TESTING OF THE FISHER HYPOTHESIS WITH A DYNAMIC PANEL DATA ANALYSIS: AN APPLICATION ON OECD COUNTRIES

Year 2017, Volume: 35 Issue: 1, 19 - 40, 31.03.2017

İsmail Küçükaksoy , Güray Akalın

https://doi.org/10.17065/huniibf.303303

Cited By: 25

Abstract

This paper aims to test
validity of “Fisher Hypothesis” for period 1995:Q1-2014:Q4 in Organization for
Economic Cooperation and Development (OECD) member countries by using dynamic
panel data analysis. The findings which obtained using dynamic panel data
analysis in this study can be listed as follows: a) An economic shock or policy
change that will occur in any of the OECD countries, also affects other
countries; b) Interest and inflation influence each other in different degrees
in each of the OECD countries. This finding indicates that OECD countries have
different economic structures; c) The long-term relationship between inflation
and interest have been determined in examined OECD countries and this finding
supports the Fisher hypothesis that claims there is a long term linkage between
nominal interest rates and inflation rates; d) The finding have been determined
which imply that in the long term inflation and interest affect each other
positively in examined OECD countries. This finding prove the validity of “The
Partial Fisher Effect”; e) According to the country-based coefficients; Fisher
hypothesis is not valid for five OECD countries while partial Fisher effect is
valid for thirteen OECD countries and full Fisher effect is valid  for an OECD country; f) Finally, an increase
in interest rates leads to increase in inflation in the thirteen OECD
countries.

Keywords

Full Fisher effect, partial fisher effect, dynamic panel data analysis, Durbin Hausman cointegration test

FİSHER HİPOTEZİ'NİN PANEL VERİ ANALİZİ İLE TEST EDİLMESİ: OECD ÜLKELERİ UYGULAMASI

Abstract

Bu çalışma, Ekonomik
İşbirliği ve Kalkınma Teşkilatı (OECD) üyesi ülkelerde 1995:Q1-2014:Q4 dönemi
için “Fisher Hipotezi” nin geçerliliğini, dinamik panel veri analizi kullanarak
test etmeyi amaçlamaktadır. Çalışmada dinamik panel veri analizi kullanılarak
elde edilen bulgular şöyle sıralanabilir: a) OECD ülkelerinden herhangi birinde
ortaya çıkacak bir ekonomik şok ya da bir politika değişikliği, diğer ülkeleri
de etkilemektedir; b) OECD ülkelerinin her birinde, faiz ve enflasyon birbirini
farklı derecede etkilemektedir. Bu bulgu, OECD ülkelerinin ekonomik yapılarının
farklı olduğunu göstermektedir; c) İncelenen OECD ülkelerinde, enflasyon ile
faiz arasında uzun dönemli bir ilişki olduğu tespit edilmiş olup, bu bulgu
nominal faiz oranları ile enflasyon oranları arasında uzun dönemli bir ilişki
olduğunu iddia eden Fisher hipotezini desteklemektedir; d) İncelenen OECD
ülkelerinde, uzun dönemde faiz ve enflasyonun karşılıklı birbirlerini pozitif
etkiledikleri tespit edilmiştir. Bu bulgu “Zayıf Fisher Etkisi” nin geçerli
olduğunu ispatlamaktadır; e) Ülke bazlı elde edilen katsayılara göre beş OECD
ülkesinde Fisher hipotezi geçerli değilken, on üç OECD ülkesinde zayıf Fisher
etkisi, bir OECD ülkesinde ise tam Fisher etkisi geçerlidir; f) Son olarak, on
üç OECD ülkesinde faiz oranlarında ortaya çıkan bir artış, enflasyonun da
artmasına neden olmaktadır. 

Keywords

Tam Fisher etkisi, zayıf Fisher etkisi, dinamik panel veri analizi, Durbin Hausman eşbütünleşme testi

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