GIBSON ÇELİŞKİSİNİN TÜRKİYE VERİLERİ İLE ANALİZİ

Year 2008, Volume: 10 Issue: 20, 115 - 127, 01.10.2008

Muammer Şimşek Cem Kadılar

Abstract

Bu çalışmada, uzun dönem faiz oranları iç borçlanma faiz oranları ile fiyat düzeyi logaritmik arasında güçlü pozitif ilişkinin bulunduğunu ifade eden Gibson çelişkisi, Türkiye Ekonomisi’nin 1987 I -2004 IV dönemine ilişkin mevsimsel verileri kullanarak test edilmektedir. Çalışmada, uygulamalı ekonometride Pesaran vd. 2001 tarafından yeni geliştirilen eşbütünleşmeye ARDL sınır testi yaklaşımı kullanılmaktadır. Elde edilen sonuçlar, Gibson’nın bulgularını desteklemektedir

Keywords

Nominal faiz oranı, fiyat düzeyi, Gibson çelişkisi, kısıtsız hata düzeltme modeli, eşbütünleşme analizi, ARDL, sınır testi, kritik sınır değerleri

THE GIBSON PARADOX: THE CASE OF TURKEY

Abstract

In this study, the Gibson paradox, which is the strong positive correlation between the price level measured by a log price index and the long-term nominal interest rate measured by the yield to maturity of long-term bonds, has been tested using Turkish quarterly data over the 1987 I - 2004 IV periods. Here, ARDL bounds testing approach to cointegration developed by Pesaran et al. 2001 in applied econometrics is used. Results support the Gibson’s findings in Turkey, as well

Keywords

Nominal interest rate, price level, Gibson paradox, unrestricted error correction model, cointegration analysis, ARDL, bounds testing, critical value bounds

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