Fiyat Düzeyinin Mali Teorisinin Türkiye İçin Fourier Temelli Ampirik Yaklaşımlarla Test Edilmesi

Abstract

Enflasyon, ortodoks yaklaşımlarda parasal bir olgu olarak tanıtılmaktadır. Ancak fiyat düzeyinin mali teorisi kapsamında dönemler arası bütçe kısıtının bugünkü değerini yükümlülüklerinden bağımsız bir biçimde belirleyen mali otoritenin uyguladığı politikaların fiyat düzeyi üzerinde belirleyici olabileceği savunulmaktadır. Bu çalışmada Fourier-ADL eş-bütünleşme ve Fourier Toda-Yamamoto nedensellik yaklaşımları kullanılarak Türkiye için fiyat düzeyinin mali teorisinin geçerliliği test edilmektedir. Elde edilen bulgular 1975-2021 dönemi kapsamında fiyat düzeyinin belirlenmesinde maliye politikasının etkili olduğuna işaret etmektedir.

Keywords

• Maliye Politikası
• Kamu Borcu
• FTPL
• Fourier-ADL

Testing the Fiscal Theory of Price Level for Türkiye with Fourier-Based Empirical Approaches

Abstract

Inflation is introduced as a monetary phenomenon in orthodox approaches. However, in the fiscal theory of the price level, the policies implemented by the fiscal authority, which determines the present value of intertemporal budget constraint independently of its liabilities, may be determinative of the price level. In this study, the validity of the fiscal theory of the price level for Türkiye was tested via the Fourier-ADL co-integration and Fourier Toda-Yamamoto causality approach. The findings indicate that fiscal policy was effective in determining the price level in the 1975-2021 period.

Keywords

• Fiscal Policy
• Public Debt
• FTPL
• Fourier-ADL

References

1. Afonso, A. (2008), “Ricardian fiscal regimes in the European Union”, Empirica, Vol.35, No.3: 313–334.
2. Afonso, A.; Toffano, P. (2013), “Fiscal Regimes in the EU”, European Central Bank Working Paper, No.1529: 1-33.
3. Aiyagari, S. R.; Gertler, M. (1985), “The Backing of Government Bonds and Monetarism”. Journal of Monetary Economics, Vol.16, No.1: 19–44.
4. Akça, H. (2021), “Environmental Kuznets Curve and financial development in Turkey: Evidence from augmented ARDL approach”, Environmental Science and Pollution Research, Vol.28, No.48: 69149–69159.
5. Akçay, O. C.; C. E. Alper; S. Özmucur (1996), “Budget Deficit, Money Supply and Inflation: Evidence from Low and High Frequency Data for Turkey”, Boğaziçi University, SBE Discussion Papers, No.1996/02: 97-10.
6. Akram, N.; Rais, S. I.; Padda, I. (2011), “Synthesis of the Fiscal and Monetary Policies in Price Level Determination: Evidence from Pakistan”, Pakistan Journal of Applied Economics, Vol.21, No.1. 37–52.
7. Alexiou, K. (2010), “A Note on Ricardian Fiscal Regimes: Empirical Evidence from Greece”, Empirical Economic Letters, Vol.9, No.2: 183–192.
8. Aricanli, T.; Rodrik, D. (1990), “An Overview of Turkey’s Experience with Economic Liberalization and Structural Adjustment”, World Development, Vol.18, No.10: 1343–1350.

