Research Article
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An Analysis of the Relationship between Public Sector Borrowing Requirement (PSBR), Money Supply and Inflation Rate in Türkiye

Year 2023, Volume: 12 Issue: Özel Sayı, 160 - 174, 29.10.2023

Abstract

The objective of this study is to examine the correlation between the public sector borrowing requirement, inflation rate, and money supply in Türkiye, utilizing yearly data spanning the period from 1975 to 2020. In this study, the authors employ the unit root tests with multiple structural breaks proposed by Zivot and Andrews, Lumsdaine and Papell, as well as the Maki cointegration tests with multiple structural breaks, to analyze the data. Subsequently, the application of the fully modified ordinary least squares (FMOLS) approach was utilized to ascertain the presence of a long-term association between the variables. The results indicate a positive correlation between inflation rates in Türkiye and both the public sector borrowing need and money supply over an extended period of time. Furthermore, a bootstrap causality analysis was undertaken by Hacker and Hatemi in order to investigate the causative relationship between the variables. Based on the findings pertaining to causation, it has been observed that there exists a unidirectional causal relationship from the money supply to inflation, as well as from the public sector borrowing demand to the money supply.

References

  • Abdelkafi, I. (2018). The relationship between public debt, economic growth, and monetary policy: Empirical evidence from tunisia. J Knowl Econ, 9, 1154–1167.
  • Aimola, A. U., and Odhiambo, N. M. (2020). Public debt and inflation: a review of international literature. Folia Oeconomica Stetinensia, 1, 9-24.
  • Aimola, A. U., and Odhiambo, N. M. (2021). Public debt and inflation: empirical evidence from Ghana. Development Studies Research, 8(1), 1-13.
  • Akcay, O. C., Alper, C. E., and Ozmucur, S. (1996). Budget deficit, money supply and inflation: evidence from low and high frequency data for Turkey. Boğaziçi University Department of Economics ISS/EC-1996-12.
  • Akitoby, B., Komatsuzaki, T., and Binder, A. (2014). Inflation and public debt reversals in the G7 countries. IMF Working Paper WP/14/96.
  • Altunöz, U. (2021). Bütçe açığı enflasyonist mi? Hoş olmayan monetarist aritmetik bağlamında Türkiye’nin enflasyon, para arzı ve bütçe açığı Analizi. Bankacılar Dergisi, 117, 134-155.
  • Bon, N. V. (2015). The relationship between public debt and inflation in developing countries: Emprical evidence based on difference panel GMM. Asian Journal of Empirical Research, 5(9), 128-142.
  • Carrion-i-Silvestre, J. L., Kim, D., and Perron, P. (2009). GLS-based Unit Root tests with multiple structural breaks under both the null and the alternative hypotheses. Econometric Theory, 25(6), 1754-1792.
  • Çoban, Y. (2014). Türkiye ekonomisi. İkinci Sayfa Yayınları.
  • Dickey, D. A., and Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root . Journal of the American Statistical Association, 366a(74), 427-431.
  • Diler, H. G. (2023). Is the public finance deficit a risk on inflation in turkey? UİİİD-IJEAS (C-iasoS 2022 Özel Sayısı), 1-10.
  • Ezeanyeji, C., Priscilla, I. C., and Frank, E. U. (2019). Public debt and inflation in Nigeria: An econometric analysis. International Journal of Appl ied Research, 5(3), 219-224.
  • Goodhart, C. A., Peiris, M. U., Dimitrios , P. T., and Wang, X. (2021). Corporate legacy debt, inflation, and the efficacy of monetary policy. Monetary Economics and Fluctuations Discussion Paper Series DP16799.
  • Gövdeli, T. (2018). Türkiye’de turizm, ihracat ve ekonomik büyüme ilişkisi: Maki eşbütünleşme ve bootstrap nedensellik analizi. Bingöl Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 8(16), 571-586.
