The Hypothesis of Neutrality of Money: Panel Data Analysis

Öz

In the present study, it was examined if the hypothesis of neutrality of money applies to Turkey and the member countries of Shanghai Cooperation Organization. For this purpose, the data obtained for the period between 2000 and 2016 were examined using panel data analyses. Economic growth was used as dependent variable, whereas the annual growth rate of monetary supply as used as independent variable. Within the context of analysis, firstly the horizontal cross-sectional dependence tests were implemented. Then, according to the results of tests, the CADF unit root test was applied. Since the variables are stationary at various levels, the cointegration test was implemented. The results of Durbin-Hausmann Cointegration Test showed that there was no cointegration relationship for the groups but there was a cointegration relationship in the panel. In this case, the hypothesis of neutrality of money does not apply to the current panel. In the present study, Dumitrescu-Hurlin Panel Causality Test was applied finally, and it was revealed that there was a causality relationship between the money supply and output

Anahtar Kelimeler

• Cointegration,Panel Data Analysis,Neutrality of Money,Shanghai Cooperation Organization

Paranın Yansızlığı Hipotezi: Panel Veri Analizi

Öz

Çalışmada paranın yansızlığı hipotezinin Türkiye ve Şanghay İşbirliği Örgütü’ne üye ülkelerde geçerli olup olmadığı araştırılmıştır. Bu amaç doğrultusunda 2000-2016 yılları arasında ele alınan verilere panel veri analizleri uygulanmıştır. Bağımlı değişken olarak ekonomik büyüme ve bağımsız değişken olarak para arzındaki yıllık büyüme oranı kullanılmıştır. Analiz kapsamında ilk olarak yatay kesit bağımlılığı testlerine yer verilmiştir. Daha sonra test sonuçlarına uygun olarak CADF birim kök testi uygulanmıştır. Değişkenlerin farklı derecede durağan olmaları sebebiyle eşbütünleşme testine geçilmiştir. Durbin-Hausmann Eş-Bütünleşme Testi sonuçları grup için eşbütünleşme ilişkisinin olmadığını, panelde ise eşbütünleşme ilişkisinin varlığını göstermiştir. Bu durumda paranın yansızlığı hipotezi grup için geçerli panel için geçerli değildir. Araştırmada son olarak Dumitrescu-Hurlin Panel Nedensellik Testi yapılmış ve bulgular para arzı ile çıktı arasında nedensel ilişki olduğunu ortaya koymuştur

Anahtar Kelimeler

• Eşbütünleşme,Panel Veri Analizi,Paranın Yansızlığı,Şanghay İşbirliği Örgütü

Kaynakça

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