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Is Gibson Paradox Valid for Türkiye? Nonlinear Time Series Application

Author

Listed:
  • YeÅŸim KUBAR
  • Seyit Taha KETENCÄ°
  • Yasemin ÇİÇEK

Abstract

The Gibson paradox refers to the positive relationship between the price level and the interest rate. It is one of the most debated empirical problems in macroeconomics. The aim of this research is to examine whether the Gibson paradox is applicable to the Turkish economy. In this study, the correlation between the consumer price index and the deposit interest rate was tested using monthly data for the period 2000:01 and 2022:12 using nonlinear unit root test cointegration analysis. Our findings show that the Gibson paradox holds true during the relevant period. It was also concluded that there is a long-term relationship between the price level and the interest rate, with the effect running from the nominal interest rate to the price level. This study supports the hypothesis that the Gibson paradox exists in Türkiye.

Suggested Citation

  • YeÅŸim KUBAR & Seyit Taha KETENCÄ° & Yasemin ÇİÇEK, 2026. "Is Gibson Paradox Valid for Türkiye? Nonlinear Time Series Application," Fiscaoeconomia, Tubitak Ulakbim JournalPark (Dergipark), issue 1.
    • Handle: RePEc:fis:journl:260114
    DOI: 10.25295/fsecon.1628632
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    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects

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