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Türkiye’de Gibson Paradoksunun Geçerliliği: Maki Eşbütünleşme Testi

Yıl 2021, Cilt: 6 Sayı: 2, 226 - 235, 30.12.2021

Hakan Bakkal

Öz

Bu çalışmada, Türkiye ekonomisinde Gibson paradoksunun geçerliliği ele alınmaktadır. 1982-2020 dönemine ait yıllık banka mevduat faiz oranları ile enflasyon oranları kullanılarak değişkenler arasıdaki pozitif yönlü ilişkinin varlığı ampirik olarak araştırılmaktadır. Analizde değişkenlerin doğrusallığı test edilmekte ve aralarındaki uzun dönemli ilişki Engle-Granger ve Maki çoklu yapısal kırılmalı eşbütünleşme testleri ile sınanmaktadır. Elde edilen sonuçlar, temel para politika düzenlemeleri ile örtüşen, istatistiki olarak anlamlı yapısal kırılma tarihleri altında faiz oranı ile enflasyon arasında uzun dönemli pozitif bir ilişkinin varlığını ortaya koymaktadır. Sonuç olarak, Türkiye’de ele alınan dönemde Gibson paradoksu geçerlidir.   

Anahtar Kelimeler

Faiz Enflasyon Türkiye Gibson Paradoksu Eşbütünleşme Testi

Kaynakça

  • Aklan, N., A., Akay, H., K. & Çınar, M. (2014). Türkiye’de Faiz Haddi ve Enflasyon İlişkisi: Gibson Paradoksu’na Yönelik Bir Değerlendirme. EconWorld2014@Prague International Conference in Economics, Prague, Czech Republic.
  • Altunöz, U. (2020). Faiz Haddi-Enflasyon İlişkisi ve Türkiye’de Gibson Çelişkisinin Analizi: Keynes-Wicksell ve Fisher Örneği. Sayıştay Dergisi, 33(118), 153-178.
  • Atgür, M. (2021). Türkiye’de enflasyon ve faiz ilişkisi: Gibson paradoksunun Türkiye’de Geçerliliği. Ömer Halisdemir Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 14(2), 513–526.
  • Atkins, F., J., & Serletis, A. (2002). Bounds Tests Of The Gibson Paradox And The Fisher Effect: Evidence From Low-Frequency International Data. (Erişim: 12.10.2020),https://onlinelibrary.wiley.com/doi/abs/10.1046/j.1467-9957.2003.00373.x
  • Barsky, R., & B., Summers, L., H. (1988). Gibson’s Paradox And The Gold Standart. The Journal of Political Economy, 96(3), 528-550.
  • Benjamin, D., K., & Kochin, L., A. (1984). War, Prices, And Interest Rates: A Martial Solution To Gibson's Paradox. (Erişim:02.06.2020), Http://www.Nber.Org/Chapters/C11138.
  • Biçen, Ö., F. (2019). The Relationship Between Nominal Interest Rate and Inflation Rate: An Analysis on The Validity of The Gibson Paradox. Pamukkale Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 35, 194-201.
  • Brown W., & Santoni G., J. (1983). Interest Rates, Commodity Price Changes And Gibson’s Paradox, Working Paper 1983-004b, Http://Research.Stlouisfed.Org/Wp/1983/1983-004.Pdf,12.06.2020
  • Caporale G., M., & Škare, M., (2014). A Non-Linear Analysis Of Gibson’s Paradox In The Netherlands, 1800-2012, (Erişim:02.03.2019), https://www.brunel.ac.uk/economics-and-finance/research/pdf/1406.pdf.
  • Chadha, J., S., & Perlman, M. (2014). Was The Gibson Paradox For Real? A Wicksellian Study of The Relationship Between Interest Rates and Prices. Financial History Review. European Association for Banking And Financial History, 21(2), 139-163.
  • Chen, C., & Lee J. Chi-Wen. (1990). Varma Test On The Gibson Paradox. The Review of Economics And Statistics, 72(1), 96-10
  • Cheng, H., Kesselrıng, R., G., & Brown, C., R. (2013). The Gibson Paradox: Evidence From China. China Economic Review 27, 82–93.
  • Cogley, T., Sargent, T., J:, & Surico, P. (2011). The Return Of The Gibson Paradox, (Erişim:01.02.2021), https://www.atlantafed.org/-/media/documents/news/conferences/2012/monetary-economics/papers/sargent.pdf.
  • Corbae, D., & Ouliaris, S. (1989). A Random Walk Through The Gibson Paradox. Journal of Applied Econometrics, 4(3), 295-303.
  • Dehghania,Z., Salehi, N., & Asfiji, M. , N. (2015). Gibson Paradox Analysis in Iran Economic. International Journal of Modern Mathematical Sciences, 13(4), 442-448,
  • Dowd, K., & Harrison, B. (2000), The Gibson Paradox And The Gold Standard: Evidence From The United Kingdom: 1821-1913. Applied Economics Letters, 7, 711- 713.
  • Dwyer, G., P. (1984). The Gibson Paradox: A Cross-Country Analysis. Economica, 51, (202). 109-127.
  • Fisher, I. (1930). The Theory Of Interest, As Determined By Impatience To Spend Income And Opportunity To Invest It, Erişim: 07.04.2021), Http://Oll.Libertyfund.Org/Ebooks/Fisher_0219.Pdf.
