The unbiasedness and efficiency tests of the rational expectations hypothesis

This study examines the direct tests of the Rational Expectations Hypothesis (REH). Pesando (1975) employs the Livingston survey data of business economists and reaches the rejection of rationality and consistency but not rejection of the efficiency. Analyzing the same data, Carlson (1977) rejects these three hypotheses that Pesando tests when he uses expectations on CPI, but doesn’t reject hypotheses as he uses expectations on WPI. Turnovsky (1980) tests the unbiasedness property of the REH using Livingston data and finds different results for the different periods of data. Friedman (1980) applies the unbiasedness and efficiency tests using data of The Goldsmith-Nagan Bond and Money Market Letter and reaches mixed results for the REH. Ball and Croushore (1995) use the several survey results and univariate forecasting models. Their results provide a strong rejection of the REH.Rational expectations hypothesis, expectations, unbiasedness, efficiency, Box-Jenkins forecasting model

Energy tax harmonization in EU: Time series and panel data evidence

This paper searches statistical evidence of tax harmonization initiated and motivated by EU Commission since 1980. The purpose of energy tax harmonization is to reach more efficient use of energy among members and thereby to establish more competitive markets in EU. The tax harmonization in EU, in this work, is analyzed through convergence tests to see whether total taxes applied to oil and diesel used by industries and households are adjusted among EU members. This study, therefore, employs minimum Lagrange multiplier unit root tests with structural breaks developed by Lee and Strazicich (2003). Upon observations the data for panels, it is revealed that panels for oil industry tax, diesel industry tax, oil household tax and diesel household tax converge to average total taxes of members. Time series data for individual countries, on the other hand, give both convergence and non-convergence results.oil and diesel taxes, households and industries, harmonization, convergence, European Union, LM unit root tests with structural breaks

Random walk, excess smoothness or excess sensitivity? Evidence from literature and an application for Turkish economy

This paper observes the Turkish household’ consumption data to see whether it follows random walk or not. The quarterly data covers the period from 1987:1 to 2003:4. By employing the direct tests for random walk, excess smoothness or excess sensitivity, this study results in both excess sensitivity and excess smoothness and rejects random walk hypothesis for the Turkish consumption pattern.consumption, fiscal policies, seasonality, stationarity, random walk, excess smoothness, excess sensitivity

Bütçe açığının cari işlemler üzerindeki etkileri: Teori ve uygulama

In this study, we examine if there is a linkage between the budget deficit (BD) and current account deficit (CAP). Traditional theory asserts that the BD leads to CAD, given that government expenditures are fixed. As disposable income increases due to BD (i.e., due to tax-cuts given that there is no corresponding reduction in government spending), consumers will choose to spend most of the increase in their disposable income. This will cause interest rates to increase via increase (rightward shift) in Investment-Saving (IS) curve. As a result of this, the domestic currency appreciates and net exports decline. Thus, BD causes CAD. The new Classical approach, on the other hand, argues that government debt or tax reductions imply future tax liabilities. This approach assumes that infinitely-lived consumers foresee the future tax liabilities, and, that consumers with rational expectations, therefore, will not increase their consumption level even if their income increases due to government debt or tax-cuts. Thus, there is no link between BAD and CD. In this study, the analyses were carried out by estimating current account equations using time series data for Turkey, Singapore and the USA. The result of this study demonstrates that the budget balance has had no significant impact on current account balance

Bütçe açığının cari işlemler üzerindeki etkileri: Teori ve uygulama

In this study, we examine if there is a linkage between the budget deficit (BD) and current account deficit (CAP). Traditional theory asserts that the BD leads to CAD, given that government expenditures are fixed. As disposable income increases due to BD (i.e., due to tax-cuts given that there is no corresponding reduction in government spending), consumers will choose to spend most of the increase in their disposable income. This will cause interest rates to increase via increase (rightward shift) in Investment-Saving (IS) curve. As a result of this, the domestic currency appreciates and net exports decline. Thus, BD causes CAD. The new Classical approach, on the other hand, argues that government debt or tax reductions imply future tax liabilities. This approach assumes that infinitely-lived consumers foresee the future tax liabilities, and, that consumers with rational expectations, therefore, will not increase their consumption level even if their income increases due to government debt or tax-cuts. Thus, there is no link between BAD and CD. In this study, the analyses were carried out by estimating current account equations using time series data for Turkey, Singapore and the USA. The result of this study demonstrates that the budget balance has had no significant impact on current account balance