9. Aydin, M.; Bozatli, O. (2023). “The impacts of the refugee population, renewable energy consumption, carbon emissions, and economic growth on health expenditure in Turkey: new evidence from Fourier-based analyses”, Environmental Science and Pollution Research, Vol.30, No.14: 41286-41298.
10. Bajo-Rubio, O.; Díaz-Roldán, C.; Esteve, V. (2009), “Deficit sustainability and inflation in EMU: An analysis from the Fiscal Theory of the Price Level”, European Journal of Political Economy, Vol.25, No.4: 525–539.
11. Baldini, A.; Ribeiro, M. P. (2008), “Fiscal and Monetary Anchors for Price Stability: Evidence from Sub-Saharan Africa” IMF Working Paper, No.08/121, 1-39.
12. Banerjee, A.; Dolado, J.; Mestre, R. (1998), “Error-correction Mechanism Tests for Cointegration in a Single-equation Framework”, Journal of Time Series Analysis, Vol.19, No,3: 267–283.
13. Banerjee, P.; Arčabić, V.; Lee, H. (2017), “Fourier ADL cointegration test to approximate smooth breaks with new evidence from Crude Oil Market”, Economic Modelling, Vol.67, No.8 114–124.
14. Barro, R. J. (1974), “Are Government Bonds Net Wealth?”, Journal of Political Economy, Vol.82, No.6: 1095–1117.
15. Bildirici, M.; Ersin, Ö. Ö. (2005), “Fiscal Theory of Price Level and Economic Crises: The Case of Turkey”, Journal of Economic and Social Research, Vol.7, No.2: 81–114.
16. Bohn, H. (1998), “The Behavior of U. S. Public Debt and Deficits”, The Quarterly Journal of Economics, Vol.113, No.3: 949–963.
17. Boswijk, H. P. (1994), “Testing for an Unstable Root in Conditional and Structural Error Correction Models”, Journal of econometrics, Vol.63, No.1: 37-60.
18. Bozatlı, O.; Bal, H.; Albayrak, M. (2023), “Testing the export-led growth hypothesis in Turkey: New evidence from time and frequency domain causality approaches”, The Journal of International Trade & Economic Development, Vol.32, No.6: 835–853.
19. Bolukbas, M.; Peker, O. (2017), “The Relationship Between Price Level and Fiscal Policy in Turkey: An Econometrical Analysis of the FTPL Approach”, Maliye Dergisi, Vol.172, No.1: 1–14.
20. Buiter, W. H. (1999), “The Fallacy of the Fiscal Theory of the Price Level”, NBER Working Paper, No:7302:1-71.
21. Buiter, W. H.; Sibert, A. C. (2018), “The Fallacy of The Fiscal Theory of The Price Level—One Last Time”, Economics: The Open-Access, Open-Assessment E-Journal, Vol.12, No.1: 1-56.
22. Canzoneri, M. B.; Cumby, R. E.; Diba, B. T. (2001), “Is the Price Level Determined by the Needs of Fiscal Solvency?”, The American Economic Review, Vol.91, No.5: - 1221–1238.
23. Central Bank of the Republic of Türkiye. (2023) “Public Finance: Central Government Budget Expenses”, https://evds2.tcmb.gov.tr/index.php?/evds/serieMarket/#collapse_20 (Accessed date: 10.01.2023)
24. Chuku, C. A. (2010), “Monetary and Fiscal Policy Interactions in Nigeria: An Application of A State-Space Model With Markov-Switching”, CBN Journal of Applied Statistics, Vol.1 No.1: 39–51.
25. Cochrane, J. H. (1999), “A Frictionless View of U.S. Inflation”, NBER Macroeconomics Annual 1998, Vol.13, No.1: 323–384.
26. Cochrane, J. H. (2001), “Long‐Term Debt and Optimal Policy in The Fiscal Theory of The Price Level”, Econometrica, Vol.69, No.1: 69-116.
27. Cochrane, J. H. (2023), The Fiscal Theory of the price level, New Jersey: Princeton University Press.
28. Congregado, E.; Díaz-Roldán, C.; Esteve, V. (2023), “Deficit sustainability and fiscal theory of price level: The case of Italy, 1861–2020”. Empirica. Online Wiev: https://doi.org/10.1007/s10663-023-09577-w
29. Creel, J.; & Kamber, G. (2004), “Debt, deficits and inflation on the road to the EU: The case of Turkey”, Revue de l’OFCE, Special Issue, No.91: 157-174.
30. Creel, J.; Monperrus-Veroni, P.; Saraceno, F. (2005), “Discretionary Policy Interactions and the Fiscal Theory of the Price Level: A SVAR Analysis on French Data” Document de Travail OFCE Working Paper, No.2005-12: 1-30.
31. Cushing, M. J. (1999), “The indeterminacy of prices under interest rate pegging: The non-Ricardian case”, Journal of Monetary Economics, Vol.44, No.1: 131–148.