  • Friedman M., & Schwartz A. J. (1982). Money and Interest Rate, Monetary Trends in the United States and United Kingdom: Their Relation to Income, Prices, and Interest Rates. Erişim (12.03.2020), http://www.nber.org/books/frie82-2.
  • Gibson, A., H. (1923). The Future Course Of High Class Investment Values. Banker’s Magazine , 115, 15-34.
  • Göçer, İ, Mercan, M. & Peker, O. (2013). Kredi Hacmi Artışının Cari Açığa Etkisi: Çoklu Yapısal Kırılmalı Eşbütünleşme Analizi. Ekonometri ve İstatistik, 18, 1-17.
  • Halıcıoğlu, F. (2004). The Gibson Paradox: An Empirical Investigation For Turkey. European Research Studies, 7(1-2), 112-119,
  • Hannsgen, G. (2004). Gibson's Paradox, Monetary Policy, And The Emergence Of Cycles. (Erişim:12.11.2019), http://www.levyinstitute.org/pubs/wp410.pdf.
  • Hannsgen, G., (2006). Gibson’s Paradox II. (Erişim:11.11.2020), http://www.levy.org/pubs/wp_448.pdf.
  • Harvey, D. I. & Leybourne, S. J. (2007). Testing for Time Series Linearity. Econometrics Journal, 10, 149-165.
  • Harvey, D. I., Leybourne, S. J & Xiao B. (2008). A Powerful Test for Linearity When the Order of Integration is Unknown. Studies in Nonlinear Dynamics & Econometrics, 12(3), 1-21.
  • IMF (2021). International Monetary Found, International Financial Statistics (Erişim:19.06.2021), https://data.imf.org/?sk=4c514d48-b6ba-49ed-8ab9-52b0c1a0179b.
  • Keho, Y. (2015). Empirical Testing Of The Gibson Paradox in Selected African Countries, Journal of Economics and Development Studies, 3(3), 13-18.
  • Keynes J. M. (1930). A Treatise On Money, The Applied Theory Of Money, Volume II, Erişim:11.07.2019), https://ia801602.us.archive.org/12/items/in.ernet.dli.2015.28575/2015.28575.A-Treatise-On-Money.pdf..
  • Koçyiğit, A., Kılıç, M., E. & Bayat, T. (2015). A Causality Test On The Gibson Paradox in Turkey. Asian Economic and Financial Review, 5(10), 1134-1147
  • Lee Chi-Wen J., & Petruzzi, C., R. (1986). The Gibson Paradox and The Monetary Standard. The Review of Economics and Statistics, 68(2), 189-196.
  • Maki, D. (2012). Tests for cointegration allowing for an unknown number of breaks. Economic Modelling, 29(5), 2011–2015.
  • Milne, W., J., & Torous, W., N. (1984). Long-Term Interest Rates And The Price Level: The Canadian Evidence On The Gibson Paradox. The Canadian Journal of Economics, 17(2), 327-339.
  • Muscatelli, V. A. & Spinelli, F. (1996). Gibson's Paradox and Policy Regimes: A Comparison of the Experience in the US, UK and Italy. Scottish Journal of Political Economy, 43(4), 468-492.
  • Özdemir, M. & Yıldırım, S., (2018). Fiyat Düzeyi ve Faiz Oranı: Gibson Paradoksu Türkiye Ekonomisi için Geçerli (mi)? Maliye Dergisi, 174:26-47.
  • Perron. P. (1990). Testing For A Unit Root in A Time Series With A Changing Mean. Journal of Business and Economic Statistics, 8, 153-162.
  • Sargent, T., J., (1973). Interest Rates And Prices İn The Long Run: A Study Of The Gibson Paradox. Journal Of Money, Credit And Banking, 5(1), 385-449.
  • Serletis A., & Zestos, G. (1999). On The Gibson Paradox. Review Of International Economics, 7(1), 117–125.
  • Shiller, R., J., & Siegel, J., J., (1977). The Gibson Paradox And Historical Movements In Real Interest Rates. Journal Of Political Economy, 85(5), 891-908.
  • Şimşek, M. & Kadılar, C. (2008). Gibson Çelişkisinin Türkiye Verileri ile Analizi. Sosyal Bilimler Dergisi, 20, 116-127.
  • Tanrıöver, B. & Yamak, N. (2015). Nominal Faiz Oranı-Genel Fiyat Düzeyi İlişkisinin Gibson Paradoksu Çerçevesinde Analizi. Maliye Dergisi, 168, 186-200.
  • Tooke, T. (1844). An Inquiry Into The Currency Principle, The Connection Of The Currency With Prices And The Expediency of A Separation of Issue From Banking, Esq, F.R.S. London, Brown, Green And Longmans, Dijital Baskı.
  • Wicksell K. (1907). The Influence Of The Rate Of Interest On Prices. The Economic Journal, 17(66). 213-220.
  • Yapraklı, S. & Yurttançıkmaz, Z. Ç. (2010). Türkiye’de Gibson Çelişkisinin Geçerliliği: Ekonometrik Bir Analiz (1970-2009). Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi, 24(3), 23-39.
  • Zhao, L. (2006). The Gibson Paradox And Its Explanations, (Erişim:12.04.2019), https://ruor.uottawa.ca/bitstream/10393/25284/1/2006_zhao_lu.pdf

