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TÜRKİYE’DE GİBSON ÇELİŞKİSİNİN GEÇERLİLİĞİ: EKONOMETRİK BİR ANALİZ (1970-2009)

Year 2010, Volume: 24 Issue: 3, 23 - 39, 06.07.2011

Sevda Yapraklı Z.çağlar Yurttançıkmaz

Abstract

Bu çalışmanın amacı, Türkiye ekonomisi için Gibson
Çelişkisi’nin geçerliliğini test etmektir. 1970-2009 dönemini kapsayan bu
çalışmada, tüketici fiyat endeksi ve nominal faiz oranı değişkenleri
kullanılmıştır. Fiyat seviyesi ve faiz oranı arasındaki ilişkiler, Johansen eş-
bütünleşme analizi ve hata düzeltme modeli kullanılarak ekonometrik açıdan
analiz edilmiştir. Analiz sonuçlarına göre, uzun dönemde fiyat seviyesi ve
nominal faiz oranı arasında pozitif ve istatistiki olarak anlamlı bir ilişki vardır.
Ayrıca hata düzeltme-geliştirilmiş Granger nedensellik testleri, fiyat seviyesi ile
faiz oranı arasında karşılıklı nedensellik ilişkisi olduğunu göstermektedir. Sonuç
olarak, bu çalışmada yapılan tüm analizler, Gibson Çelişkisi’nin Türkiye için
geçerli olduğuna işaret etmektedir.

Keywords

Fiyat Seviyesi Faiz Oranı Türkiye Ekonomisi Eş Bütünleşme Zayıf Dışsallık Granger Nedenselliği VEC Modeli

References

  • Atkins, F.J. and Serletis, A. (2003). “Bounds Tests of the Gibson Paradox and the Fisher Effect: Evidence from Low-Frequency International Data”, Manchester School, 71 (6), pp. 673-679.
  • Barsky, R.B. and Summers, L.H. (1988). “Gibson Paradox and the Gold Standard”, Journal of Political Economy, 96 (3), pp. 528-549.
  • Benjamin, D.K. and Kochin, L.A. (1984). War, Prices, and Interest Rates: A Martial Solution to Gibson’s Paradox, In A Retrospective on the Classical Gold Standard, 1821-1931, University of Chicago Press, Chicago.
  • Cagan, P. (1965). Determinants and Effects of Changes in the Stock of Money, 1875-1960, Columbia University Press, New York.
  • Charemza, W.W. and Deadman, D.F. (1993). New Directions in Econometric Practice: General to Specific Modelling Cointegration and Vector Autoregression, Hanst: Edward Elgar Publishing Limited, Cambridge.
  • Chen, C. and Lee, C.-W.J. (1990). “A VARMA Test on the Gibson Paradox”, The Review of Economics and Statistics, 72 (1), pp. 96-107.
  • Cochran, J. (1997). “Replicating Gibson: Or, A Pair of Dummies Does not Beat a Paradox”, GMU Economics Department Working Paper Series, WPE: 99-10, pp. 1-21.
  • Corbae, D. and Ouliaris, S. (1989). “A Random Walk Through the Gibson Paradox”, Journal of Applied Econometrics, 4, pp. 295-303.
  • Coulombe, S. (1998). “A Non-Paradoxical Interpretation of the Gibson Paradox”, Bank of Canada Working Paper, No. 98-22, pp. 1-47.
  • Dowd, K. and Harrison, B. (2000). “The Gibson Paradox and the Gold Standard: Evidence from the United Kingdom, 1821-1913”, Applied Economics Letters, 7, pp. 711-713.
  • Dwyer, G.P. (1984). “The Gibson Paradox: A Cross-Country Analysis”, Economica New Series, 51 (202), pp. 109-127.
  • Fisher, I. (1930). The Theory of Interest,: Macmillan, New York.
  • Friedman, M. and Schwartz, A.J. (1976). “From Gibson to Fisher: Explorations in Economic Research”, Occasional Papers of the NBER, 3 (2), pp. 288-289.
