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TESTING THE NEUTRALITY OF MONEY HYPOTHESIS FOR TURKEY

Year 2020, Volume: 16 Issue: 2, 475 - 488, 31.12.2020

Abstract

In this study, the existence of a long-run relationship between the real GDP and money supply (M1, M2, M3) is tested for Turkey for the period between 1998:Q1-2018:Q3 using quarterly data. The stationary of variables is examined by Fourier ADF unit root test, and it is determined that all of them stationary at the first differences. Then, the Fourier ADL cointegration test is run to investigate the long-run relationship between variables. The analysis showed that monetary expansion does not affect the real economic activity, and the neutrality of money hypothesis is valid in Turkey.

References

  • Ahmed, A. E. M. & Suliman, S. Z. (2011). The Long–run Relationship between Money Supply, Real GDP, and Price Level: Empirical Evidence from Sudan, Journal of Business Studies Quarterly, 2(2), 68-79.
  • Altunöz, U. (2018). Monetaristler mi Haklı Keynesyenler mi? Türkiye Ekonomisi için Para ve Maliye Politikasının Etkinliği Analizi, Uluslararası Sosyal Araştırmalar Dergisi, 11(56), 695-708.
  • Aslan, Ö. & Korap, L. (2007). Testing Quantity Theory of Money for the Turkish Economy, BDDK Bankac›l›k ve Finansal Piyasalar, 1(2), 93-109.
  • Asongu, S. A. (2013). Does Money Matter in Africa? New Empirics on Long- and Short-run Effects of Monetary Policy on Output and Prices, MPRA Paper 48494, 1-43.
  • Bae, S. K. & Ratti, R. A. (2000). Long-run neutrality, high inflation, and bank insolvencies in Argentina and Brazil, Journal of Monetary Economics, 46(3), 581-604.
  • Banerjee, P. vd. (2017). Fourier ADL Cointegration Test to Approximate Smooth Breaks with New Evidence from Crude Oil Market, Economic Modelling, 67(C), 114-124.
  • Becker, R. vd. (2006). A Stationarity Test in the Presence of an Unknown Number of Smooth Breaks, Journal of Time Series Analysis, 27(3), 381-409.
  • Bozkurt, E. (2018). The Hypothesis of Neutrality of Money: Panel Data Analysis, Journal of Yasar University, 13(52), 322-327.
  • Büyükılgaz, U. (2016). Paranın Yansızlığı Hipotezinin Orta Doğu Ülkeleri İçin Test Edilmesi, Ekonomi Politika ve Finans Araştırmaları Dergisi, 1(1-2), 6-12.
  • Chen, S. W. (2007). Evidence of the Long-Run Neutrality of Money: The Case of South Korea and Taiwan, Economics Bulletin, 3(64), 1-18.
  • Christopoulos, D. K. & Leon-Ledesma, M. A. (2010). Smooth Breaks and Non-linear Mean Reversion: Post-Bretton Woods Real Exchange Rates, Journal of International Money and Finance, 29(6), 1076-1093.
  • Davidson, P. (1987). Sensible Expectations and the Long-Run Non-Neutrality of Money, Journal of Post Keynesian Economics, 10(1), 146-153.
  • Ergeç, E. H. (2004). Finansal Gelişme ile Ekonomik Büyüme Arasındaki Nedensellik İlişkisi ve Türkiye Örneği: 1988-2001, Osmangazi Üniversitesi Sosyal Bilimler Dergisi, 5(2), 51-66.
  • Hussain, M. E. & Haque, M. (2017). Empirical Analysis of the Relationship between Money Supply and Per Capita GDP Growth Rate in Bangladesh, Journal of Advances in Economics and Finance, 2(1), 54-66.
  • İhsan, I. & Anjum, S. (2013). Impact of Money Supply (M2) on GDP of Pakistan, Global Journal of Management and Business Research Finance, 13(6), 1-8.
