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Türkiye’de enflasyon ve faiz ilişkisi: Gibson paradoksunun Türkiye’de geçerliliği (2004-2020)

Year 2021, Volume: 14 Issue: 2, 513 - 526, 12.04.2021
https://doi.org/10.25287/ohuiibf.722661

Abstract

Bu çalışma, Türkiye ekonomisinde enflasyon ile faiz ilişkisini ve Gibson Paradoksunun geçerliliğini 2004-2020 dönemi için incelemeyi amaçlamıştır. Üçer aylık verilerin kullanıldığı çalışmada ekonometrik model için, nominal mevduat faiz oranı ve tüketici fiyat endeksi enflasyon oranı değişkenleri belirlenmiştir. Johansen eşbütünleşme test yöntemi ile birlikte sıradan en küçük kareler, tam modifiye edilmiş sıradan en küçük kareler, dinamik sıradan en küçük kareler, kanonik eşbütünleşme regresyonu tahmin yöntemleri ve Hata Düzeltme Modeli Granger nedensellik test yöntemi kullanılmıştır. Johansen eşbütünleşme test sonucu ekonometrik modeldeki değişkenlere ait serilerin uzun dönemde ilişkili olduklarını ortaya koymuştur. Bunun ardından, sıradan en küçük kareler, tam modifiye edilmiş sıradan en küçük kareler, dinamik sıradan en küçük kareler, kanonik eşbütünleşme regresyonu tahmin sonuçları, enflasyon oranının faiz oranını pozitif yönde etkilediğini göstermiştir. Son olarak, Hata Düzeltme Modeli Granger nedensellik test sonuçları, enflasyon oranından faiz oranı yönüne doğru nedensellik ilişkisinin var olduğuna işaret etmiştir. Elde edilen ekonometrik sonuçlar genel bir çerçevede değerlendirildiğinde, Türkiye’de 2004-2020 döneminde enflasyonun, faiz oranları üzerinde pozitif yönde bir etkiye sahip olduğunu ve bu çerçevede Gibson Paradoksunun Türkiye için geçerli olduğunu ortaya koymuştur.

