Investigating the Validity of Gibson Paradox for Developed and Developing Countries

Year 2017, Volume: 19 Issue: 1, 211 - 222, 05.05.2017

Serkan Künü , Selim Başar , Gürkan Bozma

Abstract

The
existence of the relationship between interest rate and inflation and the
direction of the relationship have been the subject of debate in many studies. Because
of the fact that, some researchers believe that interest rate is source of cost,
which causing price inflation by creating price pressures on goods and
services. On the other hand, there are many studies suggesting that inflation
causes interest rate increases. This study is to test validity of the Gibson
paradox which argues that there is a positive relationship between the interest
rates and the inflation rate in terms of developed and developing countries. In
the study, Dumitrescu and Hurlin (2012), which considers the stationarity
levels and cross-sectional dependence of the series, was used to for panel
causality test for the period 1992-2013 and 2000-2013. According to the
findings, significant relationships were found between interest rate and inflation
rate in developed and developing countries. Moreover, analysis for all
countries (develop and developing), there is a unidirectional relationship
running from inflation rate to interest rate which is similar to the findings
of Fisher (1930) and Shiller and Siegel (1977).

Keywords

Interest Rate, General Price Level, Gibson Paradox, Dumitrescu and Hurlin Causality Analysis

Gibson Paradoksunun Gelişmiş ve Gelişmekte Olan Ülkeler Açısından Geçerliliğinin Araştırılması

Abstract

Faiz oranı ile
enflasyon arasındaki ilişkinin varlığı ve ilişkinin yönü birçok çalışmada
tartışma konusu olmuştur. Çünkü bazı araştırmacılar tarafından faizin bir
maliyet kaynağını olduğunu, bu durumunda mal ve hizmetler üzerinde fiyat
baskısı yaratarak enflasyona sebep olduğunu düşünülmektedir. Buna karşın,
enflasyonun faiz artışına sebep olduğunu öne süren birçok çalışma
bulunmaktadır. Bu çalışmanın amacı faiz oranları ve genel fiyat düzeyi arasında
pozitif ilişki olduğunu savunan Gibson paradoksunun gelişmiş ve gelişmekte olan
ülke grupları açısından geçerliliğini test etmektir. Çalışmada 1992-2013 ve
2000-2013 dönemine ait veriler serilerin durağanlık düzeylerini ve yatay-kesit
bağımlılığını dikkate alan Dumitrescu ve Hurlin (2012) panel nedensellik testi
ile analiz edilmiştir. Tahminlerden elde edilen bulgulara göre gelişmiş ve
gelişmekte olan ülke gruplarında faiz ve genel fiyat düzeyi arasında anlamlı
ilişkiler bulunmuştur. Ayrıca,
tüm ülkeler için yapılan analizde enflasyon oranından faiz oranına doğru ilişki
bulunmuştur. Elde edilen bu sonuç, Fisher (1930) ve Shiller ve Siegel (1977)
çalışmalarından elde edilen bulgularla benzerlik göstermektedir. 

Keywords

Tahvil Faiz Oranı, Genel Fiyat Düzeyi, Gibson Paradoksu, Dumitrescu ve Hurlin Nedensellik Analizi

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