TESTING THE FISHER HYPOTHESIS IN TÜRKİYE: EVIDENCE FROM RALS COINTEGRATION ANALYSIS

Abstract

The relationship between inflation and interest rates has been a central topic in economics since the 1700s, reflecting its importance in understanding monetary dynamics and policy implications. While Henry Thornton is credited with being the first to analyze this relationship systematically, Irving Fisher further developed its theoretical framework in 1930, which has since been widely recognized as the Fisher Hypothesis. Fisher’s work explores the connection between inflation and nominal interest rates, positing that nominal rates adjust fully to changes in inflation, leaving real interest rates stable in the long run. This study examines the validity of the Fisher Hypothesis in the Turkish economy over the period 1970–2023. Using inflation rates and savings deposit interest rates data obtained from the Turkish Statistical Institute (TurkStat), the analysis employs the Residual Augmented Least Squares (RALS) cointegration test to investigate the long-term relationship between the variables. Empirical findings indicate a statistically significant cointegration relationship at a 5% significance level in the model where the interest rate is the dependent variable, under both constant and trend conditions. The results reveal that inflation has a positive and significant impact on nominal interest rates, with a one-unit increase in inflation leading to an approximately 0.5-unit increase in the interest rate. This study not only tests the theoretical premises of the Fisher Hypothesis in the context of Türkiye but also contributes to the broader literature by shedding light on the dynamic interplay between inflation and interest rates in an emerging market economy.

Keywords

• Inflation
• Interest Rates
• Fisher Hypothesis
• RALS

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