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Journals / Maliye Dergisi / 2018 / Sayı: 174

Price Level and Interest Rate: Is the Gibson Paradox Relevant for the Turkish Economy?

Fiyat Düzeyi ve Faiz Oranı: Gibson Paradoksu Türkiye Ekonomisi İçin Geçerli (mi)?

METİN ÖZDEMİR
Salih YILDIRIM
Pages
26–47
DOI
—
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AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

Also, we identify that the course of the long-term relationship between price level and interest rate is from nominal interest rate to the price level.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:The positive relationship between the price level and the long- term interest rate, which is known as the Gibson paradox, is one of the muchdebated empirical puzzles in monetary economics.
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Key Findings & Data:To this end, we tested the relationship between consumer price index, nominal interest rate measured by the yield to maturity of bond and one year forward deposit interest rate for the period of 2002:I-2017:IV by employing Johansen Co-integration analysis.
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Conclusion & Impact:Also, we identify that the course of the long-term relationship between price level and interest rate is from nominal interest rate to the price level.
🔬Design:Research Article
📍Scope:2002 Verileri
⚙️Variables:Domain Parameters

Abstract

The positive relationship between the price level and the long- term interest rate, which is known as the Gibson paradox, is one of the muchdebated empirical puzzles in monetary economics. The main objective of this study is to examine the validity of the Gibson paradox for the Turkish economy during the inflation targeting period. To this end, we tested the relationship between consumer price index, nominal interest rate measured by the yield to maturity of bond and one year forward deposit interest rate for the period of 2002:I-2017:IV by employing Johansen Co-integration analysis. Our results provide empirical support for the Gibson paradox. Also, we identify that the course of the long-term relationship between price level and interest rate is from nominal interest rate to the price level.

Özet

Gibson paradoksu olarak bilinen fiyat düzeyi ile uzun vadeli faiz oran arasndaki pozitif ili????ki, parasal iktisadn en çok tart????lan ampirik sorunlarndan birisidir. Bu çal????mann temel amac, Türkiye ekonomisi için enflasyon hedeflemesi döneminde Gibson paradoksunun geçerlili????ini ara????trmaktr. Çal????mada, tüketici fiyat endeksi ile tahvil faiz oran ve ek olarak 1 yl vadeli Türk liras mevduat faiz oran arasndaki ili????ki 2002:I- 2017:IV dönemi için Johansen e????bütünle????me analizi kullanlarak test edilmi????tir. Bulgularmz, ilgili dönemde Gibson paradoksunun geçerli oldu????unu ortaya koymaktadr. Ayrca, uzun dönemde fiyat düzeyi ile faiz oran arasndaki ili????kinin nominal faiz oranndan fiyat düzeyine do????ru oldu????u tespit edilmi????tir.

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Cite This Article

ÖZDEMİR, M., YILDIRIM, S. (2018). Price Level and Interest Rate: Is the Gibson Paradox Relevant for the Turkish Economy?. Maliye Dergisi, Sayı: 174, 26–47. https://ajindex.com/articles/78840

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