The Relationship between Inflation and Money Supply in Turkey: ARDL Boundary Testing Approach

Öz

The relationship between money supply and inflation is one of the most popular and widely researched topics in economic theory. The aim of this paper is to investigate the hypothesis that there is a close relationship between money supply, inflation rate, interest rate and exchange rate, by using 2006:Q4-2018:Q4 quarterly data for Turkey. The ARDL boundary testing approach is used to test this hypothesis, since the interest variable is I(1) and the others are I(0). According to the analysis results, a significant and positive relationship is found between interest rate and inflation in the long run, but this relationship is very weak. On the other hand, there is no statistically significant relationship between exchange rate and inflation. Our analysis results also show that there is a statistically significant and positive relationship between M2 money supply and inflation in the long run. However, this relationship is not a strong one as stated in the quantity theory of money. Therefore, it is necessary to make emphasis on the supply-side factors for the determinants of inflation in Turkey.

Anahtar Kelimeler

• Inflation
• Money Supply
• Interest
• Exchange Rate
• Turkey
• ARDL

Türkiye’de Para Arzı İle Enflasyon Arasındaki İlişki: ARDL Sınır Testi Yaklaşımı

Öz

Para arzı ve enflasyon arasındaki ilişki iktisat teorisinde büyük ilgi gören ve yaygın bir şekilde araştırılan konulardan biridir. Bu çalışmanın amacı, para arzı, faiz oranı ve döviz kuru ile enflasyon oranı arasında yakın ilişki bulunabileceği hipotezini, 2006:Q4-2018:Q4 dönemine ait üç aylık Türkiye verileri ile test etmektir. Bu hipotezin test edilmesi için kullanılan değişkenlerin durağanlık analizlerinde faiz değişkeninin I(0) olması diğerlerinin I(1) olması nedeniyle ARDL sınır testi yaklaşımı kullanılmıştır. Analiz sonuçlarına göre, faiz oranı ile enflasyon arasında uzun dönemde anlamlı ve pozitif yönde bir ilişki bulunmuştur, fakat bu ilişki çok zayıftır. Diğer yandan döviz kuru ile enflasyon arasında istatistiksel olarak anlamlı bir ilişki bulunmamıştır. Analiz sonuçları ayrıca M2 para arzı büyüklüğü ile enflasyon oranı arasında uzun dönemde istatistiksel olarak anlamlı ve pozitif yönlü bir ilişki olduğunu göstermektedir. Ancak bu ilişki de paranın miktar teorisinde belirtildiği gibi güçlü bir ilişki değildir. Dolayısıyla Türkiye’deki enflasyonun belirleyicileri arasında maliyet itişli ve yapısal faktörlere vurgu yapmak gereklidir.

Anahtar Kelimeler

• Enflasyon
• Para Arzı
• Faiz
• Döviz Kuru
• Türkiye
• ARDL

Kaynakça

1. Ahmad, E. and Ali, S. A. (1999). Relationship between exchange rate and inflation. Pakistan Economic and Social Review, 37(2), 139-154. Retrieved from https://www.jstor.org/
2. Aklan, N. A. ve Nargeleçeken, M. (2008). Taylor kuralı: Türkiye üzerine bir değerlendirme. Ankara Üniversitesi SBF Dergisi, 63(2), 21-41. doi:10.1501/SBFder_0000002063
3. Alimi, R. S. (2012). The quantity theory of money and its long run implications: Empirical evidence from Nigeria. European Scientific Journal, 8(12), 272-288. Retrieved from http://eujournal.org/
4. Altıntaş, H., Çetintaş, H. ve Taban, S. (2008). Türkiye’de bütçe açığı, parasal büyüme ve enflasyon arasındaki ilişkinin ekonometrik analizi: 1992-2006. Anadolu Üniversitesi Sosyal Bilimler Dergisi, 8(2), 185-208. Retrieved from https://dergipark.org.tr/tr/pub/ausbd
5. Ajuzie, E. I. S., Edoho, F. M., Kang, W., Uwakonye, M. N. and Keleta, G. Y. (2008). Import response and inflationary pressures in the new economy: The quantity theory of money revisited. Journal of Business & Economics Research, 6(5), 125-140. https://doi.org/10.19030/jber.v6i5.2424.
6. Arestis, P. (2009). New consensus macroeconomics: A critical appraisal (The Levy Economics Institute of Bard College University of Cambridge, Working Paper No. 564). Retrieved from http://www.levyinstitute.org/pubs/wp_564.pdf.
7. Arslan, İ. ve Yapraklı, S. (2011). Banka kredileri ve enflasyon arasındaki ilişki: Türkiye üzerine ekonometrik bir analiz (1983-2007). İstanbul Üniversitesi İktisat Fakültesi Ekonometri ve İstatistik Dergisi, Ekonometri ve İstatistik: 7, 88-103. Erişim adresi: https://dergipark.org.tr/tr/pub/iuekois
8. Bachurewicz, G. (2017). The post Keynesian endogenous money supply hypothesis: Evidence from Poland (University of Warsaw, Poland Working paper). https://doi.org/10.4337/roke.2019.03.09.

