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FİSHER HİPOTEZİNİN TÜRKİYE İÇİN SINANMASI: DOĞRUSAL OLMAYAN EŞBÜTÜNLEŞME ANALİZİ

Yıl 2009, Cilt: 23 Sayı: 4, 205 - 213, 12.08.2010

Öz

Bu çalışmada, nominal faiz oranı ile enflasyon oranı arasında
uzun dönemli bir ilişki olduğunu ifade eden Fisher hipotezi, Türkiye için
1989:01-2008:01 arası üçer aylık veriler kullanılarak test edilmiştir. Bu amaçla,
literatüre Kapetanios vd. (2006) tarafından kazandırılan doğrusal olmayan
eşbütünleşme analizinin yanı sıra, karşılaştırma yapmak için Engle-Granger
(1987) testi de kullanılmıştır. Elde edilen sonuçlar Fisher hipotezinin Türkiye
için geçerli olmadığını göstermektedir.

Kaynakça

  • Atkins, F.J. ve Coe, P.J. (2002) “An ARDL Bounds Test of the Long-Run Fisher Effect in The United States And Canada”, Journal of Macroeconomics, 24(2), ss.255-266.
  • Bajo-Rubio, O., Diaz-Roldan, C. ve Esteve, V. (2005) “Is the Fisher Effect Nonlinear? Some Evidence for Spain, 1963-2002”, Applied Financial Economics, 15(12), 849-854.
  • Campbell, J.Y. ve Perron P. (1991) “Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots”, O.J. Blanchard and S. Fischer , (der.), NBER Macroeconomics Annual, Cambridge: MIT Press, ss. 141-201.
  • Carneiro, F.G., Divino, J. A. C. A. ve Rocha, C. H. (2002) “Revisiting the Fisher Hypothesis for the Cases of Argentina, Brazil and Mexico”, Applied Economics Letters, 9(2), ss.95-98.
  • Dickey, D. A. Ve Fuller, W. A. (1979) “Distribution of the Estimators For Autoregressive Time Series With A Unit Root”, Journal of the American Statistical Association,74(366), 427–31.
  • Engle, R.F. ve Granger, C. W. J. (1987) “Co-Integration and Error Correction: Representation, Estimation, and Testing”, Econometrica, 55(2), ss.251-276.
  • Granville, B. ve Mallick, S. (2004) “Fisher hypothesis: UK Evidence Over a Century”, Applied Economics Letters, 11(2), 87-90.
  • Gül, E. ve Açıkalın, S. (2007) “An Examination of the Fisher Hypothesis: The Case of Turkey”, Applied Economics, 99999 (1), 1-5.
  • http://ifs.apdi.net, Erişim Tarihi: 10.07.2008. http://evds.tcmb.gov.tr, Erişim Tarihi: 10.07.2008.
  • Kapetanios, G., Shin, Y. ve Snell, A. (2003) “Testing for a Unit Root in The Nonlinear STAR Framework”, Journal of Econometrics, 112(2), 359–379.
  • Kapetanios, G., Shin, Y. ve Snell, A. (2006) “Testing for Cointegration in Nonlinear Smooth Transition Error Correction Models”, Econometric Theory, 22(2), 279-303.
  • Kasman, S., Kasman, A. ve Turgutlu, E. (2006) “Fisher Hypothesis Revisited: A Fractional Cointegration Analysis”, Emerging Markets Finance and Trade, 42(6), ss.59-76.
  • Luukkonen, R., Saikkonen, P. ve Terasvirta, T. (1988) "Testing Linearity Against Smooth Transition Autoregressive Models", Biometrika, 75(3), ss.491–499.
  • Maki, D. (2006) “Non-Linear Adjustment in The Term Structure of Interest Rates: A Cointegration Analysis in the Non-Linear STAR Framework”, Applied Financial Economics, 16(17), ss.1301-1307.
  • Million, N. (2003) “The Fisher Effect Revisited Through an Efficient Non Linear Unit Root Testing Procedure”, Applied Economics Letters, 10(15), ss.951-954.
  • Mitchell-Innes H. A., Aziakpono, M. J. ve Faure A.P. (2007) “Inflation Targeting and the Fisher Effect in South Africa: An Empirical Investigation”, South African Journal of Economics, 75(4), ss.693- 707.
  • Nusair, S. A. (2008) “Testing for the Fisher Hypothesis Under Regime Shifts: An Application to Asian Countries”, International Economic Journal, 22(2), ss.273-284.
  • Payne, J. E. ve Ewing, B. T. (1997) “Evidence From Lesser Developed Countries on The Fisher Hypothesis: A Cointegration Analysis”, Applied Economics Letters, 4(11), ss.683- 687.
  • Said, S. ve Dickey, D. A. (1984) “Testing for Unit Roots in Autoregressive- Moving Average Models of Unknown Order”, Biometrika, 71(3), 599–607.
  • Şimşek, M. ve Kadılar, C. (2006) “Fisher Etkisinin Türkiye Verileri ile Testi”, Doğuş Üniversitesi Dergisi, 7(1), ss.99-111.
  • Turgutlu, E. (2004) “Fisher Hipotezinin Tutarlığının Testi: Parçalı Durağanlık ve Parçalı Koentegrasyon Analizi”, D.E.Ü. İ.İ.B.F. Dergisi, 19(2), ss.55-74.
  • van Dijk, D., Terasvirta, T. ve Franses, P.H. (2002) “Smooth Transition Autoregressive Models - A Survey of Recent Developments”, Econometric Reviews, 21(1), ss.1-47.
  • Westerlund, J. (2005) “Panel Cointegration Tests of the Fisher Hypothesis”, Lund University, Department of Economics Working Papers, 2005:10, ss.1-34.
Yıl 2009, Cilt: 23 Sayı: 4, 205 - 213, 12.08.2010