  • Gujarati, D. N. (2016). Örneklerle ekonometri. BB101 Yayınları.
  • Hacker, R. S., and Hatemi-J , A. (2006). Tests for causality between integrated variables using asymptotic and bootstrap distributions: Theory and application. Applied Economics, 38(13), 1489-1500.
  • Karazijiene, Z. (2009). Modelling of the effect of the public sector borrowing on the Lithuanian economy. Inzinerine Ekonomika-Engineering Economics, 4, 24-31.
  • Katircioğlu, S. T. (2014). Testing the tourism-induced EKC hypothesis: The case of Singapore. Economic Modelling, 41, 383-391.
  • Kellermann, K. (2007). Debt financing of public investment: On a popular misinterpretation of “the Golden Rule of Public Sector Borrowing”. European Journal of Political Economy, 23(4), 1088-1104.
  • Kibritçioğlu, A., Rittenberg, L., and Selçuk F. (2002). Inflation and disinflation in Turkey. Ashgate Publishing Limited.
  • Kwon, G., McFarlane, L., and Robinson, W. (2009). Public debt, money supply, and inflation: a cross-country study. IMF Staff Papers, 56(3), 476-515.
  • Lumsdaine, R. L., & Papell, D. (1997). Multiple trend breaks and the Unit-Root Hypothesis. The Review of Economics and Statistics, 79(2), 212-218.
  • Maki, D. (2012). Tests for cointegration allowing for an unknown number of breaks . Economic Modelling, 29(5), 2011-2015.
  • Nastansky, A., Mehnert, A., and Strohe, H. G. (2014). A vector error correction model for the relationship between public debt and inflation in Germany. Wirtschafts- und Sozialwissenschaftliche Fakultät der Universität Potsdam Nr. 51.
  • Ng, S., and Perron, P. (2003). LAG length selection and the construction of unit root tests with good size and power. Econometrica, 69(6), 1519-1554
  • Nguyen, V. B. (2015). Effects of fiscal deficit and money M2 supply on inflation: Evidence from selected economies of Asia. Journal of Economics, Finance and Administrative Science, 20, 49–53.
  • Oyeleke, O. J., & Orisadare, M. A. (2018). Relative importance of public debts and money growth on inflation in Nigeria. International Journal of Economics and Finance, 10(7), 99-107.
  • Özatay, F. (2016). Finansal krizler ve Türkiye. Doğan Yayıncılık.
  • Özker, A. N. (2020). The scale effect of investments and tax incomes intended to public sector borrowing requirement in last period: Turkish case. Archives of Business Research, 8(3), 221-234.
  • Perron, P. (1989). The great crash, the oil price shock, and the unit root hypothesis. Econometrica, 57(6), 1361-1401.
  • Phillips, P. C., and Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335–346.
  • Phillips, P. C., and Hansen, B. E. (1990). Statistical inference in instrumental variables regression with I(1) processes. The Review of Economic Studies, 57(1), 99-125.
  • Romero, J. P., and Marín, K. L. (tarih yok). Inflation and public debt . Monetaria V, 1, 39–94.
  • Toda, H. Y., and Yamamoto, T. (1995). Statistical inference in vector autoregressions with possibly integrated processes. Journal of Econometrics, 66(1-2), 225-250.
  • Wray, L. R. (1997). Deficits, inflation, and monetary policy. Journal of Post Keynesian Economics, 19(4), 543-571.
  • Yavuz, N. Ç. (2003). Durağanlık ve koentegrasyon analizi çerçevesinde kamu açığı ve finansmanı açısından enflasyon modelinin tahmini (1982-2001). İstanbul Üniversitesi İktisat Fakültesi Mecmuası, 53(2), 101-117.
  • Zivot, E., and Andrews, D. (1992). Further evidence on the great crash, the oil-price shock, and the unit-root hypothesis. Journal of Business & Economic Statistics, 10(3), 251-270.

Türkiye’de Kamu Borçlanma Gereksinimi (KKGB), Para Arzı ile Enflasyon İlişkisinin İncelenmesi

