BİR PARA TALEBİ EŞİTLİĞİNDE REEL GELİR VE FİYATLAR İÇİN BAĞDAŞIKLIĞIN SINANMASI: TÜRKİYE ÖRNEĞİ

Abstract

Bu çalışmada, dar ve geniş tanımlı parasal büyüklükleri kullanan para talebi modellerinin Türkiye ekonomisi için oluşturulmasına çalışılmıştır. Bazı çağdaş eş- bütünleşim tahmin yöntemlerinin 1987-2007 dönemi için üçer aylık verilerle kullanılması sonucu elde ettiğimiz bulgular dar-tanımlı parasal büyüklükler için birim reel gelir esnekliği varsayımının reddedilemeyeceğini, fakat böyle bir bulgunun birim fiyat esnekliği varsayımı için elde edilemediğini göstermektedir. Geniş-tanımlı parasal büyüklükler için bu durumun tersinin geçerli olduğu, yani birim fiyat esnekliği varsayımının reddedilemediği, fakat birim reel gelir esnekliğine destek verilemediği gözlenmiştir. Ayrıca, faiz oranı parasal büyüklük tutumuna almaşık bir maliyet şeklinde yalnızca istatistiksel olarak geniş para talebi eşitliği için anlamlı bulunmuştur.

Keywords

• Para Talebi, Fiyatlar, Reel Gelir, Bağdaşıklık, Türkiye Ekonomisi

References

1. ALTINKEMER, M. (2004), “Importance of Base Money Even When Inflation Targeting”, CBRT Research Department Working Paper, No. 04/04.
2. BAHMANI-OSKOOEE, M., KARACAL, M. (2006), “The Demand for Money in Turkey and Currency Substitution”, Applied Economics Letters, Vol. 13, pp.
3. BAUMOL, W.J. (1952), “The Transactions Demand for Cash: An Inventory Theoretic Approach”, Quarterly Journal of Economics, Vol. 66, pp. 545-56.
4. CHOUDHRY, T. (1995), “High Inflation Rates and the Long-Run Money Demand Function: Evidence from Cointegration Tests”, Journal of Macroeconomics, Vol. 17, No. 1, pp. 77-91.
5. CIVCIR, İ. (2003), “Broad Money Demand and Currency Substitution in Turkey”, Journal of Developing Areas, Vol. 36, pp. 127-44.
6. COOLEY, T.F., LEROY, S. (1981), “Identification and Estimation of Money Demand”, American Economic Review, Vol. 71, No. 5, pp. 825-44.
7. DEKLE, R., PRADHAN, M. (1997), “Financial Liberalization and Money Demand in ASEAN Countries: Implications for Monetary Policy”, IMF Working Paper, No. 97/36.
8. DICKEY, D.A., FULLER, W.A. (1981), “Likelihood Ratio Statistics for Autoregressive Time Series with Unit Roots”, Econometrica, Vol. 49, pp. 1057-072.