References

  • Aklan, N. A., Akay, H. K. & Çınar, M. (2014). Türkiye’de Faiz Haddi ve Enflasyon İlişkisi: Gibson Paradoksu’na Yönelik Bir Değerlendirme. International Conference in Economics Prague, Czech Republic September 03-05, 2014.
  • Altınöz, U. (2017). Nominal Faiz Oranı-Genel Fiyat Düzeyi İlişkisi ile Türkiye’de Gibson Paradoksunun Geçerliliği Analizi. TİSK Akademi, 12(23), 172-184.
  • Atkins, F.J., & Serletis, A. (2003). Bounds Tests of the Gibson Paradox and the Fisher Effect: Evidence from Low-Frequency International Data. Manchester School, 71(6), 673-679.
  • Barsky, R. B. & Summers, L. H. (1988). Gibson's Paradox and the Gold Standard. Journal of Political Economy, 96(3), 528-550.
  • Başar, S. & Karakuş, K. (2017). Fisher Hipotezi: Türkiye İçin Tahmini. Uluslararası Sosyal Araştırmalar Dergisi, 10(54), 794-803.
  • Benjamin, D.K. & Kochin, L.A. (1984), War, Prices, and Interest Rates: A Martial Solution to Gibson's Paradox, NBER Chepters, A Retrospective on the Classical Gold Standard, 1821-1931, 587-612.
  • Biçen, Ö. F. (2019). The Relationship Between Nominal İnterest Rate and Inflation Rate: An Analysis on the Validity of the Gibson Paradox. Pamukkale University Journal of Social Sciences Institute, 35, 193-201.
  • Brown, W.W. & Santoni, G.J. (1983). Interest Rates, Commodity Price Changes and Gibson’s Paradox. Federal Rezerve Bank of S. t. Louis Working Paper Series.
  • Chen, C. & Lee, C..J. (1990). A VARMA Test on the Gibson Paradox. The Review of Economics and Statistics, 72 (1), 96-107.
  • Cheng, H., Kesselring, R. G., & Brown, C. R. (2013). The Gibson Paradox: Evidence from China, China Economic Review, 27, 82-93.
  • Cochran, J. (1997). Replicating Gibson: Or, A Pair of Dummies Does Not Beat a Paradox. GMU Economics Department Working Paper Series, WPE: 99-10, 1-21.
  • Dehghani, Z., Nooralah, S. A. & Mehdi, N. (2015). Gibson Paradox Analysis in Iran Economic. International Journal of Modern Mathematical Sciences, 2015, 13(4): 442-448.
  • Dowd, K. & Harrison, B. (2000). The Gibson Paradox and the Gold Standard: Evidence from the United Kingdom, 1821-1913. Applied Economics Letters, 7, 711-713.
  • Dumitrescu, E. I. ve Hurlin, C. (2012). Testing for Granger Non-Causality in Heterogeneous Panels. Economic Modelling, 29(4), 1450-1460.
  • Dwyer, G.P. (1984). The Gibson Paradox: A Cross-Country Analysis. Economica New Series, 51 (202), pp. 109-127.
  • Fısher, I. (1930). The Theory of Interest: As Determined By Impatience to Spend Income and Opportunity to Invest It, USA: Kelley Publishing.
  • Friedman, M. & Schwartz, A.J. (1982). Monetary Trends in the United States and the United Kingdom: Their Relation to Income, Prices, and Interest Rates: 1867- 1975, University of Chicago Press, Chicago
  • Gibson, A.H. (1923). The Future Course of High Class Investment Values. Banker’s Magazine (London), 115, 15-34.
  • Halicioglu, F. (2004). The Gibson Paradox: An Empirical Investigation for Turkey. European Research Studies Journal, 7(1-2), 111-119.
  • Hannsgen, G. (2004). Gibson’s Paradox, Monetary Policy, and the Emergence of Cycles. Working Paper No.410, The Levy Economics Institute of Board College.
  • Johansen, S (1988). Statistical Analysis of Cointegration Vectors. Journal of Economic Dynamics and Control, 12, 231-254.
  • Johansen, S. (1991). Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models. Econometrica: Journal of the Econometric Society, 1551-1580.
  • Keho, Y. (2015). Empirical Testing of the Gibson Paradox in Selected African Countries. Journal of Economics and Development Studies, 3(3), 13-18.
  • Keynes, J. M. (1930). A Treatise on Money.Vol. 2. London: Macmillan.
  • Klein, L.R. (1995). An Economic Interpretation of the Gibson Relationship. Atlantic Economic Journal, 23, 159-76.
  • Koçyiğit, A., Kılıç, M. E. & Bayat, T. (2015). A Causality Test on the Gibson Paradox in Turkey. Asian Economic and Financial Review, 5(10), 1134-1147.
  • Künü, S., Başar, S. & Bozma, G. (2017). Gibson Paradoksunun Gelişmiş ve Gelişmekte Olan Ülkeler Açısından Geçerliliğinin Araştırılması. Gazi Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 19/1(2017), 211-222.
  • Lee, C.J. & Petruzzi, C.R. (1987), Prices. Interest Rates, and the Monetary Standard: A Study of the Gibson-Kitchin Phenomenon. Journal of Macroeconomics, 185-202.
  • Muscattelli, V.A. & Spinelli, F. (1996). Gibson’s Paradox and Policy Regimes: A Comparison of the Experience in the US, UK and Italy. Scottish Journal of Political Economy, 43 (4), 468-492.
  • Ogbonna, B.B.C. (2014). Testing for Gibson’s Paradox: Evidence from Nigeria. Journal of Economics and Sustainable Development, 5(4), 157-163.
  • Özdemir, M. & Yıldırım, S. (2018). Fiyat Düzeyi ve Faiz Oranı: Gibson Paradoksu Türkiye Ekonomisi için Geçerli (mi)?. Maliye Dergisi, Ocak-Haziran 2018 (174), 26-47.
  • Sargent, T.J. (1973). Interest Rates and Prices in the Long Run: A Study of the Gibson Paradox. Money, Credit and Banking, 5, 385-449.
  • Shiller, R.J. & Siegel, J.J. (1977). The Gibson Paradox and historical movements in real interest rates. The Journal of Political Economy, 85(5), 891-907.
  • Şimşek, M. & Kadılar, C. (2008). Gibson Paradoksunun Türkiye verileri ile analizi. Kırgız-Manas Üniversitesi Sosyal Bilimler Dergisi, 20, 116-127.
  • Tanrıöver, B. & Yamak, N. (2015). Nominal Faiz Oranı-Genel Fiyat Düzeyi İlişkisinin Gibson Paradoksu Çerçevesinde Analizi. Maliye Dergisi, 168, 186-200.
  • Toda, H. Y. & Yamamoto T. (1995). Statistical Inferences In Vector Autoregressions With Possibly Integrated Processes. Journal of Econometrics, 66, 225‐250.
  • Yapraklı, S. & Yurttançıkmaz, Z. Ç. (2010). Türkiye’de Gibson Paradoksunun Geçerliliği: Ekonometrik Bir Analiz (1970-2009). Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi, 24(3), 23-39.