The Validity of Gibson Paradox in Turkey: Maki Cointegration Test

Yıl 2021, Cilt: 6 Sayı: 2, 226 - 235, 30.12.2021

Hakan Bakkal

Öz

In this study, the validity of the Gibson paradox in the Turkish economy is discussed. An existence of a positive relationship between the variables is analyzed by using annual bank deposit interest rates and inflation rates for the 1982-2020 period. In the analysis, the linearity of the variables is tested and the long-term relationship between them is tested with Engle-Granger and Maki multiple structural break cointegration tests. The obtained results reveal the existence of long-term positive relationship between the interest rate and inflation under the statistically significant structural break dates that accord with the fundamental monetary policy regulations. As a result, the Gibson paradox is valid in the period handled in Turkey.

Anahtar Kelimeler

interest Rate İnflation Turkey Gibson Paradox Cointegration Test

Kaynakça

  • Aklan, N., A., Akay, H., K. & Çınar, M. (2014). Türkiye’de Faiz Haddi ve Enflasyon İlişkisi: Gibson Paradoksu’na Yönelik Bir Değerlendirme. EconWorld2014@Prague International Conference in Economics, Prague, Czech Republic.
  • Altunöz, U. (2020). Faiz Haddi-Enflasyon İlişkisi ve Türkiye’de Gibson Çelişkisinin Analizi: Keynes-Wicksell ve Fisher Örneği. Sayıştay Dergisi, 33(118), 153-178.
  • Atgür, M. (2021). Türkiye’de enflasyon ve faiz ilişkisi: Gibson paradoksunun Türkiye’de Geçerliliği. Ömer Halisdemir Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 14(2), 513–526.
  • Atkins, F., J., & Serletis, A. (2002). Bounds Tests Of The Gibson Paradox And The Fisher Effect: Evidence From Low-Frequency International Data. (Erişim: 12.10.2020),https://onlinelibrary.wiley.com/doi/abs/10.1046/j.1467-9957.2003.00373.x
  • Barsky, R., & B., Summers, L., H. (1988). Gibson’s Paradox And The Gold Standart. The Journal of Political Economy, 96(3), 528-550.
  • Benjamin, D., K., & Kochin, L., A. (1984). War, Prices, And Interest Rates: A Martial Solution To Gibson's Paradox. (Erişim:02.06.2020), Http://www.Nber.Org/Chapters/C11138.
  • Biçen, Ö., F. (2019). The Relationship Between Nominal Interest Rate and Inflation Rate: An Analysis on The Validity of The Gibson Paradox. Pamukkale Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 35, 194-201.
  • Brown W., & Santoni G., J. (1983). Interest Rates, Commodity Price Changes And Gibson’s Paradox, Working Paper 1983-004b, Http://Research.Stlouisfed.Org/Wp/1983/1983-004.Pdf,12.06.2020
  • Caporale G., M., & Škare, M., (2014). A Non-Linear Analysis Of Gibson’s Paradox In The Netherlands, 1800-2012, (Erişim:02.03.2019), https://www.brunel.ac.uk/economics-and-finance/research/pdf/1406.pdf.
  • Chadha, J., S., & Perlman, M. (2014). Was The Gibson Paradox For Real? A Wicksellian Study of The Relationship Between Interest Rates and Prices. Financial History Review. European Association for Banking And Financial History, 21(2), 139-163.