9. Benbouziane, M. and Benamar, A. (2004). The relationship between money and prices in the maghreb countries: A cointegration analysis (MPRA Working Paper No. 12741). Retrieved from https://mpra.ub.uni-muenchen.de/12741/
10. Cesur, F. (2006). Para arzı ile enflasyon ilişkisi ve Türkiye uygulaması (1994-2004). Trakya Üniversitesi Sosyal Bilimler Dergisi, 8(2), 85-104. Erişim adresi: https://dergipark.org.tr/tr/pub/trakyasobed
11. Cukierman, A. (2017). Money growth and inflation: Policy lessons from a comparison of the US since 2008 with hyperinflation Germany in the 1920s. Economics Letters, 154(C), 109-112. https://doi.org/10.1016/j.econlet.2017.02.036.
12. Çatalbaş, G. K. (2007). Türkiye’de para arzı ile enflasyon arasındaki ilişkinin parametrik olmayan regresyon analizi ile incelenmesi. Gazi Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 9(3), 197-212. Erişim adresi: https://dergipark.org.tr/tr/pub/ahbvuibfd
13. De Grauwe, P. ve Polan, M. (2005). Is inflation always and everywhere a monetary phenomenon? The Scandinavian Journal of Economics, 107(2), 239-259. https://doi.org/10.1111/j.1467-9442.2005.00406.x.
14. Denbel, F. S., Ayen, Y. W. and Regasa, T. A. (2016). The relationship between inflation, money supply and economic growth in Ethiopia: Cointegration and causality analysis. International Journal of Scientific and Research Publications, 6(1), 556-565. Retrieved from http://www.ijsrp.org/
15. Dickey, D. A. and W. A Fuller (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74(366a), 427-431. Retrieved from https://www.jstor.org/
16. Domaç, I. (2004). Explaining and forecasting inflation in Turkey (World Bank Policy Research Working Paper No. 3287). Retrieved from https://doi.org/10.1596/1813-9450-3287.
17. Dornbusch, R. (1976). Expectations and exchange rate Dynamics. Journal of Political Economy, 84(6), 1161-1176. Retrieved from https://www.mit.edu.
18. Duramaz, S. ve Dilber, İ. (2015). Küresel kriz sürecinde para politikasında yeni bir araç olarak faiz koridoruna genel bir bakış. Maliye Araştırmaları Dergisi, 1(1), 29-38. Erişim adresi: http://maliyearastirmalari.org/index.php/MAD
19. Fischer, S. and Modigliani, F. (1978). Towards an understanding of the real effects and costs of inflation (NBER Working Paper Series No. 303). Retrieved from https://www.nber.org/papers/w0303.pdf
20. Fontana, G. (2003). Post Keynesian approaches to endogenous money: A time framework explanation. Reviews of Political Economy, 15(3), 291-314. https://doi.org/10.1080/09538250308431.
21. Friedman, M. and Schwartz, A. J. (1963). A monetary history of the United States, 1867-1960. Princeton: Princeton University Press.
22. Friedman, M. (1968). The Role of monetary policy. The American Economic Review, 58(1). Retrieved from https://www.jstor.org/
23. Hayes, F. (1989). The Quantity Theory of Money. Retrieved from https://www.tcd.ie/Economics/assets/pdf/SER/1989/The%20Quantity%20Theory%20of%20Money%20By%20Frank%20Hayes.pdf.
24. He, Y. (2017). A study on the relationship between money supply and macroeconomic variables in China. Mediterranean Journal of Social Sciences, 8(6), 99-107. doi: 10.1515/mjss-2017-0046
25. Hossain, A. (1990), The monetarist versus the Neo-Keynesian views on the acceleration of inflation: Some evidence from South Asian countries. The Pakistan Development Review 29(1), 19-32. doi: 10.30541/v29i1pp.19-32
26. International Monetary Fund (1996). The rise and fall of inflation: Lessons from the postwar experience. Retrieved from https://www.elibrary.imf.org/doc/IMF081/08010-9781557756107/08010-9781557756107/Other_formats/Source_PDF/08010-9781455261789.pdf
27. Issing, O. (1992). Theoretical and empirical foundations of the Deutsche Bundesbank’s monetary targeting, Intereconomics, 27, 289-300. https://doi.org/10.1007/BF02928062.
28. Islatince, H. (2017). Para arzı ve enflasyon ilişkisi: Türkiye için nedensellik analizi (1988-2016). Anadolu Üniversitesi Sosyal Bilimler Dergisi, 17(3), 544-547. https://doi.org/10.18037/ausbd.417274
29. Kemal, M. Ali. (2006). Is Inflation in Pakistan a monetary phenomenon? The Pakistan Development Review, 45(2), 213-220. Retrieved from https://www.jstor.org/stable/41260754.
