Araştırma Makalesi
BibTex RIS Kaynak Göster

Yıl 2023, Cilt: 15 Sayı: 1, 12 - 27, 22.06.2023

Seçkin Kabak Tuğçe Dallı

https://doi.org/10.33818/ier.1183955

Öz

Kaynakça

  • Aklan, N. A., Akay, H. K. and Çınar, M. (2014, Ekim). Türkiye’de Faiz Haddi ve Enflasyon İlişkisi: Gibson Paradoksu’na Yönelik Bir Değerlendirme. International Conference in Economics Prague, Czech Republic September 03-05, Prague.
  • Altunöz, U. (2017). Nominal Faiz Oranı-Genel Fiyat Düzeyi İlişkisi ile Türkiye’de Gibson Paradoksunun Geçerliliği Analizi. TİSK Akademi, 12(23), 172-184.
  • Altunöz, U. (2020). Faiz Haddi-Enflasyon İlişkisi ve Türkiye’de Gibson Çelişkisinin Analizi: Keynes-Wicksell ve Fisher Örneği. Sayıştay Dergisi, (118), 153-178.
  • Atgür, M. (2021). Türkiye’de Enflasyon ve Faiz İlişkisi: Gibson Paradoksunun Türkiye’de Geçerliliği (2004-2020). Ömer Halisdemir Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 14(2), 513-526.
  • Atkins, F. J. and Serletis, A. (2003). Bounds Tests of the Gibson Paradox and the Fisher Effect: Evidence from Low-Frequency International Data. Manchester School, 71(6).
  • Bakkal, H. (2021). Türkiye’de Gibson Paradoksunun Geçerliliği: Maki Eşbütünleşme Testi. Journal of Emergıng Economies and Policy, 6(2) 226-235.
  • Baltagi, B. H., Feng, Q. and Kao, C. (2012). A Lagrange Multiplier Test for Cross-Sectional Dependence in a Fixed Effects Panel Data Model. Journal of Econometrics, 170(1), 164-177.
  • Barsky, R. B. and Summers, L. (1988). Gibson Paradox and The Gold Standard. Journal of Political Economy, 96(3).
  • Benjamin, D. K. and 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, University of Chicago Press, 587-612.
  • Breusch, T.S. and Pagan, A.R. (1980). The Lagrange Multiplier Test and Its Applications to Model Spesification in Econometrics. The Review of Economic Studies, 47(1), 239-253.
  • Chadha, J.S. and Pearlman, M. (2014). Was The Gibson Paradox for Real? A Wicksellian Study of the Relationship between Interest Rates and Prices. Financial History Review, 21(2), 139-163.
  • Cheng, H., Kesselring, R. G. and Brown, C. R. (2013). The Gibson Paradox: Evidence from China. China Economic Review, 27, 82-93.
  • Cochran, J. (1997). Replicating Gibson: or, A Pair of Dummies Does not Beata Paradox. GMU Economics Department Working Paper Series, WPE:99-10, 1-21.
  • Corbae, D. and Ouliaris, S. (1989). A Random Walk Through The Gibson Paradox. Journal of Applied Econometrics, 4, 295-303.
  • Coulombe, S. A. (1998). Non-Paradoxical Interpretation of The Gibson Paradox. Bank of Canada Working Paper, No. 98-22, 1988.
  • Dehghani, Z., Nooralah, S. A. and Mehdi, N. (2015). Gibson Paradox Analysis in Iran Economic. International Journal of Modern Mathematical Sciences, 13(4), 442-448.
  • Dowd, K. and Harrison, B. (2000). The Gibson Paradox and The Gold Standard: Evidence from the United Kingdom 1821-1913. Applied Economics Letters, 7, 711-713.
  • Fisher, I. (1930). The theory of interest (Vol. 43). New York: The Macmillan Company Friedman, M. and Schwartz, A.J. (1982). Monetary Trends in the United States and the United Kingdom: Their Relation to Income, Prices, and Interest Rates: 1867-1975. Chicago: University of Chicago Press.
  • Gibson, A. H. (1923). The Future Course of High Class Investment Values. Banker’s Magazine (London), 115, 15-34.
  • Halıcıoğlu, F. (2004). The Gibson Paradox: An Empirical Investigation for Türkiye. European Research Studies Journal, 7(1-2), 111-119.
  • Hannsgen, G. (2004). Gibson’s Paradox, Monetary Policy, and the Emergence of Cycles. Working Paper, No. 448. The Levy Economics Institute of Bard College.
  • Hausman, J.A. (1978). Specification Tests in Econometrics. Econometrica, 46(6), 1251-1271.
  • Hsiao, C. (2003). Analysis of panel data, UK: Cambridge University Press, 2, 1-359.
  • Keho, Y. (2015). Emprical Testing of the Gibson Paradox in Selected African Countries. Journal of Economics and Development Studies, 3(3), 13-18.
  • Kitchin, J. (1923). Cycles and Trends in Economic Factors. Review of Economics and Statistics, 5, 10-16.
  • Klein, R.L. (1995). An Economic Interpretation of The Gibson Relationship. Atlantic Economic Journal, 23.
