Enflasyon koşullarında yatırımlara ilişkin nakit akışlarının markov sürecinde incelenmesi ve yeni bir modelin kurulması

Abstract

ÖZET ENFLASYON KOŞULLARINDA YATIRIMLARA İLİŞKİN NAKİT AKIŞLARININ MARKOV SÜRECİNDE İNCELENMESİ VE YENİ BİR MODELİN KURULMASI Son zamanlara kadar Mühendislik Ekonomisi konusunda yapılan çalışmalar deterministik olarak ele alınmıştır. Son zamanlarda ise belirsizlik ortamının etkileri gözönüne alınarak nakit akışları üzerindeki olasılıklar hesaplanmaya başlanmıştır. Özellikle yenileme modelleri stokastik yapıya uygun olarak incelenmektedir. Bu çalışmada ise enflasyonist ortamın nakit akışlarını nasıl etkilediği üzerinde durulmuştur. Nakit akışlarının beklenen değerlerini hesaplarken en önemli nokta, beklenen enflasyon değerinin bulunmasıdır. Bu amaca yönelik olarak yapılan eğri uydurma analizlerinin iyi sonuç vermemesi üzeri ne daha gerçekçi sonuçlar vermesi açısından Markov Zincirleri kullanılmıştır. Nakit akışları iki temelde ele alınmıştır. Birincisi sermaye maliyetinin sabit olduğu durumlar, ikincisi ise sermaye maliyetinin enflasyona göre değişken olduğu durumlardır. Bu yaklaşıma göre işletme için gelir ve gider kalemleri ele alınmış, - Satış gelirleri, - Yatırım giderleri, - Malzeme giderleri, - İşçilik giderleri incelenmiş ve işletmeye dinamik bir yapı kazandırabilecek öneriler getirilerek yeni bir model geliştirilmiştir. Ayrıca, işletmenin karar vermesinde yeni bir ölçüt, kritik kar oranı, tanımlanarak daha gerçekçi kararlar alınabilmesi sağlanma ya çalışılmıştır. En son olarak da modelin hesaplamalarının el ile yapılmasının güçlüğünü ortadan kaldırmak üzere, bir bilgisayar program paketi geliştirilmiştir. - IX -