Testing the Ricardian equivalence theorem in the framework of the permanent income hypothesis

According to Ricardian Equivalence Theorem (RET), today's consumption decisions would be independent of some fiscal variables such as lump sum taxes, government debt outstanding or the budget deficit given that government expenditures are fixed. The Permanent Income Hypothesis (PIH) consumption function also implies that change in consumption cannot be forecast by the change in lag(s) of any variable including the change in those fiscal variables. Thus, the test of RET is a nested test of the PIH. After unit root tests and cointegration tests were conducted, the test of the RET were run by using a system in which coefficients of consumption, income, taxes and debt variables were determined in two steps. Among twenty countries that were chosen based on data availability, the result of this paper is that the RET holds in all countries and that the PIH holds in majority of the countries. The failure of the PIH occurs in developing countries

The unbiasedness and efficiency tests of the rational expectations hypothesis

This study examines the direct tests of the Rational Expectations Hypothesis (REH). Pesando (1975) employs the Livingston survey data of business economists and reaches the rejection of rationality and consistency but not rejection of the efficiency. Analyzing the same data, Carlson (1977) rejects these three hypotheses that Pesando tests when he uses expectations on CPI, but doesn’t reject hypotheses as he uses expectations on WPI. Turnovsky (1980) tests the unbiasedness property of the REH using Livingston data and finds different results for the different periods of data. Friedman (1980) applies the unbiasedness and efficiency tests using data of The Goldsmith-Nagan Bond and Money Market Letter and reaches mixed results for the REH. Ball and Croushore (1995) use the several survey results and univariate forecasting models. Their results provide a strong rejection of the REH

Piyasa ekonomisine geçiş süreci ve sonrasında Türkiye'de GINI katsayılarının analizi: Alternatif GINI formülü yaklaşımı

This study considers the Gini 1 and alternative Gini 2 coefficients for households’ % income shares from 1963 to 2015 in Turkey. Throughout regarding calibrations, one might see that, despite the existence of some deviations from trend and some Gini 1 and Gini 2 coefficients’ differences, (a) there exists an improvement in the distribution of income until 2011, except for the year 2009 when the global crisis was experienced, but an average deterioration in the distribution for 2011-2015 period is experienced, (b) the geographical regions of the Turkish economy reveal different outcomes. For the period 2006-2015, it is observed that in the regions of Istanbul, West Marmara, Central Anatolia and North East Anatolia, the Lorenz curve has moved away from full equilibrium line, but in the regions of Aegean, Eastern Marmara and Eastern Black Sea, on the average, a convergence towards the equilibrium from the Lorenz curve has appeared. In other three regions, the Gini coefficients improve on average in Western Anatolia, Mediterranean and Western Black Sea regions. The Gini coefficients are increasing in the period 2006-2011 in the Middle East Anatolia and falling in 2015. In the South East Anatolia Region, there is no progress in the period 2006-2011, but, there happens to be a recovery in income distribution in 2015

Yeni Klasik kurama göre bütçe politikalarının değerlendirilmesi

The New Classical theorem asserts that (a) the individuals with rational expectations do not change their consumption levels unless the expected permanent income changes, and, (b), thusly, tax and/or debt policies are not significant on consumption decisions of the individuals, at least in the long term. This paper analyzes if demand sided fiscal policies are efficient or not by observing the Turkish data for the period 1988:4-1999:1, and, the US data for the period 1980:1-1994:2. The paper follows impulse-response (IR) functions through VAR models in which consumption, GDP, tax and debt series are employed. The IR output reveals that the reactions were in the form of mirror images of each other. The paper, hence, conducts (i) the tests for the null of equal variances, (ii) pooled variance test, and, (iii) the test for the null of different variances. The relevant results yield that the mean trends of responses are equal to each other, and, that the difference between the means of the responses is equal to zero. The paper, thusly, may claim that the Turkish and US data confirm the New Classical theorem