  • Koçbulut, Ö. and Barış, S. (2016). Avrupa Birliği Ülkelerinde İhracat ve Doğrudan Yabancı Yatırımların Kadın İstihdamı Üzerindeki Etkisi: Panel Veri Analizi. Aydın İktisat Fakültesi Dergisi, 1 (2), 22-39. Retrieved from https://dergipark.org.tr/tr/pub/aifd/issue/28229/299721.
  • Koçyiğit, A., Kılıç, M. E. and Bayat, T. (2015). A Causality Test on The Gibson Paradox in Türkiye. Asian Economic and Financial Review, 5(10), 1134-1147.
  • Kofoğlu, İ. H. (2020). Gibson Paradoksu: Türkiye Örneği. İktisadi ve İdari Bilimlerde Güncel Araştırmalar, Ivpe, 182-201.
  • Kofoğlu, İ.H. (2018). Gibson Paradoksu Türkiye Örneği. Doktora Tezi, Karadeniz Teknik Üniversitesi Sosyal Bilimler Enstitüsü, Trabzon.
  • Menyah, K., Nazlıoğlu, Ş. and Wolde-Rufael, Y. (2014). Financial Development, Trade Openness and Economic Growth in African Countries: New Insights from a Panel Causality Approach. Economic Modelling, 37, 386-394.
  • Mercan, M. (2014). Feldstein-Horioka Hipotezinin AB-15 ve Türkiye Ekonomisi için Sınanması: Yatay Kesit Bağımlılığı Altında Yapısal Kırılmalı Dinamik Panel Veri Analizi. Ege Akademik Bakış, 14(2), 231-245.
  • Mills, T.C. (2008). Exploring Historical Economic Relationships: Two and A Half Centuries of British Interest Rates and Inflation. Cliometrica, 2.
  • Mohaddes, K. and Raissi, M. (2020). Compilation, Revision and Updating of the Global VAR (GVAR) Database, 1979Q2-2019Q4. University of Cambridge: Judge Business School (Mimeo).
  • Muscatelli, V. A. and Spinelli, F. (1996). Gibson’s Paradox and Policy Regimes: A Comparison of The Experience in The US, UK and Italy. Scottish Journal of Political Economy, 43(4), 468-492.
  • Ogbonna, B.B.C. (2014). Testing for Gibson’s Paradox: Evidence from Nigeria. Journal of Economics and Sustainable Development, 5(4), 157-163.
  • Özdemir, M. and Yıldırım, S. (2018). Fiyat Düzeyi ve Faiz Oranı: Gibson Paradoksu Türkiye Ekonomisi İçin Geçerli (mi)? Maliye Dergisi, 174, 26-47.
  • Pesaran, M. H. (2004). General Diagnostic Tests for Cross Section Dependence in Panels. IZA Discussion Paper, (1240), 1-39.
  • Pesaran, M. H. and Yamagata, T. (2008). Testing Slope Homogeneity in Large Panels. Journal of Econometrics, 142(1), 50-93.
  • Pesaran, M. H., Shin, Y. and Smith, R. J. (2001). Bounds Testing Approaches to The Analysis of Level Relationships. Journal of Applied Econometrics, 16, 289-326.
  • Pesaran, M. H., Shin, Y. and Smith, R.P. (1999). Pooled Mean Group Estimation of Dynamic Heterogeneous Panels. Journal of the American Statistical Association, 94(446), 621-634.
  • Pesaran, M. H., Ullah, A. and Yamagata, T. (2008). A Bias-Adjusted LM Test of Error Cross-Section Independence. The Econometrics Journal, 11(1), 105-127.
  • Sargent, T. J. (1973). Interest Rates and Prices İn The Long Run: A Study Of The Gibson Paradox. Journal of Money, Credit and Banking, 5(1), 385-449.
  • Savaş, V. F. (2008). Politik İktisat. İstanbul: Beta Yayınları.
  • Serletis, A. and Zestos, G. (1999). On the Gibson Paradox. Review of International Economics, 7, 117-125.
  • Shiller, R. J. and Siegel, J. J. (1977). The Gibson Paradox and Historical Movements in Real Interest Rates. The Journal of Political Economy, 85(5), 891–907. https://doi.org/10.1086/260614. Snowdon, B. and Vane, H. (2005). Modern Macroeconomics: It's Origins, Development and Current State. Edward Elgar Publishing Ltd., 42.
  • Şimşek, M. and Kadılar, C. (2008). Gibson Paradoksunun Türkiye Verileri ile Analizi. Kırgız-Manas Üniversitesi Sosyal Bilimler Dergisi, 20, 116-127.
  • Yamak, N. and Tanrıöver, B. (2007). Türkiye’de Nominal Faiz Oranı-Genel Fiyat Düzeyi İlişkisi; Gibson Paradoksu, 8. Türkiye Ekonometri ve İstatistik Kongresi, 1-13, http://eisemp8.inonu.edu.tr/bildiripdf/yamak-tanriover.pdf , (accessed August 5, 2009).
  • Yapraklı, S. and Yurttançıkmaz, Z.Ç. (2010). Türkiye’de Gibson Çelişkisinin Geçerliliği: Ekonometrik Bir Analiz (1970-2009). Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi, 24(3), 23-38.
  • Yıldırım, S. (2017). Gibson Paradoksu: Türkiye Örneği. Yüksek Lisans Tezi, Uludağ Üniversitesi Sosyal Bilimler Enstitüsü, Bursa.

