FISHER ETKİSİNİN TÜRKİYE VERİLERİ İLE TESTİ

Abstract

Bu çalışmada, uzun dönemli faiz oranı ile enflasyon oranı arasında bire birlik uzun dönemli bir ilişkinin mevcut olduğunu ifade eden Fisher etkisi, 1987 I -2004 4 dönemine ilişkin Türkiye ekonomisi verileri kullanılarak test edilmektedir. Çalışmada, uygulamalı ekonometride Pesaran vd. 2001 tarafından yeni geliştirilen eşbütünleşmeye ARDL autoregressive distributed lag yaklaşımı kullanılmıştır. Elde edilen sonuçlar, Fisher etkisini desteklemektedir.

Keywords

• Faiz Oranı, Enflasyon, Fisher Etkisi, Kısıtsız Hata Düzeltme Modeli, Eşbütünleşme Analizi, Ardl, Sınır Testi, Kritik Sınır Değerleri

THE ANALYSIS OF FISHER EFFECT USING TURKISH DATA

Abstract

In this study, the Fisher effect, which claims that there is one to one long-term relationship between the inflation rate and the long-term nominal interest rate, has been tested using Turkish quarterly data over the 1987 I - 2004 4 periods. Here, ARDL bounds testing approach to cointegration newly developed by Pesaran et al. 2001 in applied econometrics is used. Results support the Fisher effect

Keywords

• Interest rate, inflation, Fisher effect, unrestricted error correction model, cointegration analysis, ARDL, bounds testing, critical value bounds

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