  • Chen, C., & Lee J. Chi-Wen. (1990). Varma Test On The Gibson Paradox. The Review of Economics And Statistics, 72(1), 96-10
  • Cheng, H., Kesselrıng, R., G., & Brown, C., R. (2013). The Gibson Paradox: Evidence From China. China Economic Review 27, 82–93.
  • Cogley, T., Sargent, T., J:, & Surico, P. (2011). The Return Of The Gibson Paradox, (Erişim:01.02.2021), https://www.atlantafed.org/-/media/documents/news/conferences/2012/monetary-economics/papers/sargent.pdf.
  • Corbae, D., & Ouliaris, S. (1989). A Random Walk Through The Gibson Paradox. Journal of Applied Econometrics, 4(3), 295-303.
  • Dehghania,Z., Salehi, N., & Asfiji, M. , N. (2015). Gibson Paradox Analysis in Iran Economic. International Journal of Modern Mathematical Sciences, 13(4), 442-448,
  • Dowd, K., & Harrison, B. (2000), The Gibson Paradox And The Gold Standard: Evidence From The United Kingdom: 1821-1913. Applied Economics Letters, 7, 711- 713.
  • Dwyer, G., P. (1984). The Gibson Paradox: A Cross-Country Analysis. Economica, 51, (202). 109-127.
  • Fisher, I. (1930). The Theory Of Interest, As Determined By Impatience To Spend Income And Opportunity To Invest It, Erişim: 07.04.2021), Http://Oll.Libertyfund.Org/Ebooks/Fisher_0219.Pdf.
  • Friedman M., & Schwartz A. J. (1982). Money and Interest Rate, Monetary Trends in the United States and United Kingdom: Their Relation to Income, Prices, and Interest Rates. Erişim (12.03.2020), http://www.nber.org/books/frie82-2.
  • Gibson, A., H. (1923). The Future Course Of High Class Investment Values. Banker’s Magazine , 115, 15-34.
  • Göçer, İ, Mercan, M. & Peker, O. (2013). Kredi Hacmi Artışının Cari Açığa Etkisi: Çoklu Yapısal Kırılmalı Eşbütünleşme Analizi. Ekonometri ve İstatistik, 18, 1-17.
  • Halıcıoğlu, F. (2004). The Gibson Paradox: An Empirical Investigation For Turkey. European Research Studies, 7(1-2), 112-119,
  • Hannsgen, G. (2004). Gibson's Paradox, Monetary Policy, And The Emergence Of Cycles. (Erişim:12.11.2019), http://www.levyinstitute.org/pubs/wp410.pdf.
  • Hannsgen, G., (2006). Gibson’s Paradox II. (Erişim:11.11.2020), http://www.levy.org/pubs/wp_448.pdf.
  • Harvey, D. I. & Leybourne, S. J. (2007). Testing for Time Series Linearity. Econometrics Journal, 10, 149-165.
  • Harvey, D. I., Leybourne, S. J & Xiao B. (2008). A Powerful Test for Linearity When the Order of Integration is Unknown. Studies in Nonlinear Dynamics & Econometrics, 12(3), 1-21.
  • IMF (2021). International Monetary Found, International Financial Statistics (Erişim:19.06.2021), https://data.imf.org/?sk=4c514d48-b6ba-49ed-8ab9-52b0c1a0179b.
  • Keho, Y. (2015). Empirical Testing Of The Gibson Paradox in Selected African Countries, Journal of Economics and Development Studies, 3(3), 13-18.
  • Keynes J. M. (1930). A Treatise On Money, The Applied Theory Of Money, Volume II, Erişim:11.07.2019), https://ia801602.us.archive.org/12/items/in.ernet.dli.2015.28575/2015.28575.A-Treatise-On-Money.pdf..
