The Validity of the Fisher Effect in the Inflation and Disinflation Process: Evidence from the Fourier Cointegration Test for Turkey

Abstract

This study investigates the validity of the Fisher effect in the Turkish economy. The theory, which is based on the co-movement of inflation expectations with nominal interest rates, is used as a policy tool to monitor monetary policy feedback in the inflation targeting strategy. Accordingly, the validity of the Fisher effect for the recent inflationary pressures and disinflation process (Fisher effect puzzle) will provide feedback for policy effectiveness and future policies. The relationship between inflation and the nominal interest rate is estimated with the Fourier function cointegration test in two models: the disinflationary period (2006Q1:2024Q4) and the inflationary period without disinflation (2006Q1:2022Q3), and the validity of the Fisher effect is supported. While the Fisher effect coefficient is calculated as 0.29 for the disinflationary period (Model 1), the Fisher effect coefficient is calculated as 1.14 for the inflationary period (Model 2). The determinant of inflation expectations on nominal interest rates during the disinflation process is still valid, but it is quite limited. On the other hand, nominal interest rates were determined by inflation expectations during the inflationary period. The empirical findings of this structure, which is defined as the Fisher effect puzzle and where the Fisher effect is realized with different coefficients in inflation and disinflation processes, provide important information for policymakers in terms of the disinflation process and inflation targeting strategy. In this context, the findings support that breaking the inertia in inflation expectations is as important as monetary tightening for policy effectiveness in the disinflation process in the Turkish economy. Therefore, the stability of Central Bank policies plays a key role in the success of the inflation targeting strategy. The coefficients obtained from the models that take into account the inflation and disinflation process are a new contribution to the empirical literature in the context of the Fisher effect puzzle.

Keywords

• Fisher Effect
• Inflation Expectations
• Disinflation
• Fourier Cointegration
• Türkiye

Enflasyon ve Dezenflasyon Sürecinde Fisher Etkisinin Geçerliliği: Türkiye İçin Fourier Eşbütünleşme Testinden Kanıtlar

Abstract

Bu çalışma Türkiye ekonomisinde Fisher etkisinin geçerliliğini araştırmaktadır. Enflasyon beklentilerinin nominal faiz oranları ile birlikte hareket etmesine dayanan teori enflasyon hedeflemesi stratejisinde para politikası geri bildirimlerini izlemek için politika aracı olarak kullanılmaktadır. Bu doğrultuda son yıllarda yaşanan enflasyonist baskılar ve dezenflasyon süreci için Fisher etkisinin geçerli olduğu noktalar (Fisher etkisi bulmacası) politika etkinliği ve sonraki politikalar için geribildirim sunacaktır. Enflasyon ve nominal faiz oranı arasındaki ilişki Fourier fonksiyonlu eşbütünleşme testi ile dezenflasyon sürecinin dikkate alındığı (2006Q1:2024Q4) ve dezenflasyon sürecinin dikkate alınmadığı enflasyonist dönem (2006Q1:2022Q3) olarak iki model halinde tahmin edilmiş ve Fisher etkisinin geçerliliği desteklenmiştir. Dezenflasyonist sürecin dikkate alındığı dönemde (Model 1) Fisher etkisi katsayısı 0,29 olarak hesaplanırken, enflasyonist sürecin dikkate alındığı dönem için (Model 2) Fisher etkisi katsayısı 1,14 olarak hesaplanmıştır. Dezenflasyon sürecinde enflasyon beklentilerinin nominal faizler üzerindeki belirleyiciliği hala geçerli olsa da oldukça sınırlanmıştır. Diğer yandan enflasyonist dönemde nominal faizler enflasyon beklentileri tarafından belirlenmiştir. Enflasyon ve dezenflasyon süreçlerinde Fisher etkisinin farklı katsayılarda gerçekleştiği ve Fisher etkisi bulmacası olarak tanımlanan bu yapıya ait ampirik bulgular dezenflasyon süreci ve enflasyon hedeflemesi stratejisi anlamında politika yapıcılar açısından önemli bilgiler sağlamaktadır. Bu bağlamda Türkiye ekonomisinde dezenflasyon sürecinde politika etkinliği için parasal sıkılaşma kadar enflasyon beklentilerindeki ataletin kırılmasının önemli olduğu bulgular ile desteklenmiştir. Bu nedenle Merkez Bankası politikalarının kararlılığı enflasyon hedeflemesi stratejisi başarısında kilit rol oynamaktadır. Enflasyon ve dezenflasyon sürecinin dikkate alındığı modellerden elde edilen katsayılar Fisher etkisi bulmacası bağlamında çalışmanın ampirik literatüre yeni katkısıdır.

Keywords

• Fisher Etkisi
• Enflasyon Beklentileri
• Dezenflasyon
• Fourier Eşbütünleşme
• Türkiye

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