Neo-Fisher Effect and Implementation of Turkey

Abstract

After the financial crisis in 2007-2009, most of the central banks applied low interest rate policy. However, inflation continued to fall below the targeted levels, especially in developed countries, along with the low interest rate policy. After the financial crisis, the causality relationship between inflation and nominal interest rates was revisited. In contrast to the causality in the Fisher effect, it is seen that in parallel with the Neo-Fisherian views, there is causality from the nominal interest rate to the inflation rate in the short term. In this study in Turkey 2002:01-2014:05 period the causality relationship between BAFO, A1FO, A3FO, A6FO, Y1FO and TUFE variables was examined by Toda-Yamamoto (1995) analysis. According to the results of the analysis, it was determined that the one-way causality from the BAFO variable to the TUFE variable. Thus causality of the variables in the corresponding period in Turkey indicate the presence of Neo-Fisher effect. However, the existence of a disciplined financial environment is essential for the Neo-Fisher effect to be used in countries. However, the presence of a disciplined financial environment is necessary so that Neo-Fisher-induced causality can be used to control inflation. In countries with high external dependency, stabilization in political and economic areas and credibility of the central bank are required.

Keywords

• Fisher Effect,Neo-Fisher Effect,Toda-Yamamoto Causality Analysis,Central Bank,Turkey

NEO-FİSHER ETKİSİ VE TÜRKİYE UYGULAMASI

Abstract

2007-2009 döneminde yaşanan finansal krizden sonra çoğu merkez bankası düşük faiz politikası uygulamıştır. Ancak özellikle gelişmiş ülkelerde düşük faiz politikasıyla birlikte enflasyon hedeflenen seviyelerin altında kalmaya devam etmiştir. Finansal krizi takiben enflasyon ile nominal faiz oranları arasındaki nedensellik ilişkisi tekrar gözden geçirilmiştir. Yapılan çalışmalarda Fisher etkisindeki nedenselliğin aksine Neo-Fisheryen görüşlere paralel olarak kısa dönemde nominal faiz oranından enflasyon oranına doğru nedenselliğin olduğu görülmüştür. Bu çalışmada Türkiye’de 2002:01-2014:05 dönemine ilişkin olarak BAFO, A1FO, A3FO, A6FO, Y1FO ve TÜFE değişkenleri arasındaki nedensellik ilişkisi Toda-Yamamoto (1995) analiziyle incelenmiştir. Analiz sonuçlarına göre BAFO değişkeninden TÜFE değişkenine doğru tek yönlü nedenselliğin olduğu tespit edilmiştir. Dolayısıyla Türkiye’de ilgili dönemde değişkenlerin nedensellik ilişkileri Neo-Fisher etkisinin varlığını göstermektedir. Ancak Neo-Fisher etkisindeki nedenselliğin enflasyonu kontrol etmede kullanılabilmesi için disiplin altına alınmış mali ortamın varlığı, dışa bağımlılığı yüksek ülkelerde politik ve ekonomik alanlarda istikrarın sağlanması ve merkez bankasının kredibilitesinin oluşturulması gerekmektedir.

Keywords

• Fisher Etkisi,Neo-Fisher Etkisi,Toda-Yamamoto Nedensellik Analizi,Merkez Bankası,Türkiye

References

1. Amano, Robert vd. (2016). A Primer on Neo-Fisherian Economics. Staff Analytical Note, 2016-14, Bank of Canada.
2. Atkins, Frank J. ve Patrick J. Coe (2002). “An ARDL Bounds Test of the Long-run Fisher Effect in the United States and Canada”. Journal of Macroeconomics, C. 24, S. 2, s. 255-266.
3. Bayat, Tayfur (2012). “Türkiye’de Fisher Etkisinin Geçerliliği: Doğrusal Olmayan Eşbütünleşme Yaklaşımı”. Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, S. 38, s. 47-60.
4. Belaygorod, Anatoliy ve Michael Dueker (2009). “Indeterminacy, Change Points and the Price Puzzle in an Estimated DSGE Model”. Journal of Economic Dynamics and Control, C. 33, S. 3, s. 624-648.
5. Benhabib, Jess vd. (2001). “The Perils of Taylor Rules”. Journal of Economic Theory, S. 96, s. 40-69.
6. Borio, Claudio ve Boris Hofmann (2017). “Is Monetary Policy Less Effective When Interest Rates are Persistently Low?”. BIS Working Papers, S. 628.
7. Bullard, James (2010). “Seven Faces of the Peril”. Federal Reserve Bank of St. Louis Review, S. 92, s. 339-352.
8. Bullard, James (2015). “Permazero as a Possible Medium-term Outcome for the U.S. and G-7”. Speech 258, https://www.stlouisfed.org/~/media/Files/PDFs/Bullard/remarks/Bullard-Phil-Fed-Policy-Forum-4Dec2015.pdf (Erişim Tarihi: 15.08.2018).

