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THE RELATIONSHIP BETWEEN NOMINAL INTEREST RATE AND INFLATION RATE: AN ANALYSIS ON THE VALIDITY OF THE GIBSON PARADOX

Year 2019, , 193 - 201, 26.04.2019
https://doi.org/10.30794/pausbed.409498

Abstract

Gibson, in contrast to the Classical economic view, revealed the existence of a positive relationship from the wholesale prices index to the bond interest in the British economy in 1923. This relationship, which was later referred to as the "Gibson Paradox", constituted the subject of many theoretical and empirical work. This study also explores the validity of the Gibson Paradox for Fragile Economies in the period 2000-2016. Investigating the validity of the Gibson Paradox, nominal deposit interest rate and inflation rate was used and the relationship between the two variables was examined using Seemingly Unrelated Regression (SUR) Method. Seemingly Unrelated Regression Method has certain advantages in estimating units to use within a system, to consider cross sectional dependency, and to produce individually results for each unit. When the results obtained are examined, a positive and meaningful relationship has been reached between nominal deposit interest rate and inflation rate in all Fragile Economies. As a result, Gibson Paradox is valid in all Fragile Economies in the period 2000-2016.

References

  • 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., and Serletis, A. (2003). “Bounds Tests of The Gibson Paradox and The Fisher Effect: Evidence From Low‐Frequency International Data”. The Manchester School, 71(6), 673-679.
  • Baltagi, B. (2005). Econometric Analysis of Panel Data. John Wiley & Sons.
  • Cheng, H., Kesselring, R. G., and Brown, C. R. (2013). “The Gibson Paradox: Evidence from China”, China Economic Review, 27, 82-93.
  • Cogley, T., Sargent, T. J., and Surica, P. (2012). “The Return of The Gibson Paradox”. Federal Reserve Bank of Atlanta Working Papers, 1-39.
  • Dwyer, G. P. (1984). The Gibson Paradox: A Cross-Country Analysis. Economica, 51(202), 109-127.
  • Greene, W.H. (2003). Econometric Analysis, Pearson Education.
  • Halicioglu, F. (2004). “The Gibson Paradox: An Empirical Investigation for Turkey”. MPRA Paper, No.3556, 1-8.
  • Harley, C. K. (1977). “The Interest Rate and Prices In Britain, 1873-1913: A Study of The Gibson Paradox”. Explorations in Economic History, 14(1), 69-89.
  • Kocyigit, A., Kilic, M. E., and 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., ve Bozma, G. (2017). “Gibson Paradoksunun Gelişmiş ve Gelişmekte Olan Ülkeler Açısından Geçerliliğinin Araştırılması”, Gazi Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 19(1), 211-222.
  • Moon, H.R. and Perron, B. (2006). “Seemingly Unrelated Regressions”, The New Palgrave Dictionary of Economics, 1-9.
  • Morgan Stanley (2013). Elections 2014: How Fragile are the “Fragile Five”?, (16.06.2017), https://www.morganstanley.com/public/Tales_from_the_Emerging_World_Fragile_Five.pdf,
  • Ogbonna, B. C. (2014). “Testing for Gibson’s Paradox: Evidence From Nigeria”. Journal of Economics and Sustainable Development, 5(4), 157-163.
  • Sargent, T. J. (1973). “Interest Rates and Prices in The Long Run: A Study of The Gibson Paradox”. Journal of Money, Credit and Banking, 5(1), 385-449.
  • Şimşek, M., ve Kadılar, C. (2008). “Gibson Çelişkisinin Türkiye Verileri ile Analizi”, Kırgızistan-Türkiye Manas Üniversitesi Sosyal Bilimler Dergisi, 20, 116-127.
  • Tanrıöver, B., ve Yamak, N. (2015). ”Nominal Faiz Oranı-Genel Fiyat Düzeyi İlişkisinin Gibson Paradoksu Çerçevesinde Analizi”. Maliye Dergisi, 168, 186-200.
  • Tatoğlu, F.Y. (2012). İleri Panel Veri Analizi: Stata Uygulamalı, 1. Baskı, Beta, İstanbul.
  • Vogelvang, B. (2005). Econometrics: Theory and Applications with EViews, Pearson Education.
  • World Bank (2017), World Development Indicators, Deposit Interest Rate (%), (04.06.2017), http://databank.worldbank.org/data/home.aspx.
  • World Bank (2017), World Development Indicators, Inflation, Consumer Prices (annual %), (04.06.2017), http://databank.worldbank.org/data/home.aspx.
  • Yapraklı, S. ve Yurttançıkmaz, Z. Ç. (2010). “Türkiye’de Gibson Çelişkisinin Geçerliliği: Ekonometrik Bir Analiz (1970-2009)”, Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi, 24(3), 23-39.
  • Zellner, A. (1962). “An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests For Aggregation Bias”, Journal of the American Statistical Association, 57(298), 348-368.
  • Zellner, A. (1963). “Estimators For Seemingly Unrelated Regression Equations: Some Exact Finite Sample Results”, Journal of the American Statistical Association, 58(304), 977-992.