SUMMARY A STUDY ON THE CASH FLOWS RELATED TO INVESTMENT UNDER INFLATIONARY CIRCUMSTANCES BY MARKOV PROCESSES AND INSTALLING A NEW MODEL The science disciplines uhich were considered seperately in former times, nouj taken into consideration altogether like sibernetic as a good example. The different disciplines have started working together interactively among themselves. In consequence of this, the notions of Engineering and Economy regarded seperately started to be considered together as a result of the penetration on every aspect and the effect of the canalization of the people and business to think more economicaly efficient along the changing conditions. And therefore the basement of `Engineering Economy` was prepared. The nine elements of engineering decision - making are listed. 1. Recognition of a problem. 2. Definition of the goal or objective. 3. Assembly of relevant data. k. Identification of feasible alternatives. 5. Selection of the criterion for judging the alternatives. 6. Modeling of the interrelationships. 7. Prediction of outcomes for each alternative. 8. Choice of the best alternative to achieve the objective. 9. Post audit of results. Especially in developing countries the companies should be managed by economic wise. For this reason they should emphasize the researches on Engineering Economy areas. In this study, the problems, which may be faced by developing countries, occured in a common high inflation ratio situation are taken into consideration. Naturaly, the first problem is the estimation Df the future x -inflation ratios in comming periods. The second is to install a company structure to diminish the harm of inflation upon the economy. The researchs were done for this aim can be summerized as follows. The Calculation Of Expected Inflation Ratios By Markov Chains : As a result of the works done the specialty of Markov Chains for Transition Probablities from one situation to the following is used. Here a transition matrix is formed between previous informations (monthly inflation ratios) by using markov chains. By taking advantage of that matrix, inflation ratios are calcu lated for the periods ahead. The Effect Gf Inflation Uhen Cost Of Capital Is Taken Constant On Investment Income And Expenses : If the company considers the cost of capital independant of inflation, the cost of capital should be regarded constant. What is meant by investment is not a long range decisions or setting a new firm but to buy a production element (machines, equipment etc.) from the standpoint of engineering economy. i) Sales Revenue It is the multiplication of the unit coat (c) of a product will be manufactured on the machine by the quantity of sales of product (q) in a month. The company should avoid the effect of inflation. To gain the expected income continiously it has to have a dynamic sale price. For this reason according to real inflation ratio at every end of the month, the price should be justified. ii) Investment Expenditure As an investment expenditure, expense types (purchasing, preparation of machine layouts, electricity circuits installation, their practising and testing, labor wages etc.) and quantities are - xi -calculated as net present value. Again expected inflation ratio and expected future investment expenses and net present value of all these are calculated. iii) Material Expenses The first monthly material expense is calculated by multiplying monthly material requirement (d) and unit price (p). In a company has a dynamic structure from the standpoint of idea that inventory can not be for a couple of months, it is assumed that the material of one month is purchased at the begining of every month. PTice increase rate on material should be considered and expected monthly material price change rates should be determined. At the end of teh evaluation material expenses and total present values are found. iv) Labor Expenses Bince labor expenses are variable during the investment period, expense does not consist Df it. First worker wage is paid at the end of the first month operating period. To protect the production real values the labor wages at the end of the every year will be increased as much as the inflation during the year. The Installation A Model And The Calculation Of The Critic Profit Ratio : Here by justifying incomes and expenses together a model which gives present value of investment is set. Taking such a model as a referance to get the expected profit of the company in longe range what profit ratio should be chosen can be determined. - xn -The ratio is shoun as below k (1 + i) z. =1 kr n. Z (1 + e )`' j=m+1 J Here, z. : The critic profit ratio of investment. k : The number of production period. i : The cost of capital. e : The expected inflation ratio value. m : The duration of investment period. n : The end of economic life of investment. By an evaluation from here one can say these for the critic profit ratio (z). z > z. : Company uill go into profit, z = z. : Company is at breakeven paint. z < z. : Company uill lose. The Real Cost Df Capital : It is obvious that regarding the cost of capital constant in inflationary situation brings the company into loss. For this reason the funds provided- is effected in inflationary situation should be taken into consideration. Taking this by means of debt payment ratio and inflation value real cost of capital is found. The real cost of capital is shoun as belou (1 + b) i =JT7- - 1 3 r n -i Vn I` n (1 + e.) I LJ=1 J J Xlll -Here, ı g b B n The real cost of capital. The debt payment ratio. The expected inflation ratio value. The end of economic life of investment. The Setting Df The Model Consist Real Cost Of Capital And The Computer Program : Here the model is reviewed to real cost of capital values. For the last word, due to the difficulty of manuel calculations, a computer program is substituted. The program analyses the situation in which either there is investment period or not (equipment is bought and start up point is close) according to the constant or variable cost of capital. The Results Of The Study Can Be Summerized As (follows: The expected inflation ratio should be determined properly so as tD calculate future cash flows. At the related studies the regretion approach shows 60 - 7D % correlation whereas stochastic approach gives the expected values with around 85 % correlation. Whatsmore, as a result of getting the data base updated along the time, the values will get closer to reality. If the business is required to avoid the inflation it should obtain a dynamic structure. The proposed structure should have the below shown characteristics. To avoid the harm upon sale income, the price should be changed tD the previous realized monthly inflation ratio. Material should be purchased in every month and ensuring to be enough for the month and unnecessary inventory should be avoided. Since the inflation value effects the material price which is reflected to sale income there will be no harm as a matter of word. To avoid problems from the standpoint of personel, the wage increase should be provided at least at a rate of inflation ratio. - xiv -3 - In inflationary situation, if the inflation value is not reflected upon cash flous, the firm will not be able to come to the point it expect for its operations and investment. For this reason inflation effect should be reflected to cash input and output. U - Since the inflation has an effect even on a small investment like machine purchase, a new model was developed to overhelm this difficulty. - In that model a new profitability criteria was developed and named `Critical Profit Ratio`. This criteria shows that how much profit ratio at least should be taken as an operation level not to go into loss for a firm of its investment together with cost of capital and expected inflation ratio. - In engineering economy, one of the methods called internal rate of return is compared with cost of capital. If internal rate of return of investment is greater than cost of capital the investment is accepted. At the study the cost of capital is taken as 18 %. IRR analyses, IRR of 20 % of an investment is supposed to be accepted. However at the computer program result. shows that firm loses below 21 % (Critical Profit Ratio). So during investment analyses, the critical profit ratio should be considered rather than cost of capital. In effect the investment which seems profitable but will not bring profit due to inflation will be refused. 7 - At same time the study shows that the constant cost of capital which is applied by companies disclosed as an irrational criteria. In the application where the constant cost of capital is 18 %, together with inflation effect it goes up to 23 %. In effect, the critical profit ratio reaches 26 %. To the business it is proposed to find the real cost of capital and run with profit ratio rest upon this. 8 - Apart from this in consequence of proposing future expected incomes and expenses, the firm will be able to adjust itself financily beforehand. 9 - As a result in this study, the effects of inflation values, which are pretty high lately, are determined on cash flows and it is stressed that at the threshold of decission the inflation value effect should be taken into account. - xv -