  • Koçyiğit, A., Kılıç, M., E. & Bayat, T. (2015). A Causality Test On The Gibson Paradox in Turkey. Asian Economic and Financial Review, 5(10), 1134-1147
  • Lee Chi-Wen J., & Petruzzi, C., R. (1986). The Gibson Paradox and The Monetary Standard. The Review of Economics and Statistics, 68(2), 189-196.
  • Maki, D. (2012). Tests for cointegration allowing for an unknown number of breaks. Economic Modelling, 29(5), 2011–2015.
  • Milne, W., J., & Torous, W., N. (1984). Long-Term Interest Rates And The Price Level: The Canadian Evidence On The Gibson Paradox. The Canadian Journal of Economics, 17(2), 327-339.
  • Muscatelli, V. A. & Spinelli, F. (1996). Gibson's Paradox and Policy Regimes: A Comparison of the Experience in the US, UK and Italy. Scottish Journal of Political Economy, 43(4), 468-492.
  • Özdemir, M. & Yıldırım, S., (2018). Fiyat Düzeyi ve Faiz Oranı: Gibson Paradoksu Türkiye Ekonomisi için Geçerli (mi)? Maliye Dergisi, 174:26-47.
  • Perron. P. (1990). Testing For A Unit Root in A Time Series With A Changing Mean. Journal of Business and Economic Statistics, 8, 153-162.
  • Sargent, T., J., (1973). Interest Rates And Prices İn The Long Run: A Study Of The Gibson Paradox. Journal Of Money, Credit And Banking, 5(1), 385-449.
  • Serletis A., & Zestos, G. (1999). On The Gibson Paradox. Review Of International Economics, 7(1), 117–125.
  • Shiller, R., J., & Siegel, J., J., (1977). The Gibson Paradox And Historical Movements In Real Interest Rates. Journal Of Political Economy, 85(5), 891-908.
  • Şimşek, M. & Kadılar, C. (2008). Gibson Çelişkisinin Türkiye Verileri ile Analizi. Sosyal Bilimler Dergisi, 20, 116-127.
  • Tanrıöver, B. & Yamak, N. (2015). Nominal Faiz Oranı-Genel Fiyat Düzeyi İlişkisinin Gibson Paradoksu Çerçevesinde Analizi. Maliye Dergisi, 168, 186-200.
  • Tooke, T. (1844). An Inquiry Into The Currency Principle, The Connection Of The Currency With Prices And The Expediency of A Separation of Issue From Banking, Esq, F.R.S. London, Brown, Green And Longmans, Dijital Baskı.
  • Wicksell K. (1907). The Influence Of The Rate Of Interest On Prices. The Economic Journal, 17(66). 213-220.
  • Yapraklı, S. & Yurttançıkmaz, Z. Ç. (2010). Türkiye’de Gibson Çelişkisinin Geçerliliği: Ekonometrik Bir Analiz (1970-2009). Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi, 24(3), 23-39.
  • Zhao, L. (2006). The Gibson Paradox And Its Explanations, (Erişim:12.04.2019), https://ruor.uottawa.ca/bitstream/10393/25284/1/2006_zhao_lu.pdf
Toplam 45 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Konular Ekonomi
Bölüm Araştırma Makalesi
Yazarlar

Hakan Bakkal 0000-0002-0256-7065

Yayımlanma Tarihi 30 Aralık 2021
Yayımlandığı Sayı Yıl 2021 Cilt: 6 Sayı: 2

Kaynak Göster

APA Bakkal, H. (2021). Türkiye’de Gibson Paradoksunun Geçerliliği: Maki Eşbütünleşme Testi. JOEEP: Journal of Emerging Economies and Policy, 6(2), 226-235.
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