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Testing for the Fisher Hypothesis under Regime Shifts in Turkey: New Evidence from Time-Varying Parameters

Year 2013, Volume: 3 Issue: 2, 496 - 502, 01.06.2013

Ibrahim Arısoy

Abstract

This paper examines the validity of Fisher hypothesis in Turkey for the time period 1987Q1-2010Q3. For this purpose, we employ cointegration test with a structural break as well as time varying parameters approach (TVP) that takes into account the effects of regime or policy changes on the relation between interest rate and inflation rate. The empirical results show that weak form of the Fisher hypothesis holds in Turkish economy.

Keywords

Fisher Effect Cointegration Regime Shift Time-Varying Parameters Kalman Filter

Year 2013, Volume: 3 Issue: 2, 496 - 502, 01.06.2013

Ibrahim Arısoy

Abstract

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Details

Other ID JA79FM86TA
Journal Section Research Article
Authors

Ibrahim Arısoy This is me

Publication Date June 1, 2013
Published in Issue Year 2013 Volume: 3 Issue: 2

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APA Arısoy, I. (2013). Testing for the Fisher Hypothesis under Regime Shifts in Turkey: New Evidence from Time-Varying Parameters. International Journal of Economics and Financial Issues, 3(2), 496-502.
AMA Arısoy I. Testing for the Fisher Hypothesis under Regime Shifts in Turkey: New Evidence from Time-Varying Parameters. IJEFI. June 2013;3(2):496-502.
Chicago Arısoy, Ibrahim. “Testing for the Fisher Hypothesis under Regime Shifts in Turkey: New Evidence from Time-Varying Parameters”. International Journal of Economics and Financial Issues 3, no. 2 (June 2013): 496-502.
EndNote Arısoy I (June 1, 2013) Testing for the Fisher Hypothesis under Regime Shifts in Turkey: New Evidence from Time-Varying Parameters. International Journal of Economics and Financial Issues 3 2 496–502.
IEEE I. Arısoy, “Testing for the Fisher Hypothesis under Regime Shifts in Turkey: New Evidence from Time-Varying Parameters”, IJEFI, vol. 3, no. 2, pp. 496–502, 2013.
ISNAD Arısoy, Ibrahim. “Testing for the Fisher Hypothesis under Regime Shifts in Turkey: New Evidence from Time-Varying Parameters”. International Journal of Economics and Financial Issues 3/2 (June 2013), 496-502.
JAMA Arısoy I. Testing for the Fisher Hypothesis under Regime Shifts in Turkey: New Evidence from Time-Varying Parameters. IJEFI. 2013;3:496–502.
MLA Arısoy, Ibrahim. “Testing for the Fisher Hypothesis under Regime Shifts in Turkey: New Evidence from Time-Varying Parameters”. International Journal of Economics and Financial Issues, vol. 3, no. 2, 2013, pp. 496-02.
Vancouver Arısoy I. Testing for the Fisher Hypothesis under Regime Shifts in Turkey: New Evidence from Time-Varying Parameters. IJEFI. 2013;3(2):496-502.