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The Hypothesis of Neutrality of Money: Panel Data Analysis

Year 2018, Volume: 13 Issue: 52, 322 - 327, 31.10.2018
https://doi.org/10.19168/jyasar.453226

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

References

  • Altıner, Ali and Toktaş, Yılmaz. 2017. “The effects of Innovation on economic Growth in the Emerging Market Economics: Panel Data Analysis”. Journal of Current Researches on Business and Economics 7(2): 478-496.
  • Aslan, Özgür and Korap, Levent. 2007. “Testing Quantity Theory of Money for the Turkish Economy”. BDDK Bankacılık ve Finansal Piyasalar Dergisi 1(2):93-109.
  • Bae, Sang-Kun. and Jensen, Mark J. and Murdock, Scott G. 2005. “Long-Run Neutrality in a Fractionally Integrated Model”. Journal of Macroeconomics 27(2):257-274.
  • Barro, Robert J. 1977. “Unanticipated Money Growth and Unemployment in the United States”. American Economic Review 67(2):101-115.
  • Bohara, Alok K. 1991. “Testing the Rational-Expectations Hypothesis: Further Evidence”. Journal of Business & Economic Statistics 9(3):337-340.
  • Büyükılgaz, Utku. 2016. “Paranın Yansızlığı Hipotezinin Orta Doğu Ülkeleri için Test Edilmesi”. Ekonomi, Politika & Finans Araştırmaları Dergisi 1(1-2):6-12.
  • Cuñado, Juncal and Gil-Alana, Luis A. and Pérez De Gracia, Fernando. 2009. “New Evidence on Long-Run Monetary Neutrality”. Journal of Applied Economics 12:229-248.
  • Dumitrescu, Elena-Ivona and Hurlin, Christophe 2012. “Testing for Granger Non-Causality in Heterogeneous Panels”. Economic Modelling 29(4):1450-1460.
  • Evans, Paul. 1996. “Growth and the Neutrality of Money”. Empirical Economics 21(1):187-202.
  • Güney, Selami and Alacahan Dilbaz, Nur. 2012. “Parasal Aktarım Mekanizmaları ve Türkiye Değerlendirmesi”. Akademik Bakış Dergisi 33(Kasım-Aralık):1-13.
  • Jha, Raghbendra and Donde, Kshitija 2001. “The Real Effects of Anticipated and Unanticipated Money: A Test of the Barro Proposition in the Indian Context”. Indian Economic Journal, 49(1):21-30.
  • Khatri-Chettri, Janardan, Ampon, Kittiampon and Myles, S. Wallace. 1990. “Anticipated and Unanticipated Money in Thailand”. The American Economist 34:83-87.
  • Lee, Junsoo and Strazicich, Mark C. 2003. “Minimum Lagrange Multiplier Unit Root Test with Two Structural Breaks”. The Review of Economics and Statistics 85(2):1082-1089.
  • Mishkin, F. S. 1982. Does anticipated monetary policy matter? An econometric ınvestigation. Journal of Political Economy, 90(1):22-51.
  • Moosa, Imad 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.
  • Pesaran, M. Hashem. 2004. General diagnostic tests for cross section dependence in panels. (Working Paper No:0435), University of Cambridge, Cambridge.
  • Pesaran, M. Hashem. (2007). “A Simple Panel Unit Root in the Presence of Cross-Section Dependence”. Journal of Applied Econometrics 22:265-312.
  • Pesaran, M. H. and Yamagata, T. 2008. “Testing Slope Homogeneity in Large Panels”. Journal of Econometrics, 142(1):50-93.
  • Rahman, Jahanur and Toyoda, Toshihisa 2008. “An Empirical Study on Long-Run Neutrality of Money in the Japanese Economy”. Japanese Economy 35(3):87-117.
  • Saatçioğlu, Cem and Korap, Levent. 2009. The Search for Co-Integration between Money, Prices and Income: Low Frequency Evidence from the Turkish Economy. MPRA Paper No. 19557.
  • Serletis, Apostolos and Koustas, Zisimos. 1998. “International Evidence on the Neutrality of Money”. Journal of Money, Credit, and Banking 30(1):1-25.
  • Smith, Jeremy and McAleer, Michael. 1993. “On the Robustness of Barro's New Classical Unemployment Model”. Applied Economics 25(3):349-360.
  • Sulku, Seher Nur. 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, George B. 2007. “Testing the Hypothesis of Long-Run Money Neutrality in the Middle East”. Journal of Economic Studies 34(1):13-28.
  • Tuğcu, Can Tansel. 2015. “Paranın Yansızlığı Hipotezinin Testi: Türkiye Ekonomisi için Yapısal Kırılmalı Eşbütünleşme Analizi”. İktisat Politikaları Araştırmaları Dergisi 2(1):17-31.
  • Westerlund, Joakim. 2007. “Testing for Error Correction in Panel Data”. Oxford Bulletin of Economics and Statistics 69(6):709-748.
  • Westerlund, Joakim and Costantini, Mauro. 2009. “Panel Cointegration and the Neutrality of Money”. Empirical Economics 36(1):1-26.