Gibson Paradox: Panel Data Analysis on ASEAN-T Countries

Yıl 2023, Cilt: 15 Sayı: 1, 12 - 27, 22.06.2023

Seçkin Kabak Tuğçe Dallı

https://doi.org/10.33818/ier.1183955

Öz

The existence of a long-term positive relationship between the nominal interest rate and the general price level is called the Gibson paradox in the economics literature. In other words, according to this paradox, high prices are the result of high interest rates. Studies on this paradox in the literature gained momentum after the work of Gibson (1923). The main purpose of this study is to test whether Gibson paradox is valid for ASEAN-T countries with quarterly data of 1993:Q1-2019:Q4. In this context, short and long term interest rates and consumer price index variables were used in the study. In the study, in which panel data analysis was carried out, it was first analyzed whether there was a cross-section dependency. Because of the cross-section dependency in the series, the CADF unit root test, one of the second generation panel unit root tests, was used. Panel ARDL (Autoregressive Distributed Lag) bounds test was carried out due to the different stationarity levels of the series. According to the panel ARDL bounds test findings, there is a positive relationship between the long-term interest rate and the consumer price index in both the short and long run. Therefore, the Gibson paradox is valid in the ASEAN-T countries in the examined period.

Anahtar Kelimeler

Gibson Paradox Panel Data Analysis Panel ARDL Bound Test

Kaynakça

  • Aklan, N. A., Akay, H. K. and Çınar, M. (2014, Ekim). Türkiye’de Faiz Haddi ve Enflasyon İlişkisi: Gibson Paradoksu’na Yönelik Bir Değerlendirme. International Conference in Economics Prague, Czech Republic September 03-05, Prague.
  • Altunöz, U. (2017). Nominal Faiz Oranı-Genel Fiyat Düzeyi İlişkisi ile Türkiye’de Gibson Paradoksunun Geçerliliği Analizi. TİSK Akademi, 12(23), 172-184.
  • Altunöz, U. (2020). Faiz Haddi-Enflasyon İlişkisi ve Türkiye’de Gibson Çelişkisinin Analizi: Keynes-Wicksell ve Fisher Örneği. Sayıştay Dergisi, (118), 153-178.
  • Atgür, M. (2021). Türkiye’de Enflasyon ve Faiz İlişkisi: Gibson Paradoksunun Türkiye’de Geçerliliği (2004-2020). Ömer Halisdemir Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 14(2), 513-526.
  • Atkins, F. J. and Serletis, A. (2003). Bounds Tests of the Gibson Paradox and the Fisher Effect: Evidence from Low-Frequency International Data. Manchester School, 71(6).
  • Bakkal, H. (2021). Türkiye’de Gibson Paradoksunun Geçerliliği: Maki Eşbütünleşme Testi. Journal of Emergıng Economies and Policy, 6(2) 226-235.
  • Baltagi, B. H., Feng, Q. and Kao, C. (2012). A Lagrange Multiplier Test for Cross-Sectional Dependence in a Fixed Effects Panel Data Model. Journal of Econometrics, 170(1), 164-177.
  • Barsky, R. B. and Summers, L. (1988). Gibson Paradox and The Gold Standard. Journal of Political Economy, 96(3).
  • Benjamin, D. K. and 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, University of Chicago Press, 587-612.
  • Breusch, T.S. and Pagan, A.R. (1980). The Lagrange Multiplier Test and Its Applications to Model Spesification in Econometrics. The Review of Economic Studies, 47(1), 239-253.
