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

• 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.
• Baltagi, B. H., Feng, Q., Kao, C. (2012). A lagrange multiplier test for cross-sectional dependence in a fixed efects panel data model. Journal of Econometrics, 170, 164-177.
• Barsky, R.B., Summers, L.H. (1988). Gibson's Paradox and the Gold Standard. Journal of Political Economy, 96, 528-550.
• Benjamin, D.K., Kochin, L.A. (1984). War, prices, and interest rates: a martial solution to Gibson’s Paradox, in a retrospective on the classical gold standard. 1821-1931, Chicago: University of Chicago Press.
• Breusch, T., Pagan, A. (1980). The lagrange multiplier test and its application to model specifications in econometrics. Reviews of Economics Studies, 47, 239–253.
• Cagan, P. (1965). Determinants and effects of changes in the stock of money, 1875-1960. Columbia University Press, New York.
• Caporale, G. M., Škare, M. (2014). A non-linear analysis of Gibson’s Paradox in the Netherlands, 1800-2012.Brunel University London, Department of Economics and Finance, Working Paper No: 14-06, 1-36.
• Choi, I. (2001). Unit root tests for panel data. Journal of International Money and Finance, 20, 249–272.
• Cochran, J. (1997). Replicating gibson: or, a pair of dummies does not beat a paradox. GMU Economics Department Working Paper Series, 1-21.
• Corbae, D., Ouliaris, S. (1989). A random walk through the Gibson Paradox. Journal of Applied Econometrics, 4 ,295-303.
• Coulombe, S. (1998). A non-paradoxical interpretation of the Gibson Paradox. Bank of Canada Working Paper, No. 98-22, 1-47.
• Çakmak, E., Aksu H., Başar, S. (2002). Fisher Hipotezi'nin Türkiye açısından değerlendirilmesi: 1989-2001. Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi, 16(3-4), 31-40.
• 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., Hurlin, C. (2012). Testing for granger noncausality in heterogeneous panels. Economic Modelling, 29(4), 1450-1460.
• Fisher, I. (1930).Thetheory of ınterest, Macmillan, New York.
• Friedman, M., Schwartz, A.J. (1976). From Gibson to Fisher: explorations in economic research. Occasional Papers of the NBER, 3(2), 288-289.
• Gibson, A.H. (1923).The future course of high class investment values. Banker's Magazine, 115, 15-34.
• Halıcıoğlu, F. (2004). The Gibson Paradox: an empirical investigation for Turkey. European Research Studies, 7(1-2), 111-119.
• Hannsgen, G. (2004). Gibson’s Paradox, monetary policy and the emergence of cycles. The Levy Economics Institute of Bard College, Working Paper No. 410, 1-17.
• Im, K. S., M. H. Pesaran,, Y. Shin (2003). Testing for unit roots in heterogeneous panels. Journal of Econometrics, 115, 53–74.
• Kapetanios, G., Shin, Y., Snell, A. (2006). Testing for cointegration in nonlinear smooth transition error correction models. Econometric Theory, 22(2), 279-303.
• Keynes, J.M. (1930). A treatise on money, Vol. II, Harcourt, New York: Brace and Company.
• Kitchin, J. (1923).Cycles and trends in economic factors. Review of Economics and Statistics, 5, 10-16.
• Klein, L.R. (1995). An economic interpretation of the Gibson relationship. Atlantic Economic Journal, 23,159-76.
• Kónya, L. (2006). Exports and growth: granger causality analysis on OECD countries with a panel data approach. Economic Modelling 23, 978–992.
• Lee, C.-W.J., Petruzzi, C.R. (1986). The Gibson Paradox and monetary standard. Review of Economics and Statistics, 68,189-196.
• Levin, A., C. F. Lin,,C. Chu (2002). Unit root tests in panel data: asymptotic and finite-sample properties. Journal of Econometrics, 108, 1–24.
• Maddala, G. S., S. Wu (1999). A comparative study of unit root tests with panel data and a new simple test. Oxford Bulletin of Economics and Statistics, 61, 631–52.
• Milne, William J., Torous, Walter N., (1984). Long-term ınterest rates and the price level: the Canadian evidence on the Gibson Paradox. Canadian Journal of Economics, 17(2), 327-39.
• Özşahin, M., Zehir, C., İncekara, A., Demez, S.,, Ustaoğlu, M. (2012). 8th international strategic management conference validity of fisher effect for Turkish Economy: cointegration analysis. Procedia - Social and Behavioral Sciences, 58, 396-405. doi:http://dx.doi.org/10.1016/j.sbspro.2012.09.1016
• Pesaran, M. H. (2004). General diagnostic tests for cross section dependence in panels. University of Cambridge, Faculty of Economics, Cambridge Working Papers in Economics No. 0435.
• 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.
• Serletis, A., Zestos, G. (1999). On the Gibson Paradox. Review of International Economics, 7, 117-125.
• 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 çelişkisinin Türkiye verileri ile analizi. Kırgız Manas Üniversitesi Sosyal Bilimler Dergisi, 20, 116-127.
• Tanrıöver, B., Yamak, N. (2015). Nominal faiz oranı-genel fiyat düzeyi ilişkisinin Gibson Paradoksu çerçevesinde analizi. Maliye Dergisi, 168, 186-200.
• Wicksell. K. (1907). The influence of the rate of interest on prices. Economic Journal, 17, 213-220.
• Yapraklı, S., 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.
• Yılancı, V., (2009). Fisher Hipotezinin Türkiye için sınanması: doğrusal olmayan eşbütünleşme analizi. Atatürk Üniversitesi İİBF Dergisi, 23(4), 205–213.