Akademik Veri Yönetim Sistemi
Biga İktisadi ve İdari Bilimler Fakültesi Dergisi , cilt.3, sa.1, ss.36-48, 2022 (Hakemli Dergi)
The neutrality of money hypothesis is based on the idea that a change in the supply of money affects only nominal variables in the
economy such as prices, with no effect on real GDP. This paper investigates the money neutrality hypothesis for the Turkey by using the
data of 1998:Q1-2021:Q3. Conventional unit root tests, including PP, ADF, and KPSS, are applied to determine the order of integration of
variables; however, since the structural break in variables is not considered in these methods, Zivot-Andrews method is also applied to take
it into account. Neutrality of money testing is not efficient in the case of cointegration between model variables. Thus, the Gregory-Hansen
test, which investigates cointegration considering the structural break, is applied. The Gregory-Hansen test for cointegration is rejected at
5 per cent significance level, indicating that long run relationship exists between money supply and real income, in Turkey. The evidence
suggests that money supply (M2) are not neutral with respect to real GDP, showing that it is inconsistent with the classical and neoclassical
economics