Para ve Maliye Politikalarının Enflasyon Üzerindeki Etkisi: BRIC Ülkeleri ve Türkiye İçin Bir Bootstrap Panel Granger Nedensellik Analizi

Bu çalışmada para ve maliye politikalarının enflasyon üzerine etkisine odaklanılmış ve değişkenler arasındaki ilişki BRIC (Brezilya, Rusya, Hindistan, Çin) ülkeleri ve Türkiye için araştırılmıştır. Çalışmada yöntem olarak ikinci nesil panel nedensellik testi olan ve Kónya (2006) tarafından geliştirilen Bootstrap Panel Granger nedensellik analizi kullanılmıştır. Çalışmada ilk olarak değişkenler arasında yatay kesit bağımlılığı olup olmadığı araştırılmış ardından homojenlik testine yer verilmiştir. Çalışmanın ampirik bulgularına göre, Hindistan ve Türkiye’de para politikasından enflasyona doğru tek yönlü bir nedensellik ilişkisi mevcut iken, Çin’de para politikası ve enflasyon arasında çift yönlü bir nedensellik ortaya çıkmıştır. Diğer yandan Hindistan’da maliye politikasından enflasyona doğru tek yönlü bir nedensellik ilişkisi, Brezilya’da ise enflasyondan maliye politikasına doğru tek yönlü bir nedensellik ilişkisi gözlenmiştir.

The Effect of Monetary and Fiscal Policies on Inflation: A Bootstrap Panel Granger Causality Analysis for BRIC Countries and Turkey

This study focused on the effects of monetary and fiscal policy on inflation and the relationship between variables has been examined for the BRIC (Brazil, Russia, India, China) countries and Turkey. In the study, Bootstrap Panel Granger Causality Analysis (The Second Generation Panel Causality Test) method which is developed by Kónya (2006) was used. Firstly the cross-sectional dependeny was investigated among variables, then slope homogeneity test was done. According to the findings of the study, a unidirectional causality relationship has been found from monetary policy to inflation in India and Turkey and there is a bidirectional causality relationship between monetary policy and inflation in China. On the other hand, a unidirectional causality relationship has been found from fiscal policy to inflation in India and whereas there is a unidirectional causality relationship from inflation to fiscal policy in Brazil.

