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The Gibson Paradox: An Empirical Investigation for Turkey

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Author Info
Halicioglu, Ferda

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Abstract

This paper tests the existence of Gibson paradox using the traditional and modern time series techniques in the case of annual Turkish data. Even though the results from the traditional Gibson paradox regression suggested a positive relationship between the interest rates and the prices levels in Turkish data, subsequently it was proven to be spurious. On analyzing the time series properties of the variables and the results from the Johansen cointegration procedure, we reveal that there is no support of the Gibson paradox in Turkish data.

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File URL: http://mpra.ub.uni-muenchen.de/3556/
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Publisher Info
Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 3556.

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Date of creation: 2004
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Publication status: Published in European Research Studies Journal 1-2.7(2004): pp. 111-119
Handle: RePEc:pra:mprapa:3556

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Related research
Keywords: Gibson paradox; co-integration; Turkey;

Find related papers by JEL classification:
E50 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - General
E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates

References listed on IDEAS
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  1. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-72, June. [Downloadable!] (restricted)
  2. Newey, Whitney K & West, Kenneth D, 1987. "A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix," Econometrica, Econometric Society, vol. 55(3), pages 703-08, May. [Downloadable!] (restricted)
    Other versions:
  3. Shiller, Robert J & Siegel, Jeremy J, 1977. "The Gibson Paradox and Historical Movements in Real Interest Rates," Journal of Political Economy, University of Chicago Press, vol. 85(5), pages 891-907, October. [Downloadable!] (restricted)
  4. Sumner, Scott, 1993. "The Role of the Gold Standard in the Gibson Paradox," Bulletin of Economic Research, Blackwell Publishing, vol. 45(3), pages 215-28, July.
  5. Muscatelli, Vito Antonio & Spinelli, Franco, 1996. "Gibson's Paradox and Policy Regimes: A Comparison of the Experience in the US, UK and Italy," Scottish Journal of Political Economy, Scottish Economic Society, vol. 43(4), pages 468-92, September.
  6. Barsky, Robert B & Summers, Lawrence H, 1988. "Gibson's Paradox and the Gold Standard," Journal of Political Economy, University of Chicago Press, vol. 96(3), pages 528-50, June. [Downloadable!] (restricted)
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  7. Phillips, P.C.B., 1986. "Understanding spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 33(3), pages 311-340, December. [Downloadable!] (restricted)
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  8. Daniel K. Benjamin & Levis A. Kochin, 1984. "War, Prices, and Interest Rates: A Martial Solution to Gibson's Paradox," NBER Chapters, in: A Retrospective on the Classical Gold Standard, 1821-1931, pages 587-612 National Bureau of Economic Research, Inc. [Downloadable!]
  9. Corbae, Dean & Ouliaris, Sam, 1989. "A Random Walk through the Gibson Paradox," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 4(3), pages 295-303, July-Sept. [Downloadable!] (restricted)
  10. Barsky, Robert B., 1987. "The Fisher hypothesis and the forecastability and persistence of inflation," Journal of Monetary Economics, Elsevier, vol. 19(1), pages 3-24, January. [Downloadable!] (restricted)
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  11. Serletis, Apostolos & Zestos, George, 1999. "On the Gibson Paradox," Review of International Economics, Blackwell Publishing, vol. 7(1), pages 117-25, February.
  12. Frank J. Atkins & Apostolos Serletis, 2003. "Bounds Tests of the Gibson Paradox and the Fisher Effect: Evidence from Low-Frequency International Data," Manchester School, University of Manchester, vol. 71(6), pages 673-679, December. [Downloadable!] (restricted)
  13. Sargent, Thomas J, 1973. "Interest Rates and Prices in the Long Run: A Study of the Gibson Paradox," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 5(1), pages 385-449, Part II F. [Downloadable!] (restricted)
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  14. Lee, Chi-Wen Jevons & Petruzzi, Christopher R, 1986. "The Gibson Paradox and the Monetary Standard," The Review of Economics and Statistics, MIT Press, vol. 68(2), pages 189-96, May. [Downloadable!] (restricted)
  15. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-38, May. [Downloadable!] (restricted)
  16. Gonzalo, Jesus, 1994. "Five alternative methods of estimating long-run equilibrium relationships," Journal of Econometrics, Elsevier, vol. 60(1-2), pages 203-233. [Downloadable!] (restricted)
  17. William J. Milne & Walter N. Torous, 1984. "Long-Term Interest Rates and the Price Level: The Canadian Evidence on the Gibson Paradox," Canadian Journal of Economics, Canadian Economics Association, vol. 17(2), pages 327-39, May. [Downloadable!] (restricted)
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