32. Dewachter, H.; Toffano, P. (2012), “Fiscal activism and the cost of debt financing”, International Journal of Finance & Economics, Vol.17, No.1: 14–22.
33. Doi, T. (2018), “Is Abe’s Fiscal Policy Ricardian? What Does the Fiscal Theory of Prices Mean for Japan?”, Asian Economic Policy Review, Vol.13, No.1: 46–63.
34. Elmas, F.; Songur, M. (2016), “Ricardian Fiscal Regime and Fiscal Theory of the Price Level: The European Monetary System”, Ekonomik Yaklaşım, Vol.27, No.99: 203–236.
35. Enders, W.; Jones, P. (2016), “Grain prices, oil prices, and multiple smooth breaks in a VAR”, Studies in Nonlinear Dynamics & Econometrics, Vol.20, No.4: 399–419.
36. Enders, W.; Lee, J. (2012), “The flexible Fourier form and Dickey–Fuller type unit root tests”, Economics Letters, Vol.117, No.1: 196–199.
37. Erdoğdu, O. S. (2002), “Price Level Determination: Ricardian vs. Non Ricardian Policies”, Iowa State University, Ph.D. Thesis, Retrieved from: https://dr.lib.iastate.edu/home, (Access date: 19.03.2023)
38. Favero, C.; Monacelli, T. (2005), “Fiscal Policy Rules and Regime (In)Stability: Evidence from the U.S.”, IGIER Working Paper, No.282. 1-33.
39. Fialho, M. L.; Portugal, M. S. (2005), “Monetary and fiscal policy interactions in Brazil: An application of the fiscal theory of the price level” Estudos Econômicos São Paulo, Vol.35, No.4: 657–685.
40. Hamilton, J. D.; Flavin, M. A. (1986), “On the Limitations of Government Borrowing: A Framework for Empirical Testing”, American Economic Review, Vol.76, No.4: 808-819.
41. Hansen, A. (1949), Monetary Theory & Fiscal Policy, 1st Ed., Tokyo: McGraw-Hill Book Company.
42. Janssen, N.; Nolan, C.; Thomas, R. (2002), “Money, Debt and Prices in the United Kingdom, 1705–1996”, Economica, Vol.69, No.275: 461–479.
43. Javid, A. Y.; Arif, U. (2014), “Fiscal and Monetary Regime Identification for Price Stability in Case of Pakistan’s Economy”, Journal of Economic Cooperation and Development, Vol.35 No.3: 43–70.
44. Javid, A. Y.; Arif, U.; Sattar, A. (2008), “Testing the Fiscal Theory of Price Level in Case of Pakistan”, The Pakistan Development Review, Vol.47, No.4: 763–778.
45. Jones, P. M.; Enders, W. (2014), “On the Use of the Flexible Fourier Form in Unit Root Tests, Endogenous Breaks, and Parameter Instability”, (Eds. J. Ma; M. Wohar), Recent Advances in Estimating Nonlinear Models: With Applications in Economics and Finance, New York, NY: Springer: 59-83.
46. Keyder, N. (2002), Money: Theory Policy Application, 8th Ed., Ankara: Seçkin Yayıncılık.
47. Leeper, E. M. (1991), “Equilibria Under ‘Active’ and ‘Passive’ Monetary and Fiscal Policies”. Journal of Monetary Economics, Vol.27, No.1: 129–147.
48. Masatci, K.; Buzluca, A. O. (2022a), “The Power of Linear Methods in Determining the Dominant Fiscal Regime: A Research on Türkiye” Journal of Economy Culture and Society, Vol.65, No.1: 375–394.
49. Masatci, K.; Buzluca, A. O. (2022b), “Testing The Fiscal Theory Of The Price Level in Türkiye By Using Structural Balance Data”. Romanian Journal of Economic Forecasting, Vol.25, No.4: 74-95.
50. McCallum, B. T. (2001), “Indeterminacy, bubbles, and the fiscal theory of price level determination”, Journal of Monetary Economics, Vol.47, No.1: 19–30.
51. Metin, K. (1995), “An Integrated Analysis of Turkish Inflation”, Oxford Bulletin of Economics and Statistics, Vol.57, No.4: 513–531.
52. Metin, K. (1998), “The Relationship Between Inflation and the Budget Deficit in Turkey”, Journal of Business & Economic Statistics, Vol.16, No.4: 412–422.
53. Moreira, T. B. S.; Souza, G. S.; Almeida, C. L. (2007), “Fiscal Theory of the Price Level and the Interaction of Monetary and Fiscal Policies: The Brazilian Case”, Brazilian Review of Econometrics, Vol. 27, No.1: 1–17.
54. Nazlioglu, S.; Gormus, A.; Soytas, U. (2019), “Oil Prices and Monetary Policy in Emerging Markets: Structural Shifts in Causal Linkages. Emerging Markets Finance and Trade”, Vol.55, No.1: 105–117.
