“An Analysis of Causality Relation Between Economic Growth and Central Bank Independence: An Empiric Application: A Sample of Turkey”

Yıl 2012, Cilt: 7 Sayı: 2, 149 - 168, 01.06.2012

Erkan Demirbaş M Veysel Kaya

Öz

The aim of this study is to analyze the causality relation between central Bank Independence and economic growth in Turkey, using time series data from 1980 to 2010. In the scope of this aim, an econometric application was held by using the VECM method in which Public sector borrowing requirement, central Bank Independence Index, unemployment rate are added the model as an independent variables, and Gross Domestic Production per capita as a dependent variable. Results show that there is causality from unemployment rate and central Bank Independence to gdp per capita in the short run. In the long run, there is a validity of long run associationship among all the variables

Anahtar Kelimeler

Gross domestic products, Central Bank Independence, Cointegration, Vector error correction model-VECM

“Ekonomik Büyüme ve Merkez Bankası Bağımsızlığı Arasında Nedensellik İlişkisi: Ekonometrik Bir Uyulama: Türkiye Örneği”

Öz

Bu çalışmanın amacı Türkiye’de merkez bankası bağımsızlığı ile ekonomik büyüme arasındaki nedensellik ilişkisini 1980-2010 yılları arasındaki verileri kullanarak incelemektir. Bu amaç çerçevesinde Hata Düzeltme Modeli kullanılarak ekonometrik bir uygulama yapılmış ve bu uygulamada merkez bankası bağımsızlığı, işsizlik oranı, kamu borçlanma gereği bağımsız değişken, ekonomik büyümeyi temsil eden kişi başı GSYİH ise bağımlı değişken olarak modelde yer almıştır. Elde edilen sonuçlar, kısa dönemde işsizlik ve merkez bankası bağımsızlığından kişi başı GSYH’ye doğru bir nedensellik olduğu ortaya koymaktadır. Uzun dönemde ise tüm değişkenler arasında uzun dönem ilişkisi tespit edilmiştir

