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The relationship between nominal ınterest rates and ınflation in emerging markets: evidence from panel cointegration tests

Year 2014, Volume: 25 Issue: 88, 80 - 90, 01.05.2014

Önder Büberkökü

Abstract

This study examines the long-run relationship between nominal interest rates and inflation within the framework of Fisher's (1930) hypothesis for seven emerging markets, namely Russia, China, Turkey, Poland, South Africa, Mexico and Indonesia. The long-run cointegrating relationship is investigated using Pedroni (2004) and Koa (1999) panel cointegration tests and the cointegrating coefficient is estimated according to Pedroni's (2001) panel group mean FMOLS, DOLS and OLS. The results provide strong evidence for the weak version of Fisher's (1930) hypothesis. They show that although the interest rate and inflation are cointegrated, the cointegrating coefficient is less than unity. These findings have important implications for policymakers in these emerging markets.

Keywords

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References

  • Ahmad, S. (2010). The Long-Run Fisher Effect in Developing Economies. Studies in Economics and Finance, 27(4), 268 – 275
  • Alves, D.C.O ve Bueno, R.D. (2003). Short-Run, Long-Run and Cross Elasticities of Gasoline Demand in Brazil. Energy Economics, 25 (2), 191-199
  • Atkins, F.J. ve Chan, M. (2004). Trend Breaks and the Fisher Hypothesis in Canada and The United States. Applied Economics, 36(17), 1907-1913
  • Basher, S.A. ve Mohsin, M. (2004). PPP Tests in Cointegrated Panels: Evidence from Asain Developing Countries. Applied Economic Letters, 11(3), 163-166
  • Berument, H. ve Jelassi, M.M. (2002). The Fisher Hypothesis: A Multi-Country Analysis. Applied Economics, 34, 1645-1655
  • Breitung, J. (2000). The Local Power of Some Unit Root Tests for Panel Data .In B.H.Baltagi (Ed)
  • Advances in Econometrics: Nonstationary Panels, Panel Cointegration and Dynamic Panels
  • Amsterdam, the Netherlands: Elsevier
  • Cheng, W.H. ve Hung J.C. (2011). Skewness and Leptokurtosis in GARCH-Typed VaR Estimation of Petroleum and Metal Asset Returns. Journal of Empirical Finance, 18(1), 160-173
  • Coppock, L. ve Poitras, M. (2000). Evaluating the Fisher Effect in the Long-Term Cross-Country Averages. International Review of Economics and Finance, 9, 181-192
  • Engle, R. ve Granger, C. (1987). Co-Integration and Error Correction: Representation, Estimation and Testing. Econometrica, 55(2), 251-276
  • Fahmy, Y.A.F ve Kandil, M. (2003). The Fisher Effect: New Evidence and Implications. International Review of Economics and Finance, 12(4), 451-465
  • Fisher, I. (1930). The Theory of Interest. New York: Macmillan
  • Gül, E. ve Acikalın, S. (2008). An Examination of the Fisher Hypothesis: The Case of Turkey. Applied Economics, 40(24), 3227-3231
  • Hadri, K. (2000). Testing for Stationarity in Heterogeneous Panel Data. Econometric Journal, 3(2), 48- 161
  • Hlouskova, J. ve Wagner, M. (2006). The Performance of Panel Unit Root and Stationary Tests: Results from a Large Scale Simulation Study. Econometrics Reviews, 25, 85-116
  • Kao, C. (1999). Spurious Regression and Residual-Based Tests for Cointegration in Panel Data
  • Journal of Econometrics, 90, 1-44
  • Ketenci, N. (2013). The Feldstein-Horioka Puzzle in Grouping of OECD Members: A Panel Approach
  • Research in Economics, 67(1), 76-87
  • Köse, N., Emirmahmutoğlu, F. ve Aksoy S. (2012). The Interest Rate and Inflation Relationship under an Inflation Targeting Regime: The Case of Turkey. Journal of Asain Economics, 23(4), 476- 485
  • Lee, K.F. (2009). An Empirical Study of the Fisher Effect and the Dynamic Relation between Nominal Interest Rate and Inflation in Singapore. The Singapore Economic Review, 54(75), 75-88
  • Maddala, G.S ve Wu, S. (1999). A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test. Oxford Bulletion of Economics and Statictics, 61(1), 631-652
  • Mishra, V.,Smyth, R. ve Sharma, S. (2009). The Energy-GDP Nexus: Evidence from a Panel of Pacific Island Countries. Resource and Energy Economics, 31(3), 210-220
  • Modigliani, F. ve Cohn, R. (1979). Inflation, Rational Valuation and the Market. Financial Analysts Journal, March/April, 24-44
  • Narayan, P.K., Smyth, R. ve Prasad, A. (2007). Electricity Consumption in G7 Countries: A Panel Co integration Analysis of Residential Demand Elasticities. Energy Policy, 35(9), 4485-4494
  • Nusair, S.A. (2008). Testing the Fisher Hypothesis under Regime Shifts: An Application to Asian Countries. International Economic Journal, 22(2), 273-284
  • Nusair, S.A. (2009). Non-Linear Co-İntegration between Nominal İnterest Rate and Inflation: An Examination of the Fisher Hypothesis for Asain Countries. Global Economic Review, 38(2), 143- 159
  • Orlowski, L.T. (2012). Financial Crisis and Extreme Market Risks: Evidence from Europe. Review of Financial Economics, 21(3), 120-130
  • Pao, H.T. ve Tsai, C.M. (2010). CO2 Emission, Energy Consumption and Economic Growth in BRIC Countries. Energy Policy, 38(12), 7850-7860
  • Payne, J.E ve Ewing, H.T. (1997). Evidence from Lesser Developed Countries on the Fisher Hypothesis: A Cointegration Analysis. Applied Economic Letters, 4(11), 683-687
  • Pedroni, P. (1999). Critical Values for Cointegration Tests in Heterogeneous Panels with Multiple Regressors. Oxford Bulletion of Economics and Statictics, 61, 653-670
  • Pedroni, P. (2000). Fully Modified OLS for Heterogeneous Cointegrated Panel. Advances in Econometrics, 15, 93-130
  • Pedroni, P. (2001). Purchasing Power Parity Tests in Cointegrated Panels.The Review of Economics and Statistics, 83(4), 727-731
  • Pedroni, P. (2004). Panel Cointegration: Asymptotic and Finite Sample Properties of Pooled Time Series Tests with an Application to PPP Hypothesis. Econometric Theory, 20(3), 597-625
  • Rao, B.B. ve Kumar, S. (2009). A Panel Data Approach to the Demand for Money and the Effects of Financial Reforms in the Asian Countries. Economic Modelling, 26, 1012–1017
  • Sadorsky, P. (2012). Energy Consumption, Output and Trade in South America. Energy Economics, 34(2), 476-488
  • Singh, T. (2013). International Mobility of Capital in the OECD Countries: Robust Evidence from Panel Data Estimators. Applied Economic Letters, 20(7), 692-696
  • Stock, J. H. (1987). Asymptotic Properties of a Least Squares Estimator of Cointegration Vectors
  • Econometrica, 55(5), 1035-1056
  • Tsong, C.C. ve Lee, C.F. (2013). Quantile Cointegration Analysis of the Fisher Hypothesis. Journal of Macroeconomics, 35, 186-198 Westerlund, J. (2007). Panel Co.integration Tests of the Fisher Effect. Journal of Applied Econometrics, 23(2), 193-233

