The purpose of this paper is to test Gibson paradox for the Turkish economy and to answer theoretical debate about the direction of long-term relationship. For this purpose we used consumer price index and twelve-month forward deposit interest rate for the period of 1990-2014. Bounds testing approach developed by Pesaran et al. (2001) was applied to test the paradox. The presence of Gibson paradox has been accepted and also the long-term relationship has been detected to be one-way from general price level to nominal interest rate as Fisher (1930), Shiller and Siegel (1977), Friedman and Schwartz (1982) proposed.