Türkiye Ekonomisinde Uluslararası Fisher Hipotezi’nin Geçerliliği: Genelleştirilmiş Momentler Metodu

Year 2016, Volume: 11 Issue: 2, 69 - 92, 01.08.2016

Merter Akıncı Ömer Yılmaz

Abstract

Uluslararası Fisher Hipotezi, enflasyon oranında meydana gelen bir değişimin faiz oranı üzerinde pozitif yönlü bir etki yaratacağı ve böylece ulusal paranın değer kaybedeceğini öne sürmektedir. Bu bağlamda, Uluslararası Fisher Hipotezi’nin Türkiye ekonomisinde 1975-2014 dönemi için geçerliliğini Genelleştirilmiş kullanılmıştır. GMM analiz sonuçları, araç değişken olarak dikkate alınan gecikmeli enflasyon, faiz ve döviz kurlarının cari ve bir dönem gecikmeli enflasyon ve döviz kurları üzerinde pozitif etkiler yarattığını göstermiştir. Ayrıca, araç değişkenler iki dönem gecikmeli faiz oranları üzerinde pozitif etkiler yaratmasına karşın, cari ve bir dönem gecikmeli faiz oranları üzerinde ise negatif etkiler ortaya çıkarmış ve buna bağlı olarak da ulusal paranın değer kaybettiğini ortaya koymuştur. Analiz bulguları, Türkiye için Uluslararası Fisher Hipotezi’nin geçerli olduğunu göstermiştir

Keywords

Uluslararası Fisher Hipotezi, Genelleştirilmiş Momentler Metodu, JohansenJuselius Eşbütünleşme Testi, Granger Nedensellik Testi

The Validity of the International Fisher Hypothesis in Turkish Economy: Generalized Method of Moments

Abstract

International Fisher Hypothesis asserts that a change in the inflation rate impacts a positive effect upon the interest rate and thus the national currency would depreciate. In this context, Generalized Method of Moments is applied to test the validity of International Fisher Hypothesis for Turkish economy in the period of 1975-2014. The results of GMM analysis show that one lagged values of interest, inflation and exchange variables, have a positive effect on current and one lagged inflation and exchange rates. Besides, instrumental variables have a negative impact on current and one lagged interest rate, while they have a positive effect on two lagged interest rate and depending on this phenomenon national currency depreciates. The findings of the analysis show that International Fisher Hypothesis is valid for Turkey

Keywords

International Fisher Hypothesis, Generalized Method of Moments, JohansenJuselius Cointegration Test, Granger Causality Test

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