55. Nazlioglu, S.; Gormus, A.; Soytas, U. (2016), “Oil prices and real estate investment trusts (REITs): Gradual-shift causality and volatility transmission analysis”, Energy Economics, Vol.60, No.1: 168–175.
56. Oge Guney, P. (2007), “Fiscal Theory of Exchange Rate Determination: Empirical Evidence from Turkey”. Economics Bulletin, Vol.5, No.7: 1–12.
57. Oktayer, A. (2010), “Budget Deficits, Monetary Growth and Inflation Relationship in Turkey”, Maliye Dergisi, Vol.158, No.1: 431–447.
58. Oktayer, A. (2013), “Fiyat Düzeyi Mali Teorisinin Türkiye Açısından Geçerliliği: Ampirik Bir Analiz”, İstanbul Üniversitesi İktisat Fakültesi Mecmuası, Vol.63, No.1: 51–79.
59. Pamuk, Ş. (2023), “1980’den Günümüze Türkiye’de İktisat Politikaları, Kurumsal Değişim ve İktisadi Büyüme”,(Ed. A.S. Akat and S. Gürsel), Çıkmaz Yol Dünden Yarına Türkiye Ekonomisi, İstanbul: İstanbul Bilgi Üniversitesi Yayınları: 1-28.
60. Panjer, N.; de Haan, L.; Jacobs, J. P. A. M. (2020), “Is Fiscal Policy in the Euro Area Ricardian?”, Empirica, Vol.47, No.2: 411–429.
61. Phillips, P. C. B.; Hansen, B. E. (1990), “Statistical Inference in Instrumental Variables Regression with I(1) Processes”, The Review of Economic Studies, Vol.57, No.1: 99–125.
62. Sala, L. (2004), “The Fiscal Theory of the Price Level: Identifying Restrictions and Empirical Evidence”, IGIER Working Paper, No. 257: 1-36.
63. Sargent, T. J.; Wallace, N. (1981), “Some unpleasant monetarist arithmetic”. Federal Reserve Bank of Minneapolis Quarterly Review, Vol.5, No.3: 1-17.
64. Semmler, W.; Zhang, W. (2004), “Monetary and Fiscal Policy Interactions in the Euro Area”, Empirica, Vol.31, No.2: 205–227.
65. Sims, C. A. (1994), “A Simple Model for Study of the Determination of the Price Level and the Interaction of Monetary and Fiscal Policy”, Economic Theory, Vol.4, No.3 :381–399.
66. Songur, M.; Saraç, F. E. (2018), “Fiscal Theory of The Price Level and Ricardian Fiscal Policy in Turkey (1975-2014)”, Hacettepe University Journal of Economics and Administrative Sciences, Vol.36, No.2: 149–170.
67. Stock, J. H.; Watson, M. W. (1993), “A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems”, Econometrica, Vol.61, No.4: 783–820.
68. Tanner, E.; Ramos, A. M. (2003), “Fiscal Sustainability and Monetary Versus Fiscal Dominance: Evidence from Brazil, 1991–2000”, Applied Economics, Vol.35, No.7, 859–873.
69. Tekin-Koru, A.; Özmen, E. (2003), “Budget deficits, money growth and inflation: The Turkish evidence”, Applied Economics, Vol.35, No.5: 591–596.
70. Telatar, E. (2002), “Empirical Determination of the Economic Policy Regime in Turkey”, İktisat İşletme ve Finans, Vol.17, No.198: 61–70.
71. T.R. Ministry of Treasury and Finance. (2023), “Public Finance Statistics” https://www.hmb.gov.tr/kamu-finansmani-istatistikleri (Accessed date: 18.02.2023).
72. T.R. Presidential Strategy and Budget Department. (2023), “Economic and Social Indicators” https://www.sbb.gov.tr/ekonomik-ve-sosyal-gostergeler/ (Accessed date: 10.02.2023).
73. Urquhart, M. D. (2022), “Public debt, inflation, and the Fiscal Theory of Price Level in emerging markets: The case of Paraguay”, “Macroeconomics and Finance in Emerging Market Economies” Vol.15, No.3: 246–272.
74. Woodford, M. (1994), “Monetary Policy and Price Level Determinacy in A Cash-in-Advance Economy”, Economic Theory, Vol. 4, No.3: 345–380.
75. Woodford, M. (1995), “Price-Level Determinacy Without Control of a Monetary Aggregate”. Carnegie-Rochester Conference Series on Public Policy, Vol.43, No.1: 1–46.
76. World Bank Data. (2023), “Inflation, Consumer Prices (annual%)-Türkiye”, https://data.worldbank.org, (Accessed date: 28.04.2023).
77. Yalçın, E.; Tulumce, S. Y. (2020), “Empirical Analysis of Fiscal Theory of The Price Level in Turkey”, Pamukkale Journal of Eurasian Socioeconomic Studies, Vol.7, No.2: 60–72.
78. Yurdakul, F.; Sackan, O. (2007), “The Price Level is Determined by Fiscal and Monetary Dominant Regimes”, Ankara Üniversitesi SBF Dergisi, Vol.62, No.2: 219–236.