NOMİNAL FAİZ ORANI VE ENFLASYON ORANI İLİŞKİSİ: GİBSON PARADOKSUNUN GEÇERLİLİĞİ ÜZERİNE BİR ANALİZ

Year 2019, , 193 - 201, 26.04.2019
https://doi.org/10.30794/pausbed.409498

Abstract

Gibson, 1923 yılında Klasik İktisadi görüşün aksine Britanya
ekonomisinde
toptan eşya fiyatları endeksinden tahvil
faizine doğru pozitif yönlü ilişkinin varlığını ortaya koymuştur. Daha sonraki
süreçte “Gibson Paradoksu” olarak ifade edilen bu ilişki çok sayıda teorik ve
ampirik çalışmanın konusunu oluşturmuştur. Bu çalışmada da 2000-2016 döneminde
kırılgan ekonomiler için Gibson Paradoksunun geçerliliği araştırılmaktadır.
Gibson Paradoksunun geçerliliğinin araştırılmasında nominal mevduat faiz oranı
ve enflasyon oranı kullanılmış ve iki değişken arasındaki ilişkinin incelenmesinde
Görünürde İlişkisiz Regresyon (SUR) yönteminden yararlanılmıştır. Görünürde
İlişkisiz Regresyon Yönteminin tahminlerde birimleri bir sistem dahilinde
kullanması, yatay kesit bağımlılığını dikkate alması ve her bir birime ilişkin
ayrı ayrı sonuçlar üretmesi anlamında belirli üstünlükleri bulunmaktadır. Elde
edilen sonuçlar incelendiğinde kırılgan ekonomilerin tümünde nominal mevduat
faiz oranı ve enflasyon oranı arasında pozitif yönlü ve anlamlı bir ilişkiye
ulaşılmıştır. Sonuç olarak 2000-2016 döneminde kırılgan ekonomilerin tümünde
Gibson Paradoksu geçerlidir.

References

  • 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., and Serletis, A. (2003). “Bounds Tests of The Gibson Paradox and The Fisher Effect: Evidence From Low‐Frequency International Data”. The Manchester School, 71(6), 673-679.
  • Baltagi, B. (2005). Econometric Analysis of Panel Data. John Wiley & Sons.
  • Cheng, H., Kesselring, R. G., and Brown, C. R. (2013). “The Gibson Paradox: Evidence from China”, China Economic Review, 27, 82-93.
  • Cogley, T., Sargent, T. J., and Surica, P. (2012). “The Return of The Gibson Paradox”. Federal Reserve Bank of Atlanta Working Papers, 1-39.
  • Dwyer, G. P. (1984). The Gibson Paradox: A Cross-Country Analysis. Economica, 51(202), 109-127.
  • Greene, W.H. (2003). Econometric Analysis, Pearson Education.
  • Halicioglu, F. (2004). “The Gibson Paradox: An Empirical Investigation for Turkey”. MPRA Paper, No.3556, 1-8.
  • Harley, C. K. (1977). “The Interest Rate and Prices In Britain, 1873-1913: A Study of The Gibson Paradox”. Explorations in Economic History, 14(1), 69-89.
  • Kocyigit, A., Kilic, M. E., and 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., ve Bozma, G. (2017). “Gibson Paradoksunun Gelişmiş ve Gelişmekte Olan Ülkeler Açısından Geçerliliğinin Araştırılması”, Gazi Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 19(1), 211-222.
  • Moon, H.R. and Perron, B. (2006). “Seemingly Unrelated Regressions”, The New Palgrave Dictionary of Economics, 1-9.
  • Morgan Stanley (2013). Elections 2014: How Fragile are the “Fragile Five”?, (16.06.2017), https://www.morganstanley.com/public/Tales_from_the_Emerging_World_Fragile_Five.pdf,
  • Ogbonna, B. C. (2014). “Testing for Gibson’s Paradox: Evidence From Nigeria”. Journal of Economics and Sustainable Development, 5(4), 157-163.
  • Sargent, T. J. (1973). “Interest Rates and Prices in The Long Run: A Study of The Gibson Paradox”. Journal of Money, Credit and Banking, 5(1), 385-449.
  • Şimşek, M., ve Kadılar, C. (2008). “Gibson Çelişkisinin Türkiye Verileri ile Analizi”, Kırgızistan-Türkiye Manas Üniversitesi Sosyal Bilimler Dergisi, 20, 116-127.
  • Tanrıöver, B., ve Yamak, N. (2015). ”Nominal Faiz Oranı-Genel Fiyat Düzeyi İlişkisinin Gibson Paradoksu Çerçevesinde Analizi”. Maliye Dergisi, 168, 186-200.
  • Tatoğlu, F.Y. (2012). İleri Panel Veri Analizi: Stata Uygulamalı, 1. Baskı, Beta, İstanbul.
  • Vogelvang, B. (2005). Econometrics: Theory and Applications with EViews, Pearson Education.
  • World Bank (2017), World Development Indicators, Deposit Interest Rate (%), (04.06.2017), http://databank.worldbank.org/data/home.aspx.
  • World Bank (2017), World Development Indicators, Inflation, Consumer Prices (annual %), (04.06.2017), http://databank.worldbank.org/data/home.aspx.
  • Yapraklı, S. ve Yurttançıkmaz, Z. Ç. (2010). “Türkiye’de Gibson Çelişkisinin Geçerliliği: Ekonometrik Bir Analiz (1970-2009)”, Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi, 24(3), 23-39.
  • Zellner, A. (1962). “An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests For Aggregation Bias”, Journal of the American Statistical Association, 57(298), 348-368.
  • Zellner, A. (1963). “Estimators For Seemingly Unrelated Regression Equations: Some Exact Finite Sample Results”, Journal of the American Statistical Association, 58(304), 977-992.
There are 24 citations in total.

