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ENFLASYON VE NOMİNAL FAİZ ORANLARI ARASINDAKİ UZUN DÖNEM İLİŞKİNİN FİSHER HİPOTEZİ ÇERÇEVESİNDE TEST EDİLMESİ: TÜRKİYE ÖRNEĞİ

Year 2013, Volume: 27 Issue: 4, 368 - 384, 25.09.2013

Mehmet Mercan

Abstract

Bu çalışmada, nominal faiz oranı ile enflasyon oranı arasındaki uzun dönemli birebir ilişkinin varlığını öne süren Fisher hipotezi, Türkiye örneğinde 1992:M1-2013:M1, dönemi verileri kullanılarak ARDL sınır testi yaklaşımıyla incelenmiştir. Analiz sonucunda seriler arasında eşbütünleşme ilişkisi elde edilmiştir. Enflasyon oranının Fisher hipotezi çerçevesinde beklentilerle uyumlu olarak nominal faiz oranının pozitif yönde ve istatistiki olarak anlamlı düzeyde etkilediği görülmüştür. Nominal faiz oranı ile enflasyon oranı arasındaki ilişkinin birebir olmadığı ve ilgili dönemde uygulanan para politikalarının reel faiz oranı üzerinde kısmen etkili olduğu ifade edilebilir. 

Keywords

Fisher hipotezi Eşbütünleşme Analizi Türkiye.