Yükselen piyasa ekonomilerinde nominal faiz oranları ile enflasyon arasındaki ilişkinin incelenmesi: panel koentegrasyon testlerinden kanıtlar

Year 2014, Volume: 25 Issue: 88, 80 - 90, 01.05.2014

Önder Büberkökü

Abstract

Bu çalışmada Rusya, Çin, Türkiye, Polonya, G.Afrika, Meksika ve Endonezya'dan oluşan yedi yükselen piyasa ekonomisinde Fisher (1930) hipotezi çerçevesinde, nominal faiz oranları ile enflasyon arasındaki ilişki incelenmiştir. Bu amaçla Pedroni (1999,2004) ve Kao (1999) panel koentegrasyon testleri kullanılmıştır. Uzun dönem katsayı tahminin de ise Pedroni(2001) panel GM-FMOLS,GM- DOLS ve GM-OLS yöntemleri kullanılmıştır. Çalışma bulguları incelenen yükselen piyasa ekonomilerinde Fisher (1930) hipotezinin zayıf formunun geçerli olduğunu ve genel olarak uzun dönemde enflasyondaki bir birimlik artışın nominal faiz oranlarını yaklaşık 0.64 birim artırdığını göstermektedir. Bulguların politika yapıcalar açısından önemli sonuçlar içerdiği düşünülmektedir.