  • Moosa, I. A. (1997). Testing the Long-run Neutrality of Money in A Developing Economy: The Case of India, Journal of Development Economics, 53(1), 139-155.
  • Myrdal, G. (1939). Fiscal Policy in the Business Cycle, The American Economic Review, 29(1), 183-193.
  • Nogueira, R. P. (2009). Is Monetary Policy Really Neutral in the Long-run? Evidence for Some Emerging and Developed Economies, Economics Bulletin, 29(3), 2432-2437.
  • Ogunmuyiwa, M. S. & Ekone, A. F. (2010). Money Supply-Economic Growth Nexus in Nigeria, J Soc Sci, 22(3), 199-204.
  • Oi, H. vd. (2004). On Long-Run Monetary Neutrality in Japan, Monetary and Economic Studies, 22(3), 79-113.
  • Onyeiwu, C. (2012). Monetary Policy and Economic Growth of Nigeria, Journal of Economics and Sustainable Development, 3(7), 62-71.
  • Oruç, S. & Turgut, A. (2014). Finansal Derinleşme, Ekonomik Büyüme ve Türk Finans Sistemi (1990-2010), Selçuk Üniversitesi Sosyal Bilimler Enstitüsü Dergisi Dr. Mehmet Yıldız Özel Sayısı, 109-118.
  • Öztürk, N. vd. (2010). Gelişmekte Olan Piyasalarda Finansal Derinleşme ve Büyüme İlişkisi: Panel Veri Analizi, ZKÜ Sosyal Bilimler Dergisi, 6(12), 95-119.
  • Öztürk, S. & Çoltu, S. (2018). Finansal Derinleşmenin Ekonomik Büyümeye Etkisi 2001-2016 Yılları Türkiye Örneği, Gaziantep University Journal of Social Sciences, 17(4), 1516-1535.
  • Pishbahar, E. & Rasouli, Z. (2019). Testing for Neutrality and Super-neutrality of Money: Evidence from Iran’s Agricultural Sector, Sustainable Agriculture and Agribusiness in Iran: Perspectives on Development in the Middle East and North Africa (MENA) Region, Ed. Rasgidghalam, M., 151-161.
  • Puah, C. H. vd. (2015). Does Money Matter in Indonesia? Revisiting Divisia Money, Journal of International Finance and Economics, 15(2), 7-12.
  • Qayyum, A. (2006). Money, Inflation, and Growth in Pakistan, The Pakistan Development Review, 45(2), 203-212.
  • Saatçioğlu, C. & Korap, L. (2008). Long-run Relations between Money, Prices and Output: The Case of Turkey, ZKÜ Sosyal Bilimler Dergisi, 4(7), 33-54.
  • Serletis, A. & Koustas, Z. (1998). International Evidence on the Neutrality of Money, Journal of Money, Credit and Banking, 30(1), 1-25.
  • Simionescu, M. vd. (2018). The Impact of Money on Output in Czech Republic and Romania, Journal of Business Economics and Management, 19(1), 20-41.
  • Subrick, J. R. (2010). Money is Non-neutral, Handbook on Contemporary Austrian Economics, Ed. Boettke, P. J., Chapter 8, 111-123.
  • Sülkü, S. N. (2011). Testing the Long Run Neutrality of Money in a Developing Country: Evidence from Turkey, Journal of Applied Economics and Business Research, 1(2), 65-74.
  • Tawadros, G. B. (2007). Testing the Hypothesis of Long-run Money Neutrality in the Middle East, Journal of Economic Studies, 34(1), 13-28.
  • Tuğcu, C. T. (2015). Paranın Yansızlığı Hipotezinin Testi: Türkiye Ekonomisi için Yapısal Kırılmalı Eşbütünleşme Analizi, İktisat Politikası Araştırmaları Dergisi, 2(1), 17-31.
  • Westerlund, J. & Costantini, M. (2009). Panel Cointegration and the Neutrality of Money, Empirical Economics, 36(1), 1-26.
  • Yılancı, V. vd. (2019). The Asymmetric Effects of Foreign Direct Investment on Clean Energy Consumption in BRICS Countries: A Recently Introduced Hidden Cointegration Test, Journal of Cleaner Production, 237(1), 1-9.

