Investigating the Validity of Gibson Paradox for Developed and Developing Countries

Yıl 2017, Cilt 19, Sayı 1, 211 - 222, 05.05.2017

Serkan KÜNÜ Selim BAŞAR Gürkan BOZMA

Öz

The existence of the relationship between interest rate and inflation and the direction of the relationship have been the subject of debate in many studies. Because of the fact that, some researchers believe that interest rate is source of cost, which causing price inflation by creating price pressures on goods and services. On the other hand, there are many studies suggesting that inflation causes interest rate increases. This study is to test validity of the Gibson paradox which argues that there is a positive relationship between the interest rates and the inflation rate in terms of developed and developing countries. In the study, Dumitrescu and Hurlin (2012), which considers the stationarity levels and cross-sectional dependence of the series, was used to for panel causality test for the period 1992-2013 and 2000-2013. According to the findings, significant relationships were found between interest rate and inflation rate in developed and developing countries. Moreover, analysis for all countries (develop and developing), there is a unidirectional relationship running from inflation rate to interest rate which is similar to the findings of Fisher (1930) and Shiller and Siegel (1977).

Anahtar Kelimeler

Interest Rate, General Price Level, Gibson Paradox, Dumitrescu and Hurlin Causality Analysis

Gibson Paradoksunun Gelişmiş ve Gelişmekte Olan Ülkeler Açısından Geçerliliğinin Araştırılması

Öz

Faiz oranı ile enflasyon arasındaki ilişkinin varlığı ve ilişkinin yönü birçok çalışmada tartışma konusu olmuştur. Çünkü bazı araştırmacılar tarafından faizin bir maliyet kaynağını olduğunu, bu durumunda mal ve hizmetler üzerinde fiyat baskısı yaratarak enflasyona sebep olduğunu düşünülmektedir. Buna karşın, enflasyonun faiz artışına sebep olduğunu öne süren birçok çalışma bulunmaktadır. Bu çalışmanın amacı faiz oranları ve genel fiyat düzeyi arasında pozitif ilişki olduğunu savunan Gibson paradoksunun gelişmiş ve gelişmekte olan ülke grupları açısından geçerliliğini test etmektir. Çalışmada 1992-2013 ve 2000-2013 dönemine ait veriler serilerin durağanlık düzeylerini ve yatay-kesit bağımlılığını dikkate alan Dumitrescu ve Hurlin (2012) panel nedensellik testi ile analiz edilmiştir. Tahminlerden elde edilen bulgulara göre gelişmiş ve gelişmekte olan ülke gruplarında faiz ve genel fiyat düzeyi arasında anlamlı ilişkiler bulunmuştur. Ayrıca, tüm ülkeler için yapılan analizde enflasyon oranından faiz oranına doğru ilişki bulunmuştur. Elde edilen bu sonuç, Fisher (1930) ve Shiller ve Siegel (1977) çalışmalarından elde edilen bulgularla benzerlik göstermektedir. 

Anahtar Kelimeler

Tahvil Faiz Oranı, Genel Fiyat Düzeyi, Gibson Paradoksu, Dumitrescu ve Hurlin Nedensellik Analizi

Kaynakça

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