The Hypothesis of Neutrality of Money: Panel Data Analysis

Year 2018, Volume: 13 Issue: 52, 322 - 327, 31.10.2018

Eda Bozkurt

https://doi.org/10.19168/jyasar.453226

Cited By: 2

Abstract

In the present study,
it was examined if the hypothesis of neutrality of money applies to Turkey and
the member countries of Shanghai Cooperation Organization. For this purpose, the
data obtained for the period between 2000 and 2016 were examined using panel
data analyses. Economic growth was used as dependent variable, whereas the
annual growth rate of monetary supply as used as independent variable. Within the
context of analysis, firstly the horizontal cross-sectional dependence tests
were implemented. Then, according to the results of tests, the CADF unit root
test was applied. Since the variables are stationary at various levels, the
cointegration test was implemented. The results of Durbin-Hausmann Cointegration
Test showed that there was no cointegration relationship for the groups but
there was a cointegration relationship in the panel. In this case, the
hypothesis of neutrality of money does not apply to the current panel. In the
present study, Dumitrescu-Hurlin Panel Causality Test was applied finally, and
it was revealed that there was a causality relationship between the money
supply and output

Keywords

Cointegration, Panel Data Analysis, Neutrality of Money, Shanghai Cooperation Organization

Paranın Yansızlığı Hipotezi: Panel Veri Analizi

Abstract

Çalışmada paranın
yansızlığı hipotezinin Türkiye ve Şanghay İşbirliği Örgütü’ne üye ülkelerde
geçerli olup olmadığı araştırılmıştır. Bu amaç doğrultusunda 2000-2016 yılları
arasında ele alınan verilere panel veri analizleri uygulanmıştır. Bağımlı
değişken olarak ekonomik büyüme ve bağımsız değişken olarak para arzındaki
yıllık büyüme oranı kullanılmıştır. Analiz kapsamında ilk olarak yatay kesit
bağımlılığı testlerine yer verilmiştir. Daha sonra test sonuçlarına uygun
olarak CADF birim kök testi uygulanmıştır. Değişkenlerin farklı derecede
durağan olmaları sebebiyle eşbütünleşme testine geçilmiştir. Durbin-Hausmann
Eş-Bütünleşme Testi sonuçları grup için eşbütünleşme ilişkisinin olmadığını,
panelde ise eşbütünleşme ilişkisinin varlığını göstermiştir. Bu durumda paranın
yansızlığı hipotezi grup için geçerli panel için geçerli değildir. Araştırmada
son olarak Dumitrescu-Hurlin Panel Nedensellik Testi yapılmış ve bulgular para
arzı ile çıktı arasında nedensel ilişki olduğunu ortaya koymuştur

Keywords

Eşbütünleşme, Panel Veri Analizi, Paranın Yansızlığı, Şanghay İşbirliği Örgütü

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