Year 2023, Volume: 12 Issue: Özel Sayı, 160 - 174, 29.10.2023

Abstract

Kamu kesiminin mali yıl sonunda ortaya çıkan bütçe açıklarının finansmanı için borçlanma yoluna gitmesi zamanla kaçınılmaz bir tercih olmakta, özellikle Türkiye gibi gelişmekte olan ülkelerde böylesi zorunlu bir tercihin makroekonomik koşullar üzerinde bir dizi etkiler oluşturabileceği varsayılmaktadır. Bu bakımdan kamu borçlanmalarının enflasyon oranı ve parasal genişleme ile ilişkisi literatürde tartışılmaya devam eden önemli konular arasındadır. Yapılan bu çalışmanın amacı, Türkiye’de 1975-2020 yılları arası kamu kesimi borçlanma gereksinimi, enflasyon ve para arzı ilişkisini incelemektir. Öncelikle bu tarih aralığında yapısal kırılmaları dikkate alan Zivot ve Andrews, Lumsdaine ve Papell, çoklu yapısal kırılmalı Carrion-i Silvestre vd. birim kök testleri ve Maki çoklu yapısal kırılmalı eşbütünleşme testleri uygulanmıştır. Daha sonra değişkenler arasında uzun dönemli ilişkinin varlığını belirlemek için düzeltilmiş en küçük kareler (FMOLS) yöntemi uygulanmış ve elde edilen bulgulara göre Türkiye'de enflasyon oranlarının kamu kesimi borçlanma gereksinimi ve para arzı ile uzun dönemli pozitif ilişkili olduğu tespit edilmiştir. Ayrıca değişkenler arasındaki nedensellik bağını incelemek için Hacker ve Hatemi bootstrap nedensellik analizi yapılmıştır. Elde edilen nedensellik sonuçlarına göre para arzından enflasyona ve kamu kesimi borçlanma gereksiniminden para arzına doğru tek yönlü nedenselliğin varlığı saptanmıştır.

