Türkiye’de Gibson Paradoksunun Geçerliliği: Maki Eşbütünleşme Testi

Year 2021, Volume: 6 Issue: 2, 226 - 235, 30.12.2021

Hakan Bakkal

Abstract

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.   

Keywords

Faiz, Enflasyon, Türkiye, Gibson Paradoksu, Eşbütünleşme Testi

The Validity of Gibson Paradox in Turkey: Maki Cointegration Test

Abstract

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.

Keywords

interest Rate, İnflation, Turkey, Gibson Paradox, Cointegration Test

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