References

  • Ahmad, S. (2010) “The Long Run Fisher Effect in Developing Countries”, Studies in Economics and Finance, 27 (4), pp.268-275. Atkins, F.J. and Coe, P.J. (2002) “An ARDL Bounds Test of the LongRun Fisher Effect in the United States and Canada”, Journal of Macroeconomics, 24(2), pp.255-266.
  • Boudoukh, J. and Richardson, M. (1993) “Stock Returns and Inflation: A Long Horizon Perspective”, American Economic Review, 83, pp.1346-55.
  • Bonham, C. (1991), “Correct Cointegration Test of the Long Run Relationship between Nominal Interest Rate and Inflation”, Applied Economics, 23, pp.1487-1492.
  • Coppock, Lee. and Poitras Marc (2000) “Evaluating the Fisher effect in long-term cross-country averages”, International Review of Economics and Finance, 9, 181–192.
  • Dickey, D. and Fuller, W. A. (1979) “Distribution of the Estimates for Autoregressive Time Series with a Unit Root” Journal of the American Statistical Association, 74: 427-431.
  • Enders, W. (1995) Applied Econometric Time Series. 1rd edition, Wiley, New York.
  • Enders, W. (1996) Rats Handbook for Econometric Time Series. John Willey and Song Inc.
  • Engle, R. and Granger, C. W. J. (1987) “Co-Integration and Error Correction: Represention, estimation and Testing” Econometrica, 55(2): 251-276.
  • Fama, E. (1975) “Short Term Interest Rates as Predictors of Inflation”, American Economic Review, 65, pp.269-282.
  • Granger, C.W.J. (1969) “Investigating causal relation by econometric and cross-sectional method” Econometrica, 37, 424-438.
  • Granger, C. W. J. and Newbold, P. (1974). “Spurious Regressions in Econometrics”, Journal of Econometrics, 2 (2): 111-120.
  • Gujarati, D. N. (1999) Temel Ekonometri, (Çev. Ü. Şenesen ve G. G. Şenesen). İstanbul: Literatür Yayınları.
  • Gül, E. ve Açıkalın, S. (2008) “An Examination of the Fisher Hypothesis: The Case of Turkey”, Applied Economics, 40(24), pp.3227-3231.
  • Johansen, S. and Juselius, K. (1990) “Maximum Likelihood Estimation and Inference on Cointegration with Application to the Demand for Money” Oxford Bulletin of Economic and Statistics, (52): 169-210. Johansen, S. (1988) “Statistical Analysis of Cointegration Vectors” Journal of Economic Dynamic and Control, 12, 231-254.
  • Johnston, J. and Dinardo, J. (1997) Econometric Methods. Newyork: 4th Edition McGraw -Hill.
  • Kinal, T. and Lahiri, K. (1988) “A model for ex ante real interest rates and derived inflation forecasts”, Journal of the America Statistical Association, 83, pp. 665-73.
  • Köse, N., Emirmahmutoğlu, F., Aksoy, S. (2012) “The interest rateinflation relationship under an inflation targeting regime: The case of Turkey”, Journal of Asian Economics, 23, pp.476.485.
  • Mishkin, F.S. (1992) “Is Fisher Effect For Real: A Re-examination of the Relationship between Inflation and Interest Rates”, Journal of Monetary Economics, 30, ss.195-215.
  • Mishkin, F.S. (1995) “An Empirical Examination of the Fisher Effect in Australia”, NBER Working Paper, No: 5080.
  • Narayan, P. and Narayan, S. (2004) “Estimating Income and Price Elasticities of Imports for Fiji in a Cointegration Framework”, Economic Modelling, 22: 423-438.
  • Narayan, P. and Smyth, R. (2006) “What Determines Migration Flows from Low-Income to High Income Countries? An Empirical Investigation of Fiji-U.S. Migration 1972-2001”, Contemporary Economic Policy, 24(2): 332-342.
  • Nusair, S.A. (2008) “Testing for the Fisher Hypothesis under Regime Shifts: An Application to Asian Countries”, International Economic Journal, 22(2), pp.273-284.
  • Payne, J. and Ewing, B. (1997) “Evidence from Lesser Developed Countries on the Fisher Hypothesis: A Cointegration Analysis”, Applied Economics Letters, 4, pp.683-687.
  • Pelaez, R. (1995) “The Fisher Effect: Reprise”, Journal of Macroeconomics, 17, pp.333-346.
  • Pesaran, M., Shin, Y. and Smith, R. J. (2001) “Bounds Testing Approaches to the Analysis of Level Relationships”. Journal of Applied Econometrics, 16: 289-326.
  • Pfaffermayr, M. (1996) “Foreign Outward Direct Investment and Exports in Austrian Manufacturing: Substitutesor Complements?,” Weltwirtschaftliches Archiv, 132/3: 501-552.
  • Phillips, P.C. B. and P. Perron (1988) “Testingfor a UnitRoot in Time Series Regression,” Biometrika, 75, 335–346.
  • Şimşek, M. ve Kadılar, C. (2006) “Fisher Etkisinin Türkiye Verileri İle Testi”, Doğuş Üniversitesi Dergisi, 7(1), ss.99-111.
  • Tarı, R. (2008) Ekonometri, 8. Baskı, Avcı ofset, İstanbul.
  • Tayfur, B. (2011) “Türkiye’de Fisher Etkisinin Geçerliliği: Doğrusal Olmayan Eşbütünleşme Yaklaşımı”, Erciyes Üniversitesi İİBF. Dergisi, Sayı:38, Haziran-Aralık, ss.47-60.
  • Turgutlu, E. (2004) “Fisher Hipotezinin Tutarlılığının Testi: Parçalı Durağanlık ve Parçalı Koentegrasyon Analizi”, Dokuz Eylül Üniversitesi İİBF. Dergisi, 19(2), ss.55-74.
  • Wallace, M. and Warner, J. (1993) “The Fisher Effect and the Term Structure of Interest Rates: Tests of Cointegraiton”, The Review of Economics and Statistics, 75, pp.320-324.
  • Westerlund, J. (2005) “Panel Cointegration Tests of the Fisher Hypothesis”, Lund University, Department of Economics Working Papers, 10, p.1-34.
  • Yılancı, V. (2009) “Fisher Hipotezinin Türkiye İçin Sınanması: Doğrusal Olmayan Eşbütünleşme Analizi”, Atatürk Üniversitesi İİBF. Dergisi, 23(4), ss. 205-213.