  • Chadha, J.S. and Pearlman, M. (2014). Was The Gibson Paradox for Real? A Wicksellian Study of the Relationship between Interest Rates and Prices. Financial History Review, 21(2), 139-163.
  • Cheng, H., Kesselring, R. G. and Brown, C. R. (2013). The Gibson Paradox: Evidence from China. China Economic Review, 27, 82-93.
  • Cochran, J. (1997). Replicating Gibson: or, A Pair of Dummies Does not Beata Paradox. GMU Economics Department Working Paper Series, WPE:99-10, 1-21.
  • Corbae, D. and Ouliaris, S. (1989). A Random Walk Through The Gibson Paradox. Journal of Applied Econometrics, 4, 295-303.
  • Coulombe, S. A. (1998). Non-Paradoxical Interpretation of The Gibson Paradox. Bank of Canada Working Paper, No. 98-22, 1988.
  • Dehghani, Z., Nooralah, S. A. and Mehdi, N. (2015). Gibson Paradox Analysis in Iran Economic. International Journal of Modern Mathematical Sciences, 13(4), 442-448.
  • Dowd, K. and Harrison, B. (2000). The Gibson Paradox and The Gold Standard: Evidence from the United Kingdom 1821-1913. Applied Economics Letters, 7, 711-713.
  • Fisher, I. (1930). The theory of interest (Vol. 43). New York: The Macmillan Company Friedman, M. and Schwartz, A.J. (1982). Monetary Trends in the United States and the United Kingdom: Their Relation to Income, Prices, and Interest Rates: 1867-1975. Chicago: University of Chicago Press.
  • Gibson, A. H. (1923). The Future Course of High Class Investment Values. Banker’s Magazine (London), 115, 15-34.
  • Halıcıoğlu, F. (2004). The Gibson Paradox: An Empirical Investigation for Türkiye. European Research Studies Journal, 7(1-2), 111-119.
  • Hannsgen, G. (2004). Gibson’s Paradox, Monetary Policy, and the Emergence of Cycles. Working Paper, No. 448. The Levy Economics Institute of Bard College.
  • Hausman, J.A. (1978). Specification Tests in Econometrics. Econometrica, 46(6), 1251-1271.
  • Hsiao, C. (2003). Analysis of panel data, UK: Cambridge University Press, 2, 1-359.
  • Keho, Y. (2015). Emprical Testing of the Gibson Paradox in Selected African Countries. Journal of Economics and Development Studies, 3(3), 13-18.
  • Kitchin, J. (1923). Cycles and Trends in Economic Factors. Review of Economics and Statistics, 5, 10-16.
  • Klein, R.L. (1995). An Economic Interpretation of The Gibson Relationship. Atlantic Economic Journal, 23.
  • Koçbulut, Ö. and Barış, S. (2016). Avrupa Birliği Ülkelerinde İhracat ve Doğrudan Yabancı Yatırımların Kadın İstihdamı Üzerindeki Etkisi: Panel Veri Analizi. Aydın İktisat Fakültesi Dergisi, 1 (2), 22-39. Retrieved from https://dergipark.org.tr/tr/pub/aifd/issue/28229/299721.
  • Koçyiğit, A., Kılıç, M. E. and Bayat, T. (2015). A Causality Test on The Gibson Paradox in Türkiye. Asian Economic and Financial Review, 5(10), 1134-1147.
  • Kofoğlu, İ. H. (2020). Gibson Paradoksu: Türkiye Örneği. İktisadi ve İdari Bilimlerde Güncel Araştırmalar, Ivpe, 182-201.
  • Kofoğlu, İ.H. (2018). Gibson Paradoksu Türkiye Örneği. Doktora Tezi, Karadeniz Teknik Üniversitesi Sosyal Bilimler Enstitüsü, Trabzon.
  • Menyah, K., Nazlıoğlu, Ş. and Wolde-Rufael, Y. (2014). Financial Development, Trade Openness and Economic Growth in African Countries: New Insights from a Panel Causality Approach. Economic Modelling, 37, 386-394.