Öz

Kaynakça

  • Atkins, F.J. ve Coe, P.J. (2002) “An ARDL Bounds Test of the Long-Run Fisher Effect in The United States And Canada”, Journal of Macroeconomics, 24(2), ss.255-266.
  • Bajo-Rubio, O., Diaz-Roldan, C. ve Esteve, V. (2005) “Is the Fisher Effect Nonlinear? Some Evidence for Spain, 1963-2002”, Applied Financial Economics, 15(12), 849-854.
  • Campbell, J.Y. ve Perron P. (1991) “Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots”, O.J. Blanchard and S. Fischer , (der.), NBER Macroeconomics Annual, Cambridge: MIT Press, ss. 141-201.
  • Carneiro, F.G., Divino, J. A. C. A. ve Rocha, C. H. (2002) “Revisiting the Fisher Hypothesis for the Cases of Argentina, Brazil and Mexico”, Applied Economics Letters, 9(2), ss.95-98.
  • Dickey, D. A. Ve Fuller, W. A. (1979) “Distribution of the Estimators For Autoregressive Time Series With A Unit Root”, Journal of the American Statistical Association,74(366), 427–31.
  • Engle, R.F. ve Granger, C. W. J. (1987) “Co-Integration and Error Correction: Representation, Estimation, and Testing”, Econometrica, 55(2), ss.251-276.
  • Granville, B. ve Mallick, S. (2004) “Fisher hypothesis: UK Evidence Over a Century”, Applied Economics Letters, 11(2), 87-90.
  • Gül, E. ve Açıkalın, S. (2007) “An Examination of the Fisher Hypothesis: The Case of Turkey”, Applied Economics, 99999 (1), 1-5.
  • http://ifs.apdi.net, Erişim Tarihi: 10.07.2008. http://evds.tcmb.gov.tr, Erişim Tarihi: 10.07.2008.
  • Kapetanios, G., Shin, Y. ve Snell, A. (2003) “Testing for a Unit Root in The Nonlinear STAR Framework”, Journal of Econometrics, 112(2), 359–379.
  • Kapetanios, G., Shin, Y. ve Snell, A. (2006) “Testing for Cointegration in Nonlinear Smooth Transition Error Correction Models”, Econometric Theory, 22(2), 279-303.
  • Kasman, S., Kasman, A. ve Turgutlu, E. (2006) “Fisher Hypothesis Revisited: A Fractional Cointegration Analysis”, Emerging Markets Finance and Trade, 42(6), ss.59-76.
  • Luukkonen, R., Saikkonen, P. ve Terasvirta, T. (1988) "Testing Linearity Against Smooth Transition Autoregressive Models", Biometrika, 75(3), ss.491–499.
  • Maki, D. (2006) “Non-Linear Adjustment in The Term Structure of Interest Rates: A Cointegration Analysis in the Non-Linear STAR Framework”, Applied Financial Economics, 16(17), ss.1301-1307.
  • Million, N. (2003) “The Fisher Effect Revisited Through an Efficient Non Linear Unit Root Testing Procedure”, Applied Economics Letters, 10(15), ss.951-954.
  • Mitchell-Innes H. A., Aziakpono, M. J. ve Faure A.P. (2007) “Inflation Targeting and the Fisher Effect in South Africa: An Empirical Investigation”, South African Journal of Economics, 75(4), ss.693- 707.
  • Nusair, S. A. (2008) “Testing for the Fisher Hypothesis Under Regime Shifts: An Application to Asian Countries”, International Economic Journal, 22(2), ss.273-284.
  • Payne, J. E. ve Ewing, B. T. (1997) “Evidence From Lesser Developed Countries on The Fisher Hypothesis: A Cointegration Analysis”, Applied Economics Letters, 4(11), ss.683- 687.
  • Said, S. ve Dickey, D. A. (1984) “Testing for Unit Roots in Autoregressive- Moving Average Models of Unknown Order”, Biometrika, 71(3), 599–607.
  • Şimşek, M. ve Kadılar, C. (2006) “Fisher Etkisinin Türkiye Verileri ile Testi”, Doğuş Üniversitesi Dergisi, 7(1), ss.99-111.
  • Turgutlu, E. (2004) “Fisher Hipotezinin Tutarlığının Testi: Parçalı Durağanlık ve Parçalı Koentegrasyon Analizi”, D.E.Ü. İ.İ.B.F. Dergisi, 19(2), ss.55-74.
  • van Dijk, D., Terasvirta, T. ve Franses, P.H. (2002) “Smooth Transition Autoregressive Models - A Survey of Recent Developments”, Econometric Reviews, 21(1), ss.1-47.
  • Westerlund, J. (2005) “Panel Cointegration Tests of the Fisher Hypothesis”, Lund University, Department of Economics Working Papers, 2005:10, ss.1-34.
Toplam 23 adet kaynakça vardır.

Ayrıntılar

Birincil Dil tr; en
Bölüm Makaleler
Yazarlar

Veli Yılancı Bu kişi benim

Yayımlanma Tarihi 12 Ağustos 2010
Yayımlandığı Sayı Yıl 2009 Cilt: 23 Sayı: 4

Kaynak Göster

APA Yılancı, V. (2010). FİSHER HİPOTEZİNİN TÜRKİYE İÇİN SINANMASI: DOĞRUSAL OLMAYAN EŞBÜTÜNLEŞME ANALİZİ. Atatürk Üniversitesi İktisadi Ve İdari Bilimler Dergisi, 23(4), 205-213.

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