Relationship between inflation and interest rate in Turkey: The validity of Gibson paradox in Turkey

Year 2021, Volume: 14 Issue: 2, 513 - 526, 12.04.2021
https://doi.org/10.25287/ohuiibf.722661

Abstract

This study aimed to review the relationship between inflation and interest rate and the validity of Gibson Paradox in Turkish economy for the period 2004-2020. They are determined as variables nominal deposit interest rate and consumer price index inflation rate for the econometric model using quarterly data in the study. The methods were used besides the Johansen cointegration test method, ordinary least squares, full modified ordinary least squares, dynamic ordinary least squares, canonical cointegration regression estimation methods and Error Correction Model Granger causality test. Johansen cointegration test result showed that the series of variables in the econometric model are related in long run. Subsequently, ordinary least squares, fully modified ordinary least squares, dynamic ordinary least squares, canonical cointegration regression estimation results showed that the inflation rate positively affected the interest rate. Finally, the Error Correction Model Granger causality test results indicated that there is a causal relationship from the inflation rate to the interest rate direction. The econometric results are evaluated in a general framework, inflation has a positive effect on interest rates and in this framework has revealed that it is valid for Turkey Gibson Paradox in Turkish economy for the period 2004-2020.

References

  • Aklan, N. A., Akay, H. K. & Çınar, M. (2014). Türkiye’de Faiz Haddi ve Enflasyon İlişkisi: Gibson Paradoksu’na Yönelik Bir Değerlendirme. International Conference in Economics Prague, Czech Republic September 03-05, 2014.
  • Altınöz, U. (2017). Nominal Faiz Oranı-Genel Fiyat Düzeyi İlişkisi ile Türkiye’de Gibson Paradoksunun Geçerliliği Analizi. TİSK Akademi, 12(23), 172-184.
  • Atkins, F.J., & Serletis, A. (2003). Bounds Tests of the Gibson Paradox and the Fisher Effect: Evidence from Low-Frequency International Data. Manchester School, 71(6), 673-679.
  • Barsky, R. B. & Summers, L. H. (1988). Gibson's Paradox and the Gold Standard. Journal of Political Economy, 96(3), 528-550.
  • Başar, S. & Karakuş, K. (2017). Fisher Hipotezi: Türkiye İçin Tahmini. Uluslararası Sosyal Araştırmalar Dergisi, 10(54), 794-803.
  • Benjamin, D.K. & Kochin, L.A. (1984), War, Prices, and Interest Rates: A Martial Solution to Gibson's Paradox, NBER Chepters, A Retrospective on the Classical Gold Standard, 1821-1931, 587-612.
  • Biçen, Ö. F. (2019). The Relationship Between Nominal İnterest Rate and Inflation Rate: An Analysis on the Validity of the Gibson Paradox. Pamukkale University Journal of Social Sciences Institute, 35, 193-201.
  • Brown, W.W. & Santoni, G.J. (1983). Interest Rates, Commodity Price Changes and Gibson’s Paradox. Federal Rezerve Bank of S. t. Louis Working Paper Series.
  • Chen, C. & Lee, C..J. (1990). A VARMA Test on the Gibson Paradox. The Review of Economics and Statistics, 72 (1), 96-107.
  • Cheng, H., Kesselring, R. G., & Brown, C. R. (2013). The Gibson Paradox: Evidence from China, China Economic Review, 27, 82-93.
  • Cochran, J. (1997). Replicating Gibson: Or, A Pair of Dummies Does Not Beat a Paradox. GMU Economics Department Working Paper Series, WPE: 99-10, 1-21.
  • Dehghani, Z., Nooralah, S. A. & Mehdi, N. (2015). Gibson Paradox Analysis in Iran Economic. International Journal of Modern Mathematical Sciences, 2015, 13(4): 442-448.
  • Dowd, K. & Harrison, B. (2000). The Gibson Paradox and the Gold Standard: Evidence from the United Kingdom, 1821-1913. Applied Economics Letters, 7, 711-713.
  • Dumitrescu, E. I. ve Hurlin, C. (2012). Testing for Granger Non-Causality in Heterogeneous Panels. Economic Modelling, 29(4), 1450-1460.
  • Dwyer, G.P. (1984). The Gibson Paradox: A Cross-Country Analysis. Economica New Series, 51 (202), pp. 109-127.