PARANIN YANSIZLIĞI HİPOTEZİNİN TÜRKİYE İÇİN SINANMASI

Year 2020, Volume: 16 Issue: 2, 475 - 488, 31.12.2020

Abstract

Bu çalışmada, Türkiye’de reel GSYİH ile M1, M2 ve M3 para arzı arasındaki uzun dönemli ilişkinin varlığı 1998:Q1-2018:Q3 dönemine ait üç aylık veriler kullanılarak sınanmıştır. Değişkenlerin durağanlık durumları Fourier ADF birim kök testi ile incelenmiş ve hepsinin birinci farkı alındığında durağan hale geldiği tespit edilmiştir. Daha sonra, değişkenler arasındaki uzun dönemli ilişkiyi araştırmak amacıyla Fourier ADL eşbütünleşme testi uygulanmıştır. Analiz sonucunda, parasal genişlemenin reel ekonomik aktivite üzerinde etkili olmadığı ve Türkiye’de paranın yansızlığı hipotezinin geçerli olduğu tespit edilmiştir.

References

  • Ahmed, A. E. M. & Suliman, S. Z. (2011). The Long–run Relationship between Money Supply, Real GDP, and Price Level: Empirical Evidence from Sudan, Journal of Business Studies Quarterly, 2(2), 68-79.
  • Altunöz, U. (2018). Monetaristler mi Haklı Keynesyenler mi? Türkiye Ekonomisi için Para ve Maliye Politikasının Etkinliği Analizi, Uluslararası Sosyal Araştırmalar Dergisi, 11(56), 695-708.
  • Aslan, Ö. & Korap, L. (2007). Testing Quantity Theory of Money for the Turkish Economy, BDDK Bankac›l›k ve Finansal Piyasalar, 1(2), 93-109.
  • Asongu, S. A. (2013). Does Money Matter in Africa? New Empirics on Long- and Short-run Effects of Monetary Policy on Output and Prices, MPRA Paper 48494, 1-43.
  • Bae, S. K. & Ratti, R. A. (2000). Long-run neutrality, high inflation, and bank insolvencies in Argentina and Brazil, Journal of Monetary Economics, 46(3), 581-604.
  • Banerjee, P. vd. (2017). Fourier ADL Cointegration Test to Approximate Smooth Breaks with New Evidence from Crude Oil Market, Economic Modelling, 67(C), 114-124.
  • Becker, R. vd. (2006). A Stationarity Test in the Presence of an Unknown Number of Smooth Breaks, Journal of Time Series Analysis, 27(3), 381-409.
  • Bozkurt, E. (2018). The Hypothesis of Neutrality of Money: Panel Data Analysis, Journal of Yasar University, 13(52), 322-327.
  • Büyükılgaz, U. (2016). Paranın Yansızlığı Hipotezinin Orta Doğu Ülkeleri İçin Test Edilmesi, Ekonomi Politika ve Finans Araştırmaları Dergisi, 1(1-2), 6-12.
  • Chen, S. W. (2007). Evidence of the Long-Run Neutrality of Money: The Case of South Korea and Taiwan, Economics Bulletin, 3(64), 1-18.
  • Christopoulos, D. K. & Leon-Ledesma, M. A. (2010). Smooth Breaks and Non-linear Mean Reversion: Post-Bretton Woods Real Exchange Rates, Journal of International Money and Finance, 29(6), 1076-1093.
  • Davidson, P. (1987). Sensible Expectations and the Long-Run Non-Neutrality of Money, Journal of Post Keynesian Economics, 10(1), 146-153.
  • Ergeç, E. H. (2004). Finansal Gelişme ile Ekonomik Büyüme Arasındaki Nedensellik İlişkisi ve Türkiye Örneği: 1988-2001, Osmangazi Üniversitesi Sosyal Bilimler Dergisi, 5(2), 51-66.
  • Hussain, M. E. & Haque, M. (2017). Empirical Analysis of the Relationship between Money Supply and Per Capita GDP Growth Rate in Bangladesh, Journal of Advances in Economics and Finance, 2(1), 54-66.
  • İhsan, I. & Anjum, S. (2013). Impact of Money Supply (M2) on GDP of Pakistan, Global Journal of Management and Business Research Finance, 13(6), 1-8.
  • Moosa, I. A. (1997). Testing the Long-run Neutrality of Money in A Developing Economy: The Case of India, Journal of Development Economics, 53(1), 139-155.
  • Myrdal, G. (1939). Fiscal Policy in the Business Cycle, The American Economic Review, 29(1), 183-193.
  • Nogueira, R. P. (2009). Is Monetary Policy Really Neutral in the Long-run? Evidence for Some Emerging and Developed Economies, Economics Bulletin, 29(3), 2432-2437.