30. Khan, A. A., Bukhari, S. K. H. and Ahmed, Q. M. (2007). Determinants of recent inflation in Pakistan (Social Policy and Development Center, Research Report No. 66). Retrieved from https://ideas.repec.org/p/pra/mprapa/16254.html.
31. Kibritçioğlu, A. (2002). Causes of Inflation in Turkey: A Literature Survey with Special Reference to Theories of Inflaton, In A. Kibritçioğlu, L. Rittenberg and F. Selçuk (Eds.), Inflation and Disinflation in Turkey (pp. 43-76). London: Ashgate,
32. Korkmaz, Ö. (2017) Enflasyon oranını etkileyen faktörlerin belirlenmesi: Türkiye üzerine bir uygulama. Dokuz Eylül Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 32(2), 109-142. Erişim adresi: https://dergipark.org.tr/tr/pub/ije
33. Koti, S. and Bixho, T. (2016). Theories of money supply: The relationship of money supply in a period of time T-1 and inflation in period T- empirical evidence from Albania. European Journal of Multidisciplinary Studies, 1(1), 294-302. Retrieved from http://journals.euser.org/
34. McCallum, B. T. and Nelson, E. (2010). Money and inflation: Some critical isues (2010-57) (Finance and Economics Discussion Series, Divisions of Research & Statistics and Monetary Affairs Federal Reserve Board, No. 2010/57) Retrieved from https://www.federalreserve.gov/pubs/feds/2010/201057/201057pap.pdf
35. Mankiw, N. G. (2015). Principles of economics (7th ed). Stamford: Cencage Learning.
36. Meltzer, A. H. (1977). Monetarist, Keynesian and quantity theories. Kredit und Kapital, 10(2), 149-182. Retrieved from https://www.duncker-humblot.de/en/zeitschrift/credit-and-capital-markets-ccm-2
37. Mishkin, F. S. (2000). Inflation targeting in emerging market countries (NBER Working Paper Series No. 7618). Retrived from https://www.nber.org/papers/w7618.
38. Nadar, E. N. (2013). Money and banking, Delhi: PHI Learning Private.
39. Nguyen, V. B. (2015). Effects of fiscal deficit and money M2 supply on inflation: Evidence from selected economies of Asia. Journal of Economics, Finance and Administrative Science, 20, 49–53. https://doi.org/10.1016/j.jefas.2015.01.002.
40. Oktayer, A. (2010). Türkiye’de bütçe açığı, para arzı ve enflasyon ilişkisi. Maliye Dergisi, 158, 431-447. Erişim adresi: https://www.hmb.gov.tr/dergi-hakkinda
41. Orphanides, A. (2003). Historical monetary policy analysis and the Taylor rule. Jounal of Monetary Economics, 50(5), 983-1022. https://doi.org/10.1016/S0304-3932(03)00065-5.
42. Özdemir, M. ve Yıldırım, S. (2018). Fiyat düzeyi ve faiz oranı: Gibson paradoksu Türkiye ekonomisi için geçerli (mi)? Maliye Dergisi, 174, 26-47. Erişim adresi: https://www.hmb.gov.tr/dergi-hakkinda
43. Pesaran M. H. and Shin, Y. (1995). An autoregressive distributed lag modelling approach to cointegration analysis (Department of Applied Economics Working Paper No. 9514). Retrived from https://pdfs.semanticscholar.org/743d/ c1e8cf7eea4a2ac9bc58907f2ce08a1f5d90.pdf.
44. Pesaran, M. H., Shin, Y. and Smith, R.J. (2001). Bounds testing approaches to the analysis of long run relationship. Journal of Applied Econometrics, 16(3), 99-125. https://doi.org/10.1002/jae.616
45. Qayyum, A. (2006). Money, inflation, and growth in Pakistan. Pakistan Development Review, 45(2). 203-212. Retrieved from http://www.jstor.org/
46. Robinson, J. (1970). Quantity theories old and new: Comment. Journal of Money, Credit and Banking, 2(4). 504-512. Retrieved from http://www.jstor.org/
47. Şahin, İ. ve Karanfi, M. (2015). Türkiye ekonomisinde 1980-2013 dönemi para arzının enflasyon üzerindeki etkisi. Business and Economics Research Journal, 6(4), 97-113. Erişim adresi: https://www.berjournal.com/tr/
48. TCMB, (2008). Enflasyon hedeflemesi rejimi. Retrieved from: http://www.tcmb.gov.tr/wps/wcm/connect/07d5ced0-3f5c-4fa8-bd23-619f6b3c1d6b/EnflasyonHedeflemesiRejimi.pdf?MOD=AJPERES&CACHEID=ROOTWORKSPACE-07d5ced0-3f5c-4fa8-bd23-619f6b3c1d6b-m5lkSAW. Twinoburyo, E. N. and Odhiambo, N. M. (2018). Monetary policy and economic growth: A review of international literature. Journal of Central Banking Theory and Practice, 2, 123-137. doi: 10.2478/jcbtp-2018-0015.
49. Villa, E., Misas, M. A. and Giraldo, A. F. (2014). Inflation targeting and an optimal Taylor rule for an open economy: Evidence for Colombia 1990-2011. Latin American Journal of Economics, 51(1), 41-83. http://dx.doi.org/10.7764/LAJE.51.1.41.