___

  • Zhou, H. (2015). Effectiveness Study of Chinese Monetary Policy Regulation on Economic Growth and Inflation. China’s Monetary Policy Regulation and Financial Risk Prevention, Springer-Verlag Berlin Heidelberg.
  • Zellner, A. (1962). An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias. Journal of The American Statistical Association, 57(298), 348-368.
  • Woodford, M. (2001). Fiscal Requirements for Price Stability. NBER Working Paper, 8072.
  • Woodford, M. (1995). Price Level Determinancy Without Control of a Monetary Aggregate. NBER Working Paper Series, 5204.
  • Woodford, M. (1994). Monetary Policy and Price Level Determinacy in a Cash-in Advance Economy. Economic Theory, 4(3), 345-380.
  • Tobin J. (1958). Liquidity Preference as Behavior Towards Risk. Review of Economic Studies, 25(67), 65-86.
  • Sims, C. A. (1994). A Simple Model for Study of the Determination of the Price Level and the Interaction of Monetary and Fiscal Policy. Economic Theory, 4(3), 381-399.
  • Swamy, P. A. (1970). Efficient Inference in a Random Coefficient Regression Model. Econometrica. 38(2), 311-323.
  • Say, J. B. (1821). Letters to Mr. Maltus and the Catechism of Political Economy. London: Sherwood, Neely & Jones.
  • Sargent, T. J. ve Wallace N. (1981). Some Unpleasant Monetarist Arithmetic. Federal Reserve Bank of Minneapolis Quarterly Review, 5(3).
  • Pesaran, M. H., Ullah, A., ve Yamagata, T. (2008). A Bias-Adjusted LM Test of Error Cross-Section Independence. The Econometrics Journal, 11(1), 105-127.
  • Pesaran, M. H., ve Yamagata, T. (2008). Testing Slope Homogeneity in Large Panels. Journal of Econometrics, 142(1), 50-93.
  • Pesaran, M. H. (2004). General Diagnostic Tests for Cross Section Dependence in Panels. University of Cambridge Working Papers in Economics No. 0435.
  • Osorio, C. ve Ünsal, D. F. (2011). Inflation Dynamics in Asia: Causes, Changes, and Spillovers from China. IMF Working Paper Series, WP/11/257.
  • Najaf, R. (2016). Impact of Fiscal Policy Shocks on the Indian Economy. Journal of Hotel & Business Management, 5(2), 1-6.
  • Metin, K. (1998). The Relationship Between Inflation and the Budget Deficit in Turkey. Journal of Business & Economic Statistics, 16(4), 412-422.
  • McCallum, B. (1986). Monetary versus Fiscal Policy Effects: A Review Of The Debate. In hater. (eds). The monetarys versus fiscal policy debate lessons from two decades studies in monetary and macroeconomic theory and policy, 9-29.
  • Markowitz H. M. (1959). Portfolio Selection: Efficient Diversification of Investments. New York: John Wiley & Sons
  • Mankiw, N. G. (2004). Principles of Macroeconomics, (3rd ed.). Ohio: Published by Thomson/South- Western, Mason.
  • Lozano, I. (2008). Budget Deficit, Money Growth and Inflation: Evidence from the Colombian Case. Borradores de Economia, 537, 1-25.
  • Leeper, E. (1991). Equilibria Under ‘Active’ and ‘Passive’ Monetary and Fiscal Policies. Journal of Monetary Economics, 27(1), 129-147.
  • Krugman, P. R. ve Wells, R. (2005). Macroeconomics (1st ed.). New York: Worth Publishers.
  • Koru, A. T. ve Özmen, E. (2003). Budget Deficits, Money Growth and Inflation: The Turkish Evidence. Articles in Applied Economics. 1-17.
  • Kónya, L. (2006). Exports and Growth: Granger Causality Analysis on OECD Countries with a Panel Data Approach. Economic Modelling, 23(6), 978-992.
  • Kojima, R., Nakamura, S. ve Ohyama, S. (2005). Inflation Dynamics in China. Bank of Japan Working Paper Series, 2-1-1 Nihonbashi Hongoku-cho, Chuo-ku, Tokyo 103-8660.
  • Hsing, Y. (2005). Impact of Monetary Policy, Fiscal Policy and Currency Depreciation on Output: The Case of Venezuela. Briefing Notes in Economics, 65, 1-9.
  • Güney, T. (2017). Türkiye ve BRICS Ülkelerinde Ekonomik Özgürlüğün Ekonomik Büyüme Üzerindeki Etkisi. International Review of Economics and Management, 5(2), 30-47.
  • Gramlich, E. M. (1971). The Usefulnes of Monetary and Fiscal Policies as Discretionary Stabilization Tools. Journal of Money, Credit and Banking, 3(2), 506-532.
  • Goldman Sachs (2003). Dreaming with BRICs: The Path to 2050, Written by Dominic Wilsonand Roopa Purushothaman, Global Economics Paper, 99.
  • Ghura, D. (1995). Effects of Macroeconomic Policies on Income Growth, Inflation and Output Growth in Sub-Saharan Africa. Journal of Policy Modelling, 17(4), 367-395.
  • Friedman, M. ve Meiselman, D. (1963). The Relative Stability of Monetary Velocity and the Investment Multiplier in the United States, 1897-1958. A Series of Research Studies Prepared for the Commission on Money and Credit, Englewood Cliffs. New Jersey: Prentice Hall.
  • Evans, M. K. ve Klein, L. R. (1967). The Wharton Econometric Forecasting Model. Philadelphia. Econometric Research Unit, Wharton School.
  • Edwards, J. R. (1991). Macroeconomics Equilibrium and Disequilibrium Analysis. New York: Macmillan Publishing Company.
  • Dünya Bankası (2018) “Ekonomik Göstergeler”, 10 Ocak 2018 tarihinde https://data.worldbank.org/ adresinden erişildi.
  • Dornbusch, R. ve Fischer, S. (1990). Macroeconomics (5th. edition) Singapore: McGraw-Hill International Editions, Economics Series.
  • DePrano, M. ve Mayer, T. (1965). Tests of The Relative Importance of Autonomous Expenditures and Money. American Economic Review, 55, 729-752.
  • De Leeuw, F. ve Kaichbrenner, J. (1969). Monetary and Fiscal Actions: A Test of Their Relative Importance in Economic Stabilization, Federal Reserve Bank of St. Louis Review, 6-11.
  • Cho, D. W. (1979). The Relative Stability of Monetary Velocity and The Investment Multiplier in the United States: Some Additional Evidence. Southern Economic Journal, 45(4), 1285-1291.
  • Callen, T. ve Chang, D. (1999). Modeling and Forecasting Inflation in India. IMF Working Paper Series, 99, 119, 1-36.
  • Breusch, T. S., ve Pagan, A. R. (1980). The Lagrange Multiplier Test and Its Applications to Model Specification in Econometrics. The Review of Economic Studies, 47(1), 239-253.
  • Bölükbaş, M. ve Peker, O. (2017). Türkiye’de Fiyat Düzeyi ve Maliye Politikası Arasındaki İlişki: FTPL Yaklaşımının Ekonometrik Bir Analizi, Maliye Dergisi, Ocak-Haziran,172: 1-14.
  • Blinder, A. S. ve Solow, R. M. (1974). Does Fiscal Policy Still Matter? Journal of Public Economics, 2(3), 19-37.
  • Ansari, M. I. (1996). Monetary vs. Fiscal policy: Some Evidence from Vector Autoregression for India. Journal of Asian Economics, 7(4), 677-698.
  • Anna, C. (2012). The Relative Effectivness of Monetary and Fiscal Policies on Economic Activity in Zimbabwe (1981:4-1998:3) An Error Correction Approach. International Journal of Management Sciences and Business Research, 1(5), 1-35.
  • Ando, A. ve Modigliani, F. (1965). The Relative Stability of Monetary Velocity and The Investment Multiplier. American Economic Review, 55, 693-728.
  • Anderson, L. C. ve Carlson, K. M. (1970). A Monetarist Model of Economic Stabilization. Federal Reserve Bank of St. Louis Review,52, 7-27.
  • Anderson, L. C. ve Jordan, J. L. (1968). Monetary and Fiscal Actions: A Test of Their Relative Importance in Economic Stabilization. Federal Reserve Bank of St. Louis Review, 50, 11-24.
  • Ambreen, F. ve Azhar, I. (2003). The Relative Effectiveness of Monetary and Fiscal Policies An Econometric Study. Pakistan Economic and Social Review. 41(1&2), 93-116.
  • Akçay, O. C., Alper, C. E. ve Özmucur, S. (1996). Budget Deficit, Money Supply and Inflation: Evidence from Low and High Frequency Data for Turkey. İstanbul: Bogazici University, Department of Economics.