References

  • Abdelkafi, I. (2018). The relationship between public debt, economic growth, and monetary policy: Empirical evidence from tunisia. J Knowl Econ, 9, 1154–1167.
  • Aimola, A. U., and Odhiambo, N. M. (2020). Public debt and inflation: a review of international literature. Folia Oeconomica Stetinensia, 1, 9-24.
  • Aimola, A. U., and Odhiambo, N. M. (2021). Public debt and inflation: empirical evidence from Ghana. Development Studies Research, 8(1), 1-13.
  • Akcay, O. C., Alper, C. E., and Ozmucur, S. (1996). Budget deficit, money supply and inflation: evidence from low and high frequency data for Turkey. Boğaziçi University Department of Economics ISS/EC-1996-12.
  • Akitoby, B., Komatsuzaki, T., and Binder, A. (2014). Inflation and public debt reversals in the G7 countries. IMF Working Paper WP/14/96.
  • Altunöz, U. (2021). Bütçe açığı enflasyonist mi? Hoş olmayan monetarist aritmetik bağlamında Türkiye’nin enflasyon, para arzı ve bütçe açığı Analizi. Bankacılar Dergisi, 117, 134-155.
  • Bon, N. V. (2015). The relationship between public debt and inflation in developing countries: Emprical evidence based on difference panel GMM. Asian Journal of Empirical Research, 5(9), 128-142.
  • Carrion-i-Silvestre, J. L., Kim, D., and Perron, P. (2009). GLS-based Unit Root tests with multiple structural breaks under both the null and the alternative hypotheses. Econometric Theory, 25(6), 1754-1792.
  • Çoban, Y. (2014). Türkiye ekonomisi. İkinci Sayfa Yayınları.
  • Dickey, D. A., and Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root . Journal of the American Statistical Association, 366a(74), 427-431.
  • Diler, H. G. (2023). Is the public finance deficit a risk on inflation in turkey? UİİİD-IJEAS (C-iasoS 2022 Özel Sayısı), 1-10.
  • Ezeanyeji, C., Priscilla, I. C., and Frank, E. U. (2019). Public debt and inflation in Nigeria: An econometric analysis. International Journal of Appl ied Research, 5(3), 219-224.
  • Goodhart, C. A., Peiris, M. U., Dimitrios , P. T., and Wang, X. (2021). Corporate legacy debt, inflation, and the efficacy of monetary policy. Monetary Economics and Fluctuations Discussion Paper Series DP16799.
  • Gövdeli, T. (2018). Türkiye’de turizm, ihracat ve ekonomik büyüme ilişkisi: Maki eşbütünleşme ve bootstrap nedensellik analizi. Bingöl Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 8(16), 571-586.
  • Gujarati, D. N. (2016). Örneklerle ekonometri. BB101 Yayınları.
  • Hacker, R. S., and Hatemi-J , A. (2006). Tests for causality between integrated variables using asymptotic and bootstrap distributions: Theory and application. Applied Economics, 38(13), 1489-1500.
  • Karazijiene, Z. (2009). Modelling of the effect of the public sector borrowing on the Lithuanian economy. Inzinerine Ekonomika-Engineering Economics, 4, 24-31.
  • Katircioğlu, S. T. (2014). Testing the tourism-induced EKC hypothesis: The case of Singapore. Economic Modelling, 41, 383-391.
  • Kellermann, K. (2007). Debt financing of public investment: On a popular misinterpretation of “the Golden Rule of Public Sector Borrowing”. European Journal of Political Economy, 23(4), 1088-1104.
  • Kibritçioğlu, A., Rittenberg, L., and Selçuk F. (2002). Inflation and disinflation in Turkey. Ashgate Publishing Limited.
  • Kwon, G., McFarlane, L., and Robinson, W. (2009). Public debt, money supply, and inflation: a cross-country study. IMF Staff Papers, 56(3), 476-515.
  • Lumsdaine, R. L., & Papell, D. (1997). Multiple trend breaks and the Unit-Root Hypothesis. The Review of Economics and Statistics, 79(2), 212-218.
  • Maki, D. (2012). Tests for cointegration allowing for an unknown number of breaks . Economic Modelling, 29(5), 2011-2015.
  • Nastansky, A., Mehnert, A., and Strohe, H. G. (2014). A vector error correction model for the relationship between public debt and inflation in Germany. Wirtschafts- und Sozialwissenschaftliche Fakultät der Universität Potsdam Nr. 51.
  • Ng, S., and Perron, P. (2003). LAG length selection and the construction of unit root tests with good size and power. Econometrica, 69(6), 1519-1554
  • Nguyen, V. B. (2015). Effects of fiscal deficit and money M2 supply on inflation: Evidence from selected economies of Asia. Journal of Economics, Finance and Administrative Science, 20, 49–53.
  • Oyeleke, O. J., & Orisadare, M. A. (2018). Relative importance of public debts and money growth on inflation in Nigeria. International Journal of Economics and Finance, 10(7), 99-107.
  • Özatay, F. (2016). Finansal krizler ve Türkiye. Doğan Yayıncılık.
  • Özker, A. N. (2020). The scale effect of investments and tax incomes intended to public sector borrowing requirement in last period: Turkish case. Archives of Business Research, 8(3), 221-234.
  • Perron, P. (1989). The great crash, the oil price shock, and the unit root hypothesis. Econometrica, 57(6), 1361-1401.
  • Phillips, P. C., and Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335–346.
  • Phillips, P. C., and Hansen, B. E. (1990). Statistical inference in instrumental variables regression with I(1) processes. The Review of Economic Studies, 57(1), 99-125.
  • Romero, J. P., and Marín, K. L. (tarih yok). Inflation and public debt . Monetaria V, 1, 39–94.
  • Toda, H. Y., and Yamamoto, T. (1995). Statistical inference in vector autoregressions with possibly integrated processes. Journal of Econometrics, 66(1-2), 225-250.
  • Wray, L. R. (1997). Deficits, inflation, and monetary policy. Journal of Post Keynesian Economics, 19(4), 543-571.
  • Yavuz, N. Ç. (2003). Durağanlık ve koentegrasyon analizi çerçevesinde kamu açığı ve finansmanı açısından enflasyon modelinin tahmini (1982-2001). İstanbul Üniversitesi İktisat Fakültesi Mecmuası, 53(2), 101-117.
  • Zivot, E., and Andrews, D. (1992). Further evidence on the great crash, the oil-price shock, and the unit-root hypothesis. Journal of Business & Economic Statistics, 10(3), 251-270.
There are 37 citations in total.

Details

Primary Language English
Subjects Inflation, Monetary Policy
Journal Section Research Articles
Authors

Ömer Fazıl Emek 0000-0003-4429-8892

İlyas Bayar 0000-0003-1278-7309

Early Pub Date October 20, 2023
Publication Date October 29, 2023
Submission Date August 26, 2023
Published in Issue Year 2023 Volume: 12 Issue: Özel Sayı

Cite

APA Emek, Ö. F., & Bayar, İ. (2023). An Analysis of the Relationship between Public Sector Borrowing Requirement (PSBR), Money Supply and Inflation Rate in Türkiye. Paradigma: İktisadi Ve İdari Araştırmalar Dergisi, 12(Özel Sayı), 160-174.