Details

Primary Language English
Subjects Business Administration
Journal Section Articles
Authors

Ömer Faruk Biçen 0000-0003-1021-5198

Publication Date April 26, 2019
Acceptance Date September 19, 2018
Published in Issue Year 2019

Cite

APA Biçen, Ö. F. (2019). THE RELATIONSHIP BETWEEN NOMINAL INTEREST RATE AND INFLATION RATE: AN ANALYSIS ON THE VALIDITY OF THE GIBSON PARADOX. Pamukkale Üniversitesi Sosyal Bilimler Enstitüsü Dergisi(35), 193-201. https://doi.org/10.30794/pausbed.409498
AMA Biçen ÖF. THE RELATIONSHIP BETWEEN NOMINAL INTEREST RATE AND INFLATION RATE: AN ANALYSIS ON THE VALIDITY OF THE GIBSON PARADOX. PAUSBED. April 2019;(35):193-201. doi:10.30794/pausbed.409498
Chicago Biçen, Ömer Faruk. “THE RELATIONSHIP BETWEEN NOMINAL INTEREST RATE AND INFLATION RATE: AN ANALYSIS ON THE VALIDITY OF THE GIBSON PARADOX”. Pamukkale Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, no. 35 (April 2019): 193-201. https://doi.org/10.30794/pausbed.409498.
EndNote Biçen ÖF (April 1, 2019) THE RELATIONSHIP BETWEEN NOMINAL INTEREST RATE AND INFLATION RATE: AN ANALYSIS ON THE VALIDITY OF THE GIBSON PARADOX. Pamukkale Üniversitesi Sosyal Bilimler Enstitüsü Dergisi 35 193–201.
IEEE Ö. F. Biçen, “THE RELATIONSHIP BETWEEN NOMINAL INTEREST RATE AND INFLATION RATE: AN ANALYSIS ON THE VALIDITY OF THE GIBSON PARADOX”, PAUSBED, no. 35, pp. 193–201, April 2019, doi: 10.30794/pausbed.409498.
ISNAD Biçen, Ömer Faruk. “THE RELATIONSHIP BETWEEN NOMINAL INTEREST RATE AND INFLATION RATE: AN ANALYSIS ON THE VALIDITY OF THE GIBSON PARADOX”. Pamukkale Üniversitesi Sosyal Bilimler Enstitüsü Dergisi 35 (April 2019), 193-201. https://doi.org/10.30794/pausbed.409498.
JAMA Biçen ÖF. THE RELATIONSHIP BETWEEN NOMINAL INTEREST RATE AND INFLATION RATE: AN ANALYSIS ON THE VALIDITY OF THE GIBSON PARADOX. PAUSBED. 2019;:193–201.
MLA Biçen, Ömer Faruk. “THE RELATIONSHIP BETWEEN NOMINAL INTEREST RATE AND INFLATION RATE: AN ANALYSIS ON THE VALIDITY OF THE GIBSON PARADOX”. Pamukkale Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, no. 35, 2019, pp. 193-01, doi:10.30794/pausbed.409498.
Vancouver Biçen ÖF. THE RELATIONSHIP BETWEEN NOMINAL INTEREST RATE AND INFLATION RATE: AN ANALYSIS ON THE VALIDITY OF THE GIBSON PARADOX. PAUSBED. 2019(35):193-201.