Preliminary communication

MONEY, INCOME, AND CAUSALITY: AN EXAMINATION FOR THE TURKISH ECONOMY

Şeref BOZOKLU

Abstract

This paper examines the direction of causality between money and income for the Turkish economy using quarterly data over the period of 1987 to 2011. A vector autoregression model consisting of the real gross domestic product, the broad money supply, the three months deposit rate as short-term interest rate, and the consumer price index is constructed to implement causality tests. Also, a leveraged bootstrapped simulation technique is used when conducting causality tests in order to make the results more robust. The empirical results suggest a bidirectional causation between the two variables and that monetary aggregates may provide relevant information in the implementation of monetary policy.

Keywords

Money-income Causality; Monetary Endogeneity; MWALD test; Leveraged Bootstrap Simulation; Toda-Yamamoto

Hrčak ID:

104015

URI

https://hrcak.srce.hr/104015

Publication date:

1.3.2013.

Article data in other languages: croatian

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