  • Mercan, M. (2014). Feldstein-Horioka Hipotezinin AB-15 ve Türkiye Ekonomisi için Sınanması: Yatay Kesit Bağımlılığı Altında Yapısal Kırılmalı Dinamik Panel Veri Analizi. Ege Akademik Bakış, 14(2), 231-245.
  • Mills, T.C. (2008). Exploring Historical Economic Relationships: Two and A Half Centuries of British Interest Rates and Inflation. Cliometrica, 2.
  • Mohaddes, K. and Raissi, M. (2020). Compilation, Revision and Updating of the Global VAR (GVAR) Database, 1979Q2-2019Q4. University of Cambridge: Judge Business School (Mimeo).
  • Muscatelli, V. A. and Spinelli, F. (1996). Gibson’s Paradox and Policy Regimes: A Comparison of The Experience in The US, UK and Italy. Scottish Journal of Political Economy, 43(4), 468-492.
  • Ogbonna, B.B.C. (2014). Testing for Gibson’s Paradox: Evidence from Nigeria. Journal of Economics and Sustainable Development, 5(4), 157-163.
  • Özdemir, M. and Yıldırım, S. (2018). Fiyat Düzeyi ve Faiz Oranı: Gibson Paradoksu Türkiye Ekonomisi İçin Geçerli (mi)? Maliye Dergisi, 174, 26-47.
  • Pesaran, M. H. (2004). General Diagnostic Tests for Cross Section Dependence in Panels. IZA Discussion Paper, (1240), 1-39.
  • Pesaran, M. H. and Yamagata, T. (2008). Testing Slope Homogeneity in Large Panels. Journal of Econometrics, 142(1), 50-93.
  • Pesaran, M. H., Shin, Y. and Smith, R. J. (2001). Bounds Testing Approaches to The Analysis of Level Relationships. Journal of Applied Econometrics, 16, 289-326.
  • Pesaran, M. H., Shin, Y. and Smith, R.P. (1999). Pooled Mean Group Estimation of Dynamic Heterogeneous Panels. Journal of the American Statistical Association, 94(446), 621-634.
  • Pesaran, M. H., Ullah, A. and Yamagata, T. (2008). A Bias-Adjusted LM Test of Error Cross-Section Independence. The Econometrics Journal, 11(1), 105-127.
  • Sargent, T. J. (1973). Interest Rates and Prices İn The Long Run: A Study Of The Gibson Paradox. Journal of Money, Credit and Banking, 5(1), 385-449.
  • Savaş, V. F. (2008). Politik İktisat. İstanbul: Beta Yayınları.
  • Serletis, A. and Zestos, G. (1999). On the Gibson Paradox. Review of International Economics, 7, 117-125.
  • Shiller, R. J. and Siegel, J. J. (1977). The Gibson Paradox and Historical Movements in Real Interest Rates. The Journal of Political Economy, 85(5), 891–907. https://doi.org/10.1086/260614. Snowdon, B. and Vane, H. (2005). Modern Macroeconomics: It's Origins, Development and Current State. Edward Elgar Publishing Ltd., 42.
  • Şimşek, M. and Kadılar, C. (2008). Gibson Paradoksunun Türkiye Verileri ile Analizi. Kırgız-Manas Üniversitesi Sosyal Bilimler Dergisi, 20, 116-127.
  • Yamak, N. and Tanrıöver, B. (2007). Türkiye’de Nominal Faiz Oranı-Genel Fiyat Düzeyi İlişkisi; Gibson Paradoksu, 8. Türkiye Ekonometri ve İstatistik Kongresi, 1-13, http://eisemp8.inonu.edu.tr/bildiripdf/yamak-tanriover.pdf , (accessed August 5, 2009).
  • Yapraklı, S. and Yurttançıkmaz, Z.Ç. (2010). Türkiye’de Gibson Çelişkisinin Geçerliliği: Ekonometrik Bir Analiz (1970-2009). Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi, 24(3), 23-38.
  • Yıldırım, S. (2017). Gibson Paradoksu: Türkiye Örneği. Yüksek Lisans Tezi, Uludağ Üniversitesi Sosyal Bilimler Enstitüsü, Bursa.
Toplam 50 adet kaynakça vardır.

