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Abstract

The aim of this study is to test the long run validity of the Fisher hypothesis for Turkish economy according to the rational expectations model by using real variables. The essential difference in variable choice originates from the role of expectations. In the current literature, the test of the Fisher hypothesis is implemented by the use of nominal intrerest and inflation rates. But the sophisticated economic agents with rational expectations take their economic decisions according to real variables rather than nominal variables without being entangled by the “veil of money.” In this sense, the model in which nominal variables are used is in fact a model that accepts the money illusion hypothesis in accordance with adaptive expectations. In case of rational expectations model, the real variables are to be used. The “new” approach of our paper is that we’ve taken into consideration the role of expectaions on Fisher hypothesis. The results of cointegration test indicate the existence of a long run economic equilibrium between real interest rates and expected value of money

Keywords

• Fisher Hypothesis, Adaptive Expectations, Rational Expectations

FİSHER HİPOTEZİ VE BEKLENTİLERİN ROLÜ

Abstract

ÖZET
Bu çalışmanın amacı faiz oranları ve enflasyon arasında bire bir ilişki
olduğu yönündeki Fisher hipotezinin uzun dönemde geçerliliğini rasyonel
beklentiler modeline göre reel değişkenler kullanarak Türkiye ekonomisi
için test etmektir. Değişken seçimindeki temel fark beklentilerin rolünden
kaynaklanmaktadır. Mecvut literatürde rasyonel beklentiler varsayımı altında
Fisher hipotezi testi nominal faiz ve enflasyon oranları kullanılarak
yapılmaktadır. Ancak rasyonel beklentilere sahip sofistike iktisadi aktörler
iktisadi kararlarını “para peçesi”ne takılmaksızın nominal değerlere göre
değil, reel değerlere göre almaktadırlar. Bu anlamda nominal değişkenlerin
kullanıldığı bir model adaptif beklentilere uygun olarak temelde para yanılsaması varsayımını kabul eden bir modeldir. Rasyonel beklentiler varsayımında ise reel değerlerin kullanılması gerekmektedir. Çalışmamızdaki
“yeni” yaklaşım, beklentilerin Fisher hipotezi üzerindeki rolünü dikkate
almış olmasıdır. Koentegrasyon testi sonuçları reel faiz oranları ile paranın
beklenen değerindeki değişimler arasında uzun dönemli iksitadi bir dengenin
varlığına işaret etmektedir.
Anahtar Kelimeler: Fisher Hipotezi, Adaptif Beklentiler, Rasyonel
Beklentiler
JEL Kodları: E40, E51

FISHER HYPOTHESIS AND THE ROLE OF EXPECTATIONS 

ABSTRACT

The aim of this study is to test the long run validity of the Fisher
hypothesis for Turkish economy according to the rational expectations
model by using real variables. The essential difference in variable choice
originates from the role of expectations. In the current literature, the test 

of the Fisher hypothesis is implemented by the use of nominal intrerest
and inflation rates. But the sophisticated economic agents with rational
expectations take their economic decisions according to real variables
rather than nominal variables without being entangled by the “veil of
money.” In this sense, the model in which nominal variables are used is
in fact a model that accepts the money illusion hypothesis in accordance
with adaptive expectations. In case of rational expectations model, the real
variables are to be used. The “new” approach of our paper is that we’ve
taken into consideration the role of expectaions on Fisher hypothesis. The
results of cointegration test indicate the existence of a long run economic
equilibrium between real interest rates and expected value of money.
Keywords: Fisher Hypothesis, Adaptive Expectations, Rational
Expectations.

Keywords

• Fisher Hipotezi, Adaptif Beklentiler, Rasyonel Beklentiler

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