  • Fısher, I. (1930). The Theory of Interest: As Determined By Impatience to Spend Income and Opportunity to Invest It, USA: Kelley Publishing.
  • Friedman, M. & Schwartz, A.J. (1982). Monetary Trends in the United States and the United Kingdom: Their Relation to Income, Prices, and Interest Rates: 1867- 1975, University of Chicago Press, Chicago
  • Gibson, A.H. (1923). The Future Course of High Class Investment Values. Banker’s Magazine (London), 115, 15-34.
  • Halicioglu, F. (2004). The Gibson Paradox: An Empirical Investigation for Turkey. European Research Studies Journal, 7(1-2), 111-119.
  • Hannsgen, G. (2004). Gibson’s Paradox, Monetary Policy, and the Emergence of Cycles. Working Paper No.410, The Levy Economics Institute of Board College.
  • Johansen, S (1988). Statistical Analysis of Cointegration Vectors. Journal of Economic Dynamics and Control, 12, 231-254.
  • Johansen, S. (1991). Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models. Econometrica: Journal of the Econometric Society, 1551-1580.
  • Keho, Y. (2015). Empirical Testing of the Gibson Paradox in Selected African Countries. Journal of Economics and Development Studies, 3(3), 13-18.
  • Keynes, J. M. (1930). A Treatise on Money.Vol. 2. London: Macmillan.
  • Klein, L.R. (1995). An Economic Interpretation of the Gibson Relationship. Atlantic Economic Journal, 23, 159-76.
  • Koçyiğit, A., Kılıç, M. E. & Bayat, T. (2015). A Causality Test on the Gibson Paradox in Turkey. Asian Economic and Financial Review, 5(10), 1134-1147.
  • Künü, S., Başar, S. & Bozma, G. (2017). Gibson Paradoksunun Gelişmiş ve Gelişmekte Olan Ülkeler Açısından Geçerliliğinin Araştırılması. Gazi Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 19/1(2017), 211-222.
  • Lee, C.J. & Petruzzi, C.R. (1987), Prices. Interest Rates, and the Monetary Standard: A Study of the Gibson-Kitchin Phenomenon. Journal of Macroeconomics, 185-202.
  • Muscattelli, V.A. & Spinelli, F. (1996). Gibson’s Paradox and Policy Regimes: A Comparison of the Experience in the US, UK and Italy. Scottish Journal of Political Economy, 43 (4), 468-492.
  • Ogbonna, B.B.C. (2014). Testing for Gibson’s Paradox: Evidence from Nigeria. Journal of Economics and Sustainable Development, 5(4), 157-163.
  • Özdemir, M. & Yıldırım, S. (2018). Fiyat Düzeyi ve Faiz Oranı: Gibson Paradoksu Türkiye Ekonomisi için Geçerli (mi)?. Maliye Dergisi, Ocak-Haziran 2018 (174), 26-47.
  • Sargent, T.J. (1973). Interest Rates and Prices in the Long Run: A Study of the Gibson Paradox. Money, Credit and Banking, 5, 385-449.
  • Shiller, R.J. & Siegel, J.J. (1977). The Gibson Paradox and historical movements in real interest rates. The Journal of Political Economy, 85(5), 891-907.
  • Şimşek, M. & Kadılar, C. (2008). Gibson Paradoksunun Türkiye verileri ile analizi. Kırgız-Manas Üniversitesi Sosyal Bilimler Dergisi, 20, 116-127.
  • Tanrıöver, B. & Yamak, N. (2015). Nominal Faiz Oranı-Genel Fiyat Düzeyi İlişkisinin Gibson Paradoksu Çerçevesinde Analizi. Maliye Dergisi, 168, 186-200.
  • Toda, H. Y. & Yamamoto T. (1995). Statistical Inferences In Vector Autoregressions With Possibly Integrated Processes. Journal of Econometrics, 66, 225‐250.
  • Yapraklı, S. & Yurttançıkmaz, Z. Ç. (2010). Türkiye’de Gibson Paradoksunun Geçerliliği: Ekonometrik Bir Analiz (1970-2009). Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi, 24(3), 23-39.
There are 37 citations in total.

Details

Primary Language Turkish
Journal Section Articles
Authors

Musa Atgür 0000-0003-0429-4619

Publication Date April 12, 2021
Submission Date April 18, 2020
Acceptance Date January 5, 2021
Published in Issue Year 2021 Volume: 14 Issue: 2

Cite

APA Atgür, M. (2021). Türkiye’de enflasyon ve faiz ilişkisi: Gibson paradoksunun Türkiye’de geçerliliği (2004-2020). Ömer Halisdemir Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi, 14(2), 513-526. https://doi.org/10.25287/ohuiibf.722661

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