Paranın Yansızlığı Hipotezi: Panel Veri Analizi

Year 2018, Volume: 13 Issue: 52, 322 - 327, 31.10.2018
https://doi.org/10.19168/jyasar.453226

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

References

  • Altıner, Ali and Toktaş, Yılmaz. 2017. “The effects of Innovation on economic Growth in the Emerging Market Economics: Panel Data Analysis”. Journal of Current Researches on Business and Economics 7(2): 478-496.
  • Aslan, Özgür and Korap, Levent. 2007. “Testing Quantity Theory of Money for the Turkish Economy”. BDDK Bankacılık ve Finansal Piyasalar Dergisi 1(2):93-109.
  • Bae, Sang-Kun. and Jensen, Mark J. and Murdock, Scott G. 2005. “Long-Run Neutrality in a Fractionally Integrated Model”. Journal of Macroeconomics 27(2):257-274.
  • Barro, Robert J. 1977. “Unanticipated Money Growth and Unemployment in the United States”. American Economic Review 67(2):101-115.
  • Bohara, Alok K. 1991. “Testing the Rational-Expectations Hypothesis: Further Evidence”. Journal of Business & Economic Statistics 9(3):337-340.
  • Büyükılgaz, Utku. 2016. “Paranın Yansızlığı Hipotezinin Orta Doğu Ülkeleri için Test Edilmesi”. Ekonomi, Politika & Finans Araştırmaları Dergisi 1(1-2):6-12.
  • Cuñado, Juncal and Gil-Alana, Luis A. and Pérez De Gracia, Fernando. 2009. “New Evidence on Long-Run Monetary Neutrality”. Journal of Applied Economics 12:229-248.
  • Dumitrescu, Elena-Ivona and Hurlin, Christophe 2012. “Testing for Granger Non-Causality in Heterogeneous Panels”. Economic Modelling 29(4):1450-1460.
  • Evans, Paul. 1996. “Growth and the Neutrality of Money”. Empirical Economics 21(1):187-202.
  • Güney, Selami and Alacahan Dilbaz, Nur. 2012. “Parasal Aktarım Mekanizmaları ve Türkiye Değerlendirmesi”. Akademik Bakış Dergisi 33(Kasım-Aralık):1-13.
  • Jha, Raghbendra and Donde, Kshitija 2001. “The Real Effects of Anticipated and Unanticipated Money: A Test of the Barro Proposition in the Indian Context”. Indian Economic Journal, 49(1):21-30.
  • Khatri-Chettri, Janardan, Ampon, Kittiampon and Myles, S. Wallace. 1990. “Anticipated and Unanticipated Money in Thailand”. The American Economist 34:83-87.
  • Lee, Junsoo and Strazicich, Mark C. 2003. “Minimum Lagrange Multiplier Unit Root Test with Two Structural Breaks”. The Review of Economics and Statistics 85(2):1082-1089.
  • Mishkin, F. S. 1982. Does anticipated monetary policy matter? An econometric ınvestigation. Journal of Political Economy, 90(1):22-51.
  • Moosa, Imad 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.
  • Pesaran, M. Hashem. 2004. General diagnostic tests for cross section dependence in panels. (Working Paper No:0435), University of Cambridge, Cambridge.
  • Pesaran, M. Hashem. (2007). “A Simple Panel Unit Root in the Presence of Cross-Section Dependence”. Journal of Applied Econometrics 22:265-312.
  • Pesaran, M. H. and Yamagata, T. 2008. “Testing Slope Homogeneity in Large Panels”. Journal of Econometrics, 142(1):50-93.
  • Rahman, Jahanur and Toyoda, Toshihisa 2008. “An Empirical Study on Long-Run Neutrality of Money in the Japanese Economy”. Japanese Economy 35(3):87-117.
  • Saatçioğlu, Cem and Korap, Levent. 2009. The Search for Co-Integration between Money, Prices and Income: Low Frequency Evidence from the Turkish Economy. MPRA Paper No. 19557.
  • Serletis, Apostolos and Koustas, Zisimos. 1998. “International Evidence on the Neutrality of Money”. Journal of Money, Credit, and Banking 30(1):1-25.
  • Smith, Jeremy and McAleer, Michael. 1993. “On the Robustness of Barro's New Classical Unemployment Model”. Applied Economics 25(3):349-360.
  • Sulku, Seher Nur. 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, George B. 2007. “Testing the Hypothesis of Long-Run Money Neutrality in the Middle East”. Journal of Economic Studies 34(1):13-28.
  • Tuğcu, Can Tansel. 2015. “Paranın Yansızlığı Hipotezinin Testi: Türkiye Ekonomisi için Yapısal Kırılmalı Eşbütünleşme Analizi”. İktisat Politikaları Araştırmaları Dergisi 2(1):17-31.
  • Westerlund, Joakim. 2007. “Testing for Error Correction in Panel Data”. Oxford Bulletin of Economics and Statistics 69(6):709-748.
  • Westerlund, Joakim and Costantini, Mauro. 2009. “Panel Cointegration and the Neutrality of Money”. Empirical Economics 36(1):1-26.
There are 27 citations in total.