  • _______ (1982). Monetary Trends in the United States and the United Kingdom: Their Relation to Income, Prices, and Interest Rates: 1867- 1975, University of Chicago Press, Chicago
  • Gibson, A.H. (1923). “The Future Course of High Class Investment Values”, Banker's Magazine, 115, pp. 15-34.
  • Granger, C.W.J. (1969). “Investigating Causal Relations By Econometric Models and Cross Spectral Methods”, Econometrica, 27.
  • Gujarati, D.N. (1999). Temel Ekonometri, (Çev. Ü. Şenesen ve G.G. Şenesen), Literatür Yayınları, İstanbul.
  • Halıcıoğlu, F. (2004). “The Gibson Paradox: An Empirical Investigation for Turkey”, European Research Studies Journal, 7 (1-2), pp. 111-119.
  • Hannsgen, G. (2004). “Gibson’s Paradox, Monetary Policy, and the Emergence of Cycles”, The Levy Economics Institute of Bard College, Working Paper, No. 448, pp. 1-21.
  • Harley, C.K. (1977). “The Interest Rate and Prices in Britain, 1873-1913: A Study of the Gibson Paradox”, Explorations in Economic History, 14, pp. 69-89.
  • Johansen, S. and Juselius, K. (1990). “Maximum Likelihood Estimation and Inference on Cointegration-with Application to the Demand for Money”, Oxford Bulletin of Economics and Statistics, 52, pp.169-210.
  • Keynes, J.M. (1930). A Treatise on Money, Vol. II, Harcourt, Brace and Company, New York.
  • Kitchin, J. (1923). “Cycles and Trends in Economic Factors”, Review of Economics and Statistics, 5, pp. 10-16.
  • Klein, L.R. (1995) “An Economic Interpretation of the Gibson Relationship”, Atlantic Economic Journal, 23, pp. 159-76.
  • Lee, C.-W.J. and Petruzzi, C.R. (1986). “The Gibson Paradox and Monetary Standard”, Review of Economics and Statistics, 68, pp. 189-196.
  • Mills, T.C. (1990) “A Note on the Gibson Paradox during the Gold Standard”, Explorations in Economic History, 27, pp. 277-286.
  • Muscattelli, V.A. and 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), pp. 468-492.
  • Peake, E.G. (1928). “Connection Between The Prices of Commodities and the Prices of Securities”, Bankers' Magazine, May, 125, p. 720.
  • Sargent, T.J. (1973) “Interest Rates and Prices in the Long Run: A Study of Gibson Paradox” Journal of Money, Credit and Banking, 5, pp. 385- 449.
  • Serletis, A. and Zestos, G. (1999). “On the Gibson Paradox”, Review of International Economics, 7, pp. 117-125.
  • Shiller, R.J. and Siegel, J.J. (1977). “The Gibson Paradox and Historical Movements in Real Interest Rates”, The Journal of Political Economy, 85 (5), pp. 891-907.
  • Şimşek, M. ve Kadılar, C. (2008). “Gibson Çelişkisinin Türkiye Verileri ile Analizi”, Kırgız-Manas Üniversitesi Sosyal Bilimler Dergisi, 20, ss.116-127.
  • TCMB, (2009), TCMB Elektronik Veri Dağıtım Sistemi, http://evds.tcmb.gov.tr/, (04.12.2009).
  • Tooke, T. (1844). An Inquiry into the Currency Principle, Longman, Brown, Green, and Longmans, London.
  • Wicksell, K. (1936). Interest and Prices, (Translated from the German: Richard F. Khan), R&R Clark Limited Edinburg, Great Britain.
  • Yamak, N. ve Tanrıöver, B. (2007) “Türkiye’de Nominal Faiz Oranı-Genel Fiyat Düzeyi İlişkisi; Gibson Paradoksu, 8. Türkiye Ekonometri ve İstatistik Kongresi, ss. 1-13, http://eisemp8.inonu.edu.tr/bildiri- pdf/yamak-tanriover.pdf, (05.08.2009).