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Year 2013, Volume: 27 Issue: 4, 368 - 384, 25.09.2013

Mehmet Mercan

Abstract

In this study, Fisher hypothesis suggesting the existence of long-term one to one relationship between nominal interest rate and inflation rate was analysed with ARDL bound testing approach by using the data of 1992:M1-2013:M1 periods in the sample of Turkey. As a result of the analysis cointegration relationship between series was determined. It was observed that inflation rate affected the nominal interest rate statistically significantly and positively in accordance with the expectations within the framework of Fisher hypothesis. It can be expressed that the relationship between the nominal interest rate and inflation rate is not one to one and monetary policies implemented in the related period are partly effective on the real interest rate.

Keywords

Fisher hypothesis Cointegration Analysis Turkey.

References

  • Ahmad, S. (2010) “The Long Run Fisher Effect in Developing Countries”, Studies in Economics and Finance, 27 (4), pp.268-275. Atkins, F.J. and Coe, P.J. (2002) “An ARDL Bounds Test of the LongRun Fisher Effect in the United States and Canada”, Journal of Macroeconomics, 24(2), pp.255-266.
  • Boudoukh, J. and Richardson, M. (1993) “Stock Returns and Inflation: A Long Horizon Perspective”, American Economic Review, 83, pp.1346-55.
  • Bonham, C. (1991), “Correct Cointegration Test of the Long Run Relationship between Nominal Interest Rate and Inflation”, Applied Economics, 23, pp.1487-1492.
  • Coppock, Lee. and Poitras Marc (2000) “Evaluating the Fisher effect in long-term cross-country averages”, International Review of Economics and Finance, 9, 181–192.
  • Dickey, D. and Fuller, W. A. (1979) “Distribution of the Estimates for Autoregressive Time Series with a Unit Root” Journal of the American Statistical Association, 74: 427-431.
  • Enders, W. (1995) Applied Econometric Time Series. 1rd edition, Wiley, New York.
  • Enders, W. (1996) Rats Handbook for Econometric Time Series. John Willey and Song Inc.
  • Engle, R. and Granger, C. W. J. (1987) “Co-Integration and Error Correction: Represention, estimation and Testing” Econometrica, 55(2): 251-276.
  • Fama, E. (1975) “Short Term Interest Rates as Predictors of Inflation”, American Economic Review, 65, pp.269-282.
  • Granger, C.W.J. (1969) “Investigating causal relation by econometric and cross-sectional method” Econometrica, 37, 424-438.
  • Granger, C. W. J. and Newbold, P. (1974). “Spurious Regressions in Econometrics”, Journal of Econometrics, 2 (2): 111-120.
  • Gujarati, D. N. (1999) Temel Ekonometri, (Çev. Ü. Şenesen ve G. G. Şenesen). İstanbul: Literatür Yayınları.
  • Gül, E. ve Açıkalın, S. (2008) “An Examination of the Fisher Hypothesis: The Case of Turkey”, Applied Economics, 40(24), pp.3227-3231.
  • Johansen, S. and Juselius, K. (1990) “Maximum Likelihood Estimation and Inference on Cointegration with Application to the Demand for Money” Oxford Bulletin of Economic and Statistics, (52): 169-210. Johansen, S. (1988) “Statistical Analysis of Cointegration Vectors” Journal of Economic Dynamic and Control, 12, 231-254.
  • Johnston, J. and Dinardo, J. (1997) Econometric Methods. Newyork: 4th Edition McGraw -Hill.
  • Kinal, T. and Lahiri, K. (1988) “A model for ex ante real interest rates and derived inflation forecasts”, Journal of the America Statistical Association, 83, pp. 665-73.