  • Ogunmuyiwa, M. S. & Ekone, A. F. (2010). Money Supply-Economic Growth Nexus in Nigeria, J Soc Sci, 22(3), 199-204.
  • Oi, H. vd. (2004). On Long-Run Monetary Neutrality in Japan, Monetary and Economic Studies, 22(3), 79-113.
  • Onyeiwu, C. (2012). Monetary Policy and Economic Growth of Nigeria, Journal of Economics and Sustainable Development, 3(7), 62-71.
  • Oruç, S. & Turgut, A. (2014). Finansal Derinleşme, Ekonomik Büyüme ve Türk Finans Sistemi (1990-2010), Selçuk Üniversitesi Sosyal Bilimler Enstitüsü Dergisi Dr. Mehmet Yıldız Özel Sayısı, 109-118.
  • Öztürk, N. vd. (2010). Gelişmekte Olan Piyasalarda Finansal Derinleşme ve Büyüme İlişkisi: Panel Veri Analizi, ZKÜ Sosyal Bilimler Dergisi, 6(12), 95-119.
  • Öztürk, S. & Çoltu, S. (2018). Finansal Derinleşmenin Ekonomik Büyümeye Etkisi 2001-2016 Yılları Türkiye Örneği, Gaziantep University Journal of Social Sciences, 17(4), 1516-1535.
  • Pishbahar, E. & Rasouli, Z. (2019). Testing for Neutrality and Super-neutrality of Money: Evidence from Iran’s Agricultural Sector, Sustainable Agriculture and Agribusiness in Iran: Perspectives on Development in the Middle East and North Africa (MENA) Region, Ed. Rasgidghalam, M., 151-161.
  • Puah, C. H. vd. (2015). Does Money Matter in Indonesia? Revisiting Divisia Money, Journal of International Finance and Economics, 15(2), 7-12.
  • Qayyum, A. (2006). Money, Inflation, and Growth in Pakistan, The Pakistan Development Review, 45(2), 203-212.
  • Saatçioğlu, C. & Korap, L. (2008). Long-run Relations between Money, Prices and Output: The Case of Turkey, ZKÜ Sosyal Bilimler Dergisi, 4(7), 33-54.
  • Serletis, A. & Koustas, Z. (1998). International Evidence on the Neutrality of Money, Journal of Money, Credit and Banking, 30(1), 1-25.
  • Simionescu, M. vd. (2018). The Impact of Money on Output in Czech Republic and Romania, Journal of Business Economics and Management, 19(1), 20-41.
  • Subrick, J. R. (2010). Money is Non-neutral, Handbook on Contemporary Austrian Economics, Ed. Boettke, P. J., Chapter 8, 111-123.
  • Sülkü, S. N. (2011). Testing the Long Run Neutrality of Money in a Developing Country: Evidence from Turkey, Journal of Applied Economics and Business Research, 1(2), 65-74.
  • Tawadros, G. B. (2007). Testing the Hypothesis of Long-run Money Neutrality in the Middle East, Journal of Economic Studies, 34(1), 13-28.
  • Tuğcu, C. T. (2015). Paranın Yansızlığı Hipotezinin Testi: Türkiye Ekonomisi için Yapısal Kırılmalı Eşbütünleşme Analizi, İktisat Politikası Araştırmaları Dergisi, 2(1), 17-31.
  • Westerlund, J. & Costantini, M. (2009). Panel Cointegration and the Neutrality of Money, Empirical Economics, 36(1), 1-26.
  • Yılancı, V. vd. (2019). The Asymmetric Effects of Foreign Direct Investment on Clean Energy Consumption in BRICS Countries: A Recently Introduced Hidden Cointegration Test, Journal of Cleaner Production, 237(1), 1-9.
There are 36 citations in total.

Details

Primary Language Turkish
Subjects Economics
Journal Section Articles
Authors

Mustafa Orhan Özer 0000-0002-3222-9913

Publication Date December 31, 2020
Acceptance Date December 28, 2020
Published in Issue Year 2020 Volume: 16 Issue: 2

Cite

APA Özer, M. O. (2020). PARANIN YANSIZLIĞI HİPOTEZİNİN TÜRKİYE İÇİN SINANMASI. Ekonomik Ve Sosyal Araştırmalar Dergisi, 16(2), 475-488.

İletişim Adresi: Bolu Abant İzzet Baysal Üniversitesi İktisadi ve İdari Bilimler Fakültesi Ekonomik ve Sosyal Araştırmalar Dergisi 14030 Gölköy-BOLU

Tel: 0 374 254 10 00 / 14 86 Faks: 0 374 253 45 21 E-posta: iibfdergi@ibu.edu.tr

ISSN (Basılı) : 1306-2174 ISSN (Elektronik) : 1306-3553