Year 2010, Volume: 24 Issue: 3, 23 - 39, 06.07.2011

Sevda Yapraklı Z.çağlar Yurttançıkmaz

Abstract

References

  • Atkins, F.J. and Serletis, A. (2003). “Bounds Tests of the Gibson Paradox and the Fisher Effect: Evidence from Low-Frequency International Data”, Manchester School, 71 (6), pp. 673-679.
  • Barsky, R.B. and Summers, L.H. (1988). “Gibson Paradox and the Gold Standard”, Journal of Political Economy, 96 (3), pp. 528-549.
  • Benjamin, D.K. and Kochin, L.A. (1984). War, Prices, and Interest Rates: A Martial Solution to Gibson’s Paradox, In A Retrospective on the Classical Gold Standard, 1821-1931, University of Chicago Press, Chicago.
  • Cagan, P. (1965). Determinants and Effects of Changes in the Stock of Money, 1875-1960, Columbia University Press, New York.
  • Charemza, W.W. and Deadman, D.F. (1993). New Directions in Econometric Practice: General to Specific Modelling Cointegration and Vector Autoregression, Hanst: Edward Elgar Publishing Limited, Cambridge.
  • Chen, C. and Lee, C.-W.J. (1990). “A VARMA Test on the Gibson Paradox”, The Review of Economics and Statistics, 72 (1), pp. 96-107.
  • Cochran, J. (1997). “Replicating Gibson: Or, A Pair of Dummies Does not Beat a Paradox”, GMU Economics Department Working Paper Series, WPE: 99-10, pp. 1-21.
  • Corbae, D. and Ouliaris, S. (1989). “A Random Walk Through the Gibson Paradox”, Journal of Applied Econometrics, 4, pp. 295-303.
  • Coulombe, S. (1998). “A Non-Paradoxical Interpretation of the Gibson Paradox”, Bank of Canada Working Paper, No. 98-22, pp. 1-47.
  • Dowd, K. and Harrison, B. (2000). “The Gibson Paradox and the Gold Standard: Evidence from the United Kingdom, 1821-1913”, Applied Economics Letters, 7, pp. 711-713.
  • Dwyer, G.P. (1984). “The Gibson Paradox: A Cross-Country Analysis”, Economica New Series, 51 (202), pp. 109-127.
  • Fisher, I. (1930). The Theory of Interest,: Macmillan, New York.
  • Friedman, M. and Schwartz, A.J. (1976). “From Gibson to Fisher: Explorations in Economic Research”, Occasional Papers of the NBER, 3 (2), pp. 288-289.
  • _______ (1982). Monetary Trends in the United States and the United Kingdom: Their Relation to Income, Prices, and Interest Rates: 1867- 1975, University of Chicago Press, Chicago
  • Gibson, A.H. (1923). “The Future Course of High Class Investment Values”, Banker's Magazine, 115, pp. 15-34.
  • Granger, C.W.J. (1969). “Investigating Causal Relations By Econometric Models and Cross Spectral Methods”, Econometrica, 27.
  • Gujarati, D.N. (1999). Temel Ekonometri, (Çev. Ü. Şenesen ve G.G. Şenesen), Literatür Yayınları, İstanbul.
  • Halıcıoğlu, F. (2004). “The Gibson Paradox: An Empirical Investigation for Turkey”, European Research Studies Journal, 7 (1-2), pp. 111-119.
  • Hannsgen, G. (2004). “Gibson’s Paradox, Monetary Policy, and the Emergence of Cycles”, The Levy Economics Institute of Bard College, Working Paper, No. 448, pp. 1-21.
  • Harley, C.K. (1977). “The Interest Rate and Prices in Britain, 1873-1913: A Study of the Gibson Paradox”, Explorations in Economic History, 14, pp. 69-89.
  • Johansen, S. and Juselius, K. (1990). “Maximum Likelihood Estimation and Inference on Cointegration-with Application to the Demand for Money”, Oxford Bulletin of Economics and Statistics, 52, pp.169-210.
  • Keynes, J.M. (1930). A Treatise on Money, Vol. II, Harcourt, Brace and Company, New York.
  • Kitchin, J. (1923). “Cycles and Trends in Economic Factors”, Review of Economics and Statistics, 5, pp. 10-16.
  • Klein, L.R. (1995) “An Economic Interpretation of the Gibson Relationship”, Atlantic Economic Journal, 23, pp. 159-76.
  • Lee, C.-W.J. and Petruzzi, C.R. (1986). “The Gibson Paradox and Monetary Standard”, Review of Economics and Statistics, 68, pp. 189-196.
  • Mills, T.C. (1990) “A Note on the Gibson Paradox during the Gold Standard”, Explorations in Economic History, 27, pp. 277-286.
  • Muscattelli, V.A. and 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), pp. 468-492.
  • Peake, E.G. (1928). “Connection Between The Prices of Commodities and the Prices of Securities”, Bankers' Magazine, May, 125, p. 720.
  • Sargent, T.J. (1973) “Interest Rates and Prices in the Long Run: A Study of Gibson Paradox” Journal of Money, Credit and Banking, 5, pp. 385- 449.
  • Serletis, A. and Zestos, G. (1999). “On the Gibson Paradox”, Review of International Economics, 7, pp. 117-125.
  • Shiller, R.J. and Siegel, J.J. (1977). “The Gibson Paradox and Historical Movements in Real Interest Rates”, The Journal of Political Economy, 85 (5), pp. 891-907.
  • Şimşek, M. ve Kadılar, C. (2008). “Gibson Çelişkisinin Türkiye Verileri ile Analizi”, Kırgız-Manas Üniversitesi Sosyal Bilimler Dergisi, 20, ss.116-127.
  • TCMB, (2009), TCMB Elektronik Veri Dağıtım Sistemi, http://evds.tcmb.gov.tr/, (04.12.2009).
  • Tooke, T. (1844). An Inquiry into the Currency Principle, Longman, Brown, Green, and Longmans, London.
  • Wicksell, K. (1936). Interest and Prices, (Translated from the German: Richard F. Khan), R&R Clark Limited Edinburg, Great Britain.
  • Yamak, N. ve Tanrıöver, B. (2007) “Türkiye’de Nominal Faiz Oranı-Genel Fiyat Düzeyi İlişkisi; Gibson Paradoksu, 8. Türkiye Ekonometri ve İstatistik Kongresi, ss. 1-13, http://eisemp8.inonu.edu.tr/bildiri- pdf/yamak-tanriover.pdf, (05.08.2009).
There are 36 citations in total.

Details

Primary Language tr;en
Journal Section Makaleler
Authors

Sevda Yapraklı This is me

Z.çağlar Yurttançıkmaz This is me

Publication Date July 6, 2011
Published in Issue Year 2010 Volume: 24 Issue: 3

Cite

APA Yapraklı, S., & Yurttançıkmaz, Z. (2011). TÜRKİYE’DE GİBSON ÇELİŞKİSİNİN GEÇERLİLİĞİ: EKONOMETRİK BİR ANALİZ (1970-2009). Atatürk Üniversitesi İktisadi Ve İdari Bilimler Dergisi, 24(3), 23-39.

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