  • Köse, N., Emirmahmutoğlu, F., Aksoy, S. (2012) “The interest rateinflation relationship under an inflation targeting regime: The case of Turkey”, Journal of Asian Economics, 23, pp.476.485.
  • Mishkin, F.S. (1992) “Is Fisher Effect For Real: A Re-examination of the Relationship between Inflation and Interest Rates”, Journal of Monetary Economics, 30, ss.195-215.
  • Mishkin, F.S. (1995) “An Empirical Examination of the Fisher Effect in Australia”, NBER Working Paper, No: 5080.
  • Narayan, P. and Narayan, S. (2004) “Estimating Income and Price Elasticities of Imports for Fiji in a Cointegration Framework”, Economic Modelling, 22: 423-438.
  • Narayan, P. and Smyth, R. (2006) “What Determines Migration Flows from Low-Income to High Income Countries? An Empirical Investigation of Fiji-U.S. Migration 1972-2001”, Contemporary Economic Policy, 24(2): 332-342.
  • Nusair, S.A. (2008) “Testing for the Fisher Hypothesis under Regime Shifts: An Application to Asian Countries”, International Economic Journal, 22(2), pp.273-284.
  • Payne, J. and Ewing, B. (1997) “Evidence from Lesser Developed Countries on the Fisher Hypothesis: A Cointegration Analysis”, Applied Economics Letters, 4, pp.683-687.
  • Pelaez, R. (1995) “The Fisher Effect: Reprise”, Journal of Macroeconomics, 17, pp.333-346.
  • Pesaran, M., Shin, Y. and Smith, R. J. (2001) “Bounds Testing Approaches to the Analysis of Level Relationships”. Journal of Applied Econometrics, 16: 289-326.
  • Pfaffermayr, M. (1996) “Foreign Outward Direct Investment and Exports in Austrian Manufacturing: Substitutesor Complements?,” Weltwirtschaftliches Archiv, 132/3: 501-552.
  • Phillips, P.C. B. and P. Perron (1988) “Testingfor a UnitRoot in Time Series Regression,” Biometrika, 75, 335–346.
  • Şimşek, M. ve Kadılar, C. (2006) “Fisher Etkisinin Türkiye Verileri İle Testi”, Doğuş Üniversitesi Dergisi, 7(1), ss.99-111.
  • Tarı, R. (2008) Ekonometri, 8. Baskı, Avcı ofset, İstanbul.
  • Tayfur, B. (2011) “Türkiye’de Fisher Etkisinin Geçerliliği: Doğrusal Olmayan Eşbütünleşme Yaklaşımı”, Erciyes Üniversitesi İİBF. Dergisi, Sayı:38, Haziran-Aralık, ss.47-60.
  • Turgutlu, E. (2004) “Fisher Hipotezinin Tutarlılığının Testi: Parçalı Durağanlık ve Parçalı Koentegrasyon Analizi”, Dokuz Eylül Üniversitesi İİBF. Dergisi, 19(2), ss.55-74.
  • Wallace, M. and Warner, J. (1993) “The Fisher Effect and the Term Structure of Interest Rates: Tests of Cointegraiton”, The Review of Economics and Statistics, 75, pp.320-324.
  • Westerlund, J. (2005) “Panel Cointegration Tests of the Fisher Hypothesis”, Lund University, Department of Economics Working Papers, 10, p.1-34.
  • Yılancı, V. (2009) “Fisher Hipotezinin Türkiye İçin Sınanması: Doğrusal Olmayan Eşbütünleşme Analizi”, Atatürk Üniversitesi İİBF. Dergisi, 23(4), ss. 205-213.
There are 34 citations in total.

Details

Primary Language Turkish
Journal Section Makaleler
Authors

Mehmet Mercan

Publication Date September 25, 2013
Published in Issue Year 2013 Volume: 27 Issue: 4

Cite

APA Mercan, M. (2013). ENFLASYON VE NOMİNAL FAİZ ORANLARI ARASINDAKİ UZUN DÖNEM İLİŞKİNİN FİSHER HİPOTEZİ ÇERÇEVESİNDE TEST EDİLMESİ: TÜRKİYE ÖRNEĞİ. Atatürk Üniversitesi İktisadi Ve İdari Bilimler Dergisi, 27(4), 368-384.
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