Keywords

-

References

  • Ahmad, S. (2010). The Long-Run Fisher Effect in Developing Economies. Studies in Economics and Finance, 27(4), 268 – 275
  • Alves, D.C.O ve Bueno, R.D. (2003). Short-Run, Long-Run and Cross Elasticities of Gasoline Demand in Brazil. Energy Economics, 25 (2), 191-199
  • Atkins, F.J. ve Chan, M. (2004). Trend Breaks and the Fisher Hypothesis in Canada and The United States. Applied Economics, 36(17), 1907-1913
  • Basher, S.A. ve Mohsin, M. (2004). PPP Tests in Cointegrated Panels: Evidence from Asain Developing Countries. Applied Economic Letters, 11(3), 163-166
  • Berument, H. ve Jelassi, M.M. (2002). The Fisher Hypothesis: A Multi-Country Analysis. Applied Economics, 34, 1645-1655
  • Breitung, J. (2000). The Local Power of Some Unit Root Tests for Panel Data .In B.H.Baltagi (Ed)
  • Advances in Econometrics: Nonstationary Panels, Panel Cointegration and Dynamic Panels
  • Amsterdam, the Netherlands: Elsevier
  • Cheng, W.H. ve Hung J.C. (2011). Skewness and Leptokurtosis in GARCH-Typed VaR Estimation of Petroleum and Metal Asset Returns. Journal of Empirical Finance, 18(1), 160-173
  • Coppock, L. ve Poitras, M. (2000). Evaluating the Fisher Effect in the Long-Term Cross-Country Averages. International Review of Economics and Finance, 9, 181-192
  • Engle, R. ve Granger, C. (1987). Co-Integration and Error Correction: Representation, Estimation and Testing. Econometrica, 55(2), 251-276
  • Fahmy, Y.A.F ve Kandil, M. (2003). The Fisher Effect: New Evidence and Implications. International Review of Economics and Finance, 12(4), 451-465
  • Fisher, I. (1930). The Theory of Interest. New York: Macmillan
  • Gül, E. ve Acikalın, S. (2008). An Examination of the Fisher Hypothesis: The Case of Turkey. Applied Economics, 40(24), 3227-3231
  • Hadri, K. (2000). Testing for Stationarity in Heterogeneous Panel Data. Econometric Journal, 3(2), 48- 161
  • Hlouskova, J. ve Wagner, M. (2006). The Performance of Panel Unit Root and Stationary Tests: Results from a Large Scale Simulation Study. Econometrics Reviews, 25, 85-116
  • Kao, C. (1999). Spurious Regression and Residual-Based Tests for Cointegration in Panel Data
  • Journal of Econometrics, 90, 1-44
  • Ketenci, N. (2013). The Feldstein-Horioka Puzzle in Grouping of OECD Members: A Panel Approach
  • Research in Economics, 67(1), 76-87
  • Köse, N., Emirmahmutoğlu, F. ve Aksoy S. (2012). The Interest Rate and Inflation Relationship under an Inflation Targeting Regime: The Case of Turkey. Journal of Asain Economics, 23(4), 476- 485
  • Lee, K.F. (2009). An Empirical Study of the Fisher Effect and the Dynamic Relation between Nominal Interest Rate and Inflation in Singapore. The Singapore Economic Review, 54(75), 75-88
  • Maddala, G.S ve Wu, S. (1999). A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test. Oxford Bulletion of Economics and Statictics, 61(1), 631-652
  • Mishra, V.,Smyth, R. ve Sharma, S. (2009). The Energy-GDP Nexus: Evidence from a Panel of Pacific Island Countries. Resource and Energy Economics, 31(3), 210-220
  • Modigliani, F. ve Cohn, R. (1979). Inflation, Rational Valuation and the Market. Financial Analysts Journal, March/April, 24-44
  • Narayan, P.K., Smyth, R. ve Prasad, A. (2007). Electricity Consumption in G7 Countries: A Panel Co integration Analysis of Residential Demand Elasticities. Energy Policy, 35(9), 4485-4494
  • Nusair, S.A. (2008). Testing the Fisher Hypothesis under Regime Shifts: An Application to Asian Countries. International Economic Journal, 22(2), 273-284
  • Nusair, S.A. (2009). Non-Linear Co-İntegration between Nominal İnterest Rate and Inflation: An Examination of the Fisher Hypothesis for Asain Countries. Global Economic Review, 38(2), 143- 159
  • Orlowski, L.T. (2012). Financial Crisis and Extreme Market Risks: Evidence from Europe. Review of Financial Economics, 21(3), 120-130
  • Pao, H.T. ve Tsai, C.M. (2010). CO2 Emission, Energy Consumption and Economic Growth in BRIC Countries. Energy Policy, 38(12), 7850-7860
  • Payne, J.E ve Ewing, H.T. (1997). Evidence from Lesser Developed Countries on the Fisher Hypothesis: A Cointegration Analysis. Applied Economic Letters, 4(11), 683-687
  • Pedroni, P. (1999). Critical Values for Cointegration Tests in Heterogeneous Panels with Multiple Regressors. Oxford Bulletion of Economics and Statictics, 61, 653-670
  • Pedroni, P. (2000). Fully Modified OLS for Heterogeneous Cointegrated Panel. Advances in Econometrics, 15, 93-130
  • Pedroni, P. (2001). Purchasing Power Parity Tests in Cointegrated Panels.The Review of Economics and Statistics, 83(4), 727-731
  • Pedroni, P. (2004). Panel Cointegration: Asymptotic and Finite Sample Properties of Pooled Time Series Tests with an Application to PPP Hypothesis. Econometric Theory, 20(3), 597-625
  • Rao, B.B. ve Kumar, S. (2009). A Panel Data Approach to the Demand for Money and the Effects of Financial Reforms in the Asian Countries. Economic Modelling, 26, 1012–1017
  • Sadorsky, P. (2012). Energy Consumption, Output and Trade in South America. Energy Economics, 34(2), 476-488
  • Singh, T. (2013). International Mobility of Capital in the OECD Countries: Robust Evidence from Panel Data Estimators. Applied Economic Letters, 20(7), 692-696
  • Stock, J. H. (1987). Asymptotic Properties of a Least Squares Estimator of Cointegration Vectors
  • Econometrica, 55(5), 1035-1056
  • Tsong, C.C. ve Lee, C.F. (2013). Quantile Cointegration Analysis of the Fisher Hypothesis. Journal of Macroeconomics, 35, 186-198 Westerlund, J. (2007). Panel Co.integration Tests of the Fisher Effect. Journal of Applied Econometrics, 23(2), 193-233
There are 41 citations in total.

