monetary policy, inflation, and the business cycle: an introduction to the new Keynesian framework and its applications. Princeton University Press.
Galí, J., & Monacelli, T. (2005). Monetary Policy and Exchange Rate Volatility in a Small Open Economy. Review of Economic Studies, 72(3), 707–734.
Hall, R. E. (1978). Stochastic implications of the life cycle-permanent income hypothesis: Theory and evidence. Journal of Political Economy, 86(6), 971–987.
Hansen, L. P., Heaton, J., & Yaron, A. (1996). Finite-sample properties of some alternative GMM estimators. Journal of Business & Economic Statistics, 14(3), 262–280.
Kantur, Z., & Özcan, G. (2021). Dissecting Turkish inflation: theory, fact, and illusion. Economic Change and Restructuring.
Lenza, M., & Primiceri, G. E. (2020). How to estimate a var after march 2020. Working Paper 27771, National Bureau of Economic Research.
McKay, A., Nakamura, E., & Steinsson, J. (2016). The power of forward guidance revisited. American Economic Review, 106(10), 3133–58.
Mehra, R., & Prescott, E. C. (1985). The equity premium: A puzzle. Journal of monetary Economics, 15(2), 145–161.
Ng, S. (2021). Modeling macroeconomic variations after covid-19. Working Paper 29060, National Bureau of Economic Research.
Nistico, S. (2012). Monetary policy and stock-price dynamics in a DSGE framework. Journal of Macroeconomics, 34(1), 126–146.
Schorfheide, F., & Song, D. (2021). Real-time forecasting with a (standard) mixed-frequency VAR during a pandemic (No. w29535). National Bureau of Economic Research.