Anahtar Kelimeler

GSYH, Merkez Bankası Bağımsızlığı, Eş-bütünleşme, Hata Düzeltme Modeli

Kaynakça

• Alesina, A., L.H. Summers (1993), “Central Bank Independence and Macroeconomic Performance: Some Comperative Evidence”, Journal of Money, Credit and Banking, 25 (2), 151-162.
• Arslan, Ö. (2003), Avrupa Birliğini Oluşturan Ülkelerde Merkez Bankası Bağımsızlığı, Enflasyon ve Diğer Makroekonomik Büyüklükler Arasındaki İlişkiler: 1980-2001 Dönemi, Uzmanlık Yeterlilik Tezi, TCMB, Ankara.
• Bakır, C. (2007), “Türkiye Cumhuriyet Merkez Bankası’nın 1930-2001 Arasında Siyasal ve Ekonomik Bağımsızlığı: Siyasal-Ekonomik Etkileşime İlişkin Karşılaştırmalı Bir Çözümleme”, Middle East Technical University Faculty of Administrative Scicences and Economics, 33 (1).
• Baydur, M.C., Süslü, B. (2007), “Avrupa Merkez Bankası ile TCMB’nin Bağımsızlıklarının Karşılaştırılması ve Ekonomiye Etkileri”, Yönetim ve Ekonomi Dergisi, 14 (1), 44-66.
• Borrero, A.M. (2001), “On The Long and Short of Central Bank Independence, Policy Coordination, and Economic Performance”, IMF Working Paper, February, No.19.
• Bouwman, K, R. Jong-A-Pin ve J.De Haan (2005), “On The Relationship Between Central Bank Independence and Inflation: Some More Bad News” Applied Financial Economics Letters, 1.
• Bleaney, M. (1996), “Central Bank Independence, Wage Bargaining Structure, and Macroeconomic Performance in OECD Countries”, Oxford Economic Papers, 48, 20-28.
• Brumm, H.J. (2000), “Inflation and Central bank Independence: Conventional Wisdom Redux”, Journal of Money, Credit and Banking, 32 (4).
• Brumm, H.J. and R.S. Krashevski, (2003), “The Sacrifice Ratio and Central Bank Independence Revisited”,Open Economic Review, Vol 14(2): 157-168.
• Compillo, M ve J.A. Miron (1997), “Why Does Inflation Differ Across Countries? Reducing Inflation: Motivation and Strategy”, Christina D. Romer ve D.H Romer (Ed.), University of Chicago Press, Chicago.
• Cukierman, A., S.B. Webb, and B. Neyaptı (1992), “Measuring the Independence and Its Effect on Policy Outcomes”, The World Bank Economic Review, 6 (3), 353-398.
• Cukierman, A., P. Kalaitzidakis, L.H. Summers, and S.B. Webb (1993), “Central Bank Independence, Growth, Invesment and Real Rates”, Carnegie-Rochester Conference Series on Public Policy, 29, 95-140.
• De Long, J.B., L.H. Summers (1992), “Macroeconomic Policy and Long-Run Growth”, Federal Reserve Bank of Kansas City Economic Review, Fourth Quarter, 5- 29.
• Demertzis, M. (2004), “Central Bank Independence: Low Inflation At No Cost? A Numerical Simulation Exercise”, Journal of Macroeconomics, 26.
• Demirci, E., Er, Ş. (2007), “Ham Petrol Fiyatlarının Türkiye’deki Cari Açığa Etkisinin İncelenmesi”, 8. Türkiye Ekonometri ve İstatistik Ulusal Kongresi, 24 – 25 Mayıs 2007, İnönü Üniversitesi, Malatya.
• Demirgil, H. (2011), “Merkez Bankası Bağımsızlığı ve Makroekonomik Performans: TCMB Örneği”, Sosyoekonomi Dergisi, 7(16), 115-135.
• Dickey, D. ve Fuller, W. A. (1979), “Distribution of the Estimators for Autoregressive Time Series with a Unit Root”, Journal of American Statistical Association, 74: 427-431.
• Eijffinger, S.C.W., M. Van Rooji, and E. Schaling (1994), “Central Bank Independence: A Paneldata Approach”, Center Discussion Paper Series, No. 9493, Tilburg University.
• Eijffinger, S.C.W., M. Hoeberichts, and E. Schaling (1998), “A Theory of Central Bank Accountability”, CEPR Discussion Paper, No. 2354.
• Engle, R.F., & Granger, C.W.J.; (1987), “Cointegration and error correction representation: estimation and testing”, Econometrica, (55), 251-276.
• Fuhrer, J.C. (1997), “Central Bank Independence and Inflation Targeting: Monetary Policy Paradigms for the Next Millennium?”, New England Economic Review, January/February, p. 19-36.
• Fujiki, H. (1996), “Central Bank Independence Indices in Economic Analysis: A Reappraisal”, Bank of Japon Monetary and Economic Studies, 14, 79-99.
• Grilli, V., D. Masciandaro, and G. Tabellini (1991), “Political and Monetary Institutions and Public Financial Policies in the Industrial Countries”, Economic Policy, 13, 341-392.
• Güler, A., Özyurt, H. (2011), “Merkez Bankası Bağımsızlığı ve Reel Ekonomik Performans: Panel ARDL Analizi”, Ekonomi Bilimleri Dergisi, 3(2), 11-20.
• Hafız, A.A. (1998), “Central Bank Independence and Growth: A Sensitivity Anaylsis”, The Canadian Journal of Economics, 31(2), 303-317.
• Hall, P.A, R.J.Franzese (1998), “Mixed Signals: Central Bank Independence, Co-ordinated Wage Bargaining and european Monetary Union”, International Organization, 52.
• Johansen, S. (1988), “Statistical Analysis of Cointegration Vectors”, Journal of Economic Dynamics and Control, 12(1), 231-254
• Johansen, S., Juselius, K.; (1990). “Maximum likelihood estimation and inference on co-integration with applications to the demand for Money”, Oxford Bulletin of Economics and Statistics, 52 (2), 169-210.
• Kooi, J.W., J. De Haan (2000), “Does Central Bank Independence Really Matter ? New Evidence for Developing Countries Using A New Indicator”, Journal of Banking and Finance, 24 (4), 643-664.
• Maxwell, J.F. (1998), “Assessing Central Bank Independence in Developing Countries: Do Actions Speak Louder Than Words?”, Oxford Economic Papers, 50 (3), 512-529.
• Pollard, P.S. (1993), “Central Bank Independence and Economic Performance”, Federal Reserve Bank of St. Louis, p. 21-36.
• Sevüktekin, M., Nargeleçekenler, M. (2007), “Türkiye'de İMKB ve Döviz Kuru Arasındaki Dinamik İlişkinin Belirlenmesi”, VIII. Ulusal Ekonometri ve İstatistik Sempozyumu Bildirileri İçerisinde, Malatya.
• Sturm, J-E., J. De Haan, (2001), “Inflation in Developing Countries: Does Central Bank Independence Matter? New Evidence Based on a New Data Set”, Department of Economic, University of Groninger, The Netherlands, p. 1-14.
• Wagner, H. (1999), “Central Bank Independence and the Lessons for Transition Economies from Developed and Developing Countries”, Comparative Economic Studies, 41(4), 1-22.