Ayrıntılar

Birincil Dil İngilizce
Konular Ekonomi
Bölüm Makaleler
Yazarlar

Seçkin Kabak

Tuğçe Dallı

Yayımlanma Tarihi 22 Haziran 2023
Gönderilme Tarihi 3 Ekim 2022
Yayımlandığı Sayı Yıl 2023 Cilt: 15 Sayı: 1

Kaynak Göster

APA Kabak, S., & Dallı, T. (2023). Gibson Paradox: Panel Data Analysis on ASEAN-T Countries. International Econometric Review, 15(1), 12-27. https://doi.org/10.33818/ier.1183955
AMA Kabak S, Dallı T. Gibson Paradox: Panel Data Analysis on ASEAN-T Countries. IER. Haziran 2023;15(1):12-27. doi:10.33818/ier.1183955
Chicago Kabak, Seçkin, ve Tuğçe Dallı. “Gibson Paradox: Panel Data Analysis on ASEAN-T Countries”. International Econometric Review 15, sy. 1 (Haziran 2023): 12-27. https://doi.org/10.33818/ier.1183955.
EndNote Kabak S, Dallı T (01 Haziran 2023) Gibson Paradox: Panel Data Analysis on ASEAN-T Countries. International Econometric Review 15 1 12–27.
IEEE S. Kabak ve T. Dallı, “Gibson Paradox: Panel Data Analysis on ASEAN-T Countries”, IER, c. 15, sy. 1, ss. 12–27, 2023, doi: 10.33818/ier.1183955.
ISNAD Kabak, Seçkin - Dallı, Tuğçe. “Gibson Paradox: Panel Data Analysis on ASEAN-T Countries”. International Econometric Review 15/1 (Haziran 2023), 12-27. https://doi.org/10.33818/ier.1183955.
JAMA Kabak S, Dallı T. Gibson Paradox: Panel Data Analysis on ASEAN-T Countries. IER. 2023;15:12–27.
MLA Kabak, Seçkin ve Tuğçe Dallı. “Gibson Paradox: Panel Data Analysis on ASEAN-T Countries”. International Econometric Review, c. 15, sy. 1, 2023, ss. 12-27, doi:10.33818/ier.1183955.
Vancouver Kabak S, Dallı T. Gibson Paradox: Panel Data Analysis on ASEAN-T Countries. IER. 2023;15(1):12-27.