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Primary Language Turkish
Journal Section Articles
Authors

Önder Büberkökü This is me

Publication Date May 1, 2014
Published in Issue Year 2014 Volume: 25 Issue: 88

Cite

APA Büberkökü, Ö. (2014). Yükselen piyasa ekonomilerinde nominal faiz oranları ile enflasyon arasındaki ilişkinin incelenmesi: panel koentegrasyon testlerinden kanıtlar. Bankacılar, 25(88), 80-90.
AMA Büberkökü Ö. Yükselen piyasa ekonomilerinde nominal faiz oranları ile enflasyon arasındaki ilişkinin incelenmesi: panel koentegrasyon testlerinden kanıtlar. Bankacılar. May 2014;25(88):80-90.
Chicago Büberkökü, Önder. “Yükselen Piyasa Ekonomilerinde Nominal Faiz Oranları Ile Enflasyon arasındaki ilişkinin Incelenmesi: Panel Koentegrasyon Testlerinden kanıtlar”. Bankacılar 25, no. 88 (May 2014): 80-90.
EndNote Büberkökü Ö (May 1, 2014) Yükselen piyasa ekonomilerinde nominal faiz oranları ile enflasyon arasındaki ilişkinin incelenmesi: panel koentegrasyon testlerinden kanıtlar. Bankacılar 25 88 80–90.
IEEE Ö. Büberkökü, “Yükselen piyasa ekonomilerinde nominal faiz oranları ile enflasyon arasındaki ilişkinin incelenmesi: panel koentegrasyon testlerinden kanıtlar”, Bankacılar, vol. 25, no. 88, pp. 80–90, 2014.
ISNAD Büberkökü, Önder. “Yükselen Piyasa Ekonomilerinde Nominal Faiz Oranları Ile Enflasyon arasındaki ilişkinin Incelenmesi: Panel Koentegrasyon Testlerinden kanıtlar”. Bankacılar 25/88 (May 2014), 80-90.
JAMA Büberkökü Ö. Yükselen piyasa ekonomilerinde nominal faiz oranları ile enflasyon arasındaki ilişkinin incelenmesi: panel koentegrasyon testlerinden kanıtlar. Bankacılar. 2014;25:80–90.
MLA Büberkökü, Önder. “Yükselen Piyasa Ekonomilerinde Nominal Faiz Oranları Ile Enflasyon arasındaki ilişkinin Incelenmesi: Panel Koentegrasyon Testlerinden kanıtlar”. Bankacılar, vol. 25, no. 88, 2014, pp. 80-90.
Vancouver Büberkökü Ö. Yükselen piyasa ekonomilerinde nominal faiz oranları ile enflasyon arasındaki ilişkinin incelenmesi: panel koentegrasyon testlerinden kanıtlar. Bankacılar. 2014;25(88):80-9.