Details

Primary Language English
Journal Section Articles
Authors

Eda Bozkurt 0000-0001-7158-8049

Publication Date October 31, 2018
Published in Issue Year 2018 Volume: 13 Issue: 52

Cite

APA Bozkurt, E. (2018). The Hypothesis of Neutrality of Money: Panel Data Analysis. Yaşar Üniversitesi E-Dergisi, 13(52), 322-327. https://doi.org/10.19168/jyasar.453226
AMA Bozkurt E. The Hypothesis of Neutrality of Money: Panel Data Analysis. Yaşar Üniversitesi E-Dergisi. October 2018;13(52):322-327. doi:10.19168/jyasar.453226
Chicago Bozkurt, Eda. “The Hypothesis of Neutrality of Money: Panel Data Analysis”. Yaşar Üniversitesi E-Dergisi 13, no. 52 (October 2018): 322-27. https://doi.org/10.19168/jyasar.453226.
EndNote Bozkurt E (October 1, 2018) The Hypothesis of Neutrality of Money: Panel Data Analysis. Yaşar Üniversitesi E-Dergisi 13 52 322–327.
IEEE E. Bozkurt, “The Hypothesis of Neutrality of Money: Panel Data Analysis”, Yaşar Üniversitesi E-Dergisi, vol. 13, no. 52, pp. 322–327, 2018, doi: 10.19168/jyasar.453226.
ISNAD Bozkurt, Eda. “The Hypothesis of Neutrality of Money: Panel Data Analysis”. Yaşar Üniversitesi E-Dergisi 13/52 (October 2018), 322-327. https://doi.org/10.19168/jyasar.453226.
JAMA Bozkurt E. The Hypothesis of Neutrality of Money: Panel Data Analysis. Yaşar Üniversitesi E-Dergisi. 2018;13:322–327.
MLA Bozkurt, Eda. “The Hypothesis of Neutrality of Money: Panel Data Analysis”. Yaşar Üniversitesi E-Dergisi, vol. 13, no. 52, 2018, pp. 322-7, doi:10.19168/jyasar.453226.
Vancouver Bozkurt E. The Hypothesis of Neutrality of Money: Panel Data Analysis. Yaşar Üniversitesi E-Dergisi. 2018;13(52):322-7.