9. ELLIOT, G., ROTHENBERG, T.J. and STOCK, J.H. (1996), “Efficient Tests for an Autoregressive Unit Root”, Econometrica, Vol. 64, pp. 813-36.
10. ENGLE, R.F., GRANGER, C.W.J. (1987), “Co-integration and Error Correction: Representation, Estimation, and Testing”, Econometrica, Vol. 55, pp. 251-76.
11. FRIEDMAN, M. (1959), “The Demand for Money: Some Theoretical and Empirical Results”, Journal of Political Economy, Vol. 67, No. 4, pp. 327-51.
12. FRIEDMAN, B.M., KUTNER, K.N. (1992), “Money, Income, Prices and Interest Rates”, American Economic Review, vol. 82, No. 3, pp. 472-92.
13. FUNKE, N., THORNTON, J. (1999), “The Demand for Money in Italy, 1861-1988”, Applied Economics Letters, Vol. 6, pp. 299-301.
14. GONZALO, J. (1994), “Five Alternative Methods of Estimating Long-Run Equilibrium Relationships”, Journal of Econometrics, Vol. 60, pp. 203-33.
15. GÖKTAŞ, Ö. (2005), Teorik ve Uygulamalı Zaman Serileri Analizi. İstanbul: Beşir Kitabevi.
16. GRANGER, C.W.J., NEWBOLD, P. (1974), “Spurious Regressions in Economics”, Journal of Econometrics, Vol. 2, No. 2, pp. 111-20.
17. HAFER, R.W., KUTAN, A.M. (1994), “Economic Reforms and Long-Run Money Demand in China: Implications for Monetary Policy”, Southern Economic Journal, Vol. 60, No. 4, pp. 936-45.
18. HARRIS, R. and SOLLIS, R. (2003), Applied Time Series Modelling and Forecasting, John Wiley & Sons Ltd., England.
19. HOFFMAN, D.L. and RASCHE, R.H. (1996), Aggregate Money Demand Functions, Kluwer Academic Publishers.
20. JEVONS, W.S. (1884), Investigations in Currency and Finance, London: MacMillan.
21. JOHANSEN, S. (1988), “Statistical Analysis of Cointegration Vectors”, Journal of Economic Dynamics and Control, Vol. 12, pp. 231-54.
22. JOHANSEN, S. (1992), “Determination of Cointegration Rank in the Presence of a Linear Trend”, Oxford Bulletin of Economics and Statistics, Vol. 54, No. 3, pp.
23. JOHANSEN, S., JUSELIUS, K. (1990), “Maximum Likelihood Estimation and Inference on Cointegration-with Applications to the Demand for Money”, Oxford Bulletin of Economics and Statistics, Vol. 52, pp. 169-210.
24. JUDD, J.P., SCADDING, J.L. (1982), “The Search for a Stable Money Demand Function: A Survey of the Post-1973 Literature”, Journal of Economic Literature, vol. 20, No. 3, pp. 993-1023.
25. LAIDLER, E.W.D. (1993), The Demand for Money: Theories, Evidence and Problems. 4th ed. New York: Harper Collins College Publishers.
26. METIN, K. (1994), “Modelling The Demand for Narrow Money in Turkey”, METU Studies in Development, Vol. 21, No. 2, pp. 231-56.
27. METIN, K. (1995), The Analysis of Turkish Inflation: The Case of Turkey (1948 – 1988),
28. Capital Markets Board, Pub. No: 20.
29. MILLER, S.M. (1991), “Monetary Dynamics: An Application of Cointegration and Error-Correction Modeling”, Journal of Money, Credit, and Banking, Vol. 23, No. 2, pp. 139-54.
30. OSTERWALD-LENUM, M. (1992), “A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics”, Oxford Bulletin of Economics and Statistics, Vol. 54, pp. 461-72.
31. ÖZMEN, E. (1998), “Is Currency Seigniorage Exogeneous for Inflation Tax in Turkey”, Applied Economics, Vol. 30, No. 4, pp. 545-52.
32. PERRON, P. (1989), “The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis”, Econometrica, Vol. 57, pp. 1361-401.
33. SRIRAM, S.S. (2001), “A Survey of Recent Empirical Money Demand Studies”, IMF Staff Papers, Vol. 47, No. 3, pp. 334-65.
34. THORNTON, J. (1998), “The Long-run Demand for Currency and Broad Money in Italy, 1861-1980”, Applied Economics Letters, Vol. 5, pp. 157-59.
35. TOBIN, J. (1956), “The Interest-Elasticiy of Transactions Demand for Cash”, Review of Economics and Statistics, Vol. 38, No. 3, pp. 241-47.
36. TOBIN, J. (1958), “Liquidity Preference as Behavior towards Risk”, Review of Economic Studies, Vol. 25, No. 2, pp. 65-86.
37. YULE, G. (1926), “Why do We Sometimes Get Nonsense Correlations between Time Series? A Study in Sampling and the Nature of Time Series”, Journal of Royal Statistical Society, Vol. 89, pp. 1-64.
38. ZIVOT, E. and ANDREWS, D.W.K. (1992), “Further Evidence of Great Crash, the Oil Price Shock and the Unit Root Hypothesis”, Journal of Business and Economic Statistics, Vol. 10, pp. 251-70.