9. Castelnuovo, Efrem ve Paolo Surico (2010). “Monetary Policy, Inflation Expectations and the Price Puzzle”. The Economic Journal, C. 120, S. 549, s. 1262-1283.
10. Cochrane, John (2016). “Do Higher Interest Rates Raise or Lower Inflation?”. Hoover Institution, https://pdfs.semanticscholar.org/702e/1c91f94c26b0ee369a0aa95ea79e307e75f6.pdf (Erişim Tarihi: 15.08.2018).
11. Cochrane, John (2017). “Michelson-Morley, Fisher and Occam: The Radical Implications of Stable Quiet Inflation at the Zero Bound”. NBER Chapters in NBER Macroeconomics Annual 2017, C. 32, s. 113-226.
12. Constancio, Vitor (2017). “The Future of Monetary Policy Frameworks”. Lecture at the Instituo Superior de Economia e Gestao Lisbon, 25 May, 2017, European Central Bank.
13. Crowder, William (2015). “The Neo-Fisher Hypothesis”. http://www.uta.edu/faculty/crowder/data/Neo-Fisher.03.17.15.pdf (Erişim Tarihi: 15.08.2018).
14. Dutt, Swama ve Dipak Ghosh (1995). “The Fisher Hypothesis: Examining the Canadian Experience”. Applied Economics, S. 27, s. 1025-1030.
15. Eryılmaz, Filiz ve Murat Dilek (2014). “The Traditional Opportunistic Political Business Cycles: An Example Of Turkey”. The Science And Education At The Beginning Of The 21st Century in Turkey (Chapter 6), St. Kliment Ohridski University Press, s. 70-78.
16. Eryılmaz, Filiz (2015). “The Effects of Elections on Turkish Economy: Evidence From Money Supply”. Turkey At The Beginning of 21. Century: Past and Present (Chapter 37), St. Kliment Ohridski University Press, s. 508-519.
17. Eryılmaz, Filiz (2015). “Political Business Cycle Theories”. Education in The 21. Century: Theory And Practice (Chapter 43), St. Kliment Ohridski University Press, s. 536-562.
18. Eryılmaz, Filiz ve Mehmet Mercan (2015). “Political Budget Cycles: Evidence From Turkey”. Annals Of The “Constantin Brâncuşi” University Of Târgu Jiu, Economy Series, S. 2/2015, s. 5-14.
19. Eryılmaz, Filiz ve Dilek Murat (2016). “Political Business Cycles Theories: Evidence From Turkey”. Yönetim ve Ekonomi Araştırmaları Dergisi, C. 14, S. 1, s. 248-268.
20. Eryılmaz, Filiz ve Dilek Murat (2016). “Searching For Political Business Cycles in Turkey: Findings From Fiscal Policy”. International Journal of Economic and Administrative Studies, C. 17, s. 197-212.
21. Eryılmaz, Filiz ve Mehmet Eryılmaz (2015). “A Discussion about the Possible Effect of Middle Income Trap on Large Scale Firms’ Selection of Competitive Strategy”. Procedia - Social and Behavioral Sciences, S. 207, s. 598-607.
22. Eryılmaz, Filiz ve Mehmet Eryılmaz (2011). “Ekonomik Krizlerin Retoriksel Stratejilere Etkisi: TKY Örneği”. Yönetim Araştırmaları Dergisi, C. 11, S. 1-2, s. 35-77.
23. Fahmy Yasser ve Magda Kandil (2003). “The Fisher Effect: New Evidence and Implications”. International Review of Economics and Finance, C. 12, S. 4, s. 451-465.
24. Fama, Eugene (1975). “Short Term Interest Rates as Predictors of Inflation”. American Economic Review, S. 65, s. 269-282.
25. Garcia-Schmidt, Mariana ve Michael Woodford (2015). “Are Low Interest Rates Deflationary? A Paradox of Perfect Foresight Analysis”. NBER Working Paper, S. 21614.
26. Garin, Julio vd. (2018). “Raise Rates to Raise Inflation? Neo-Fisherianism in the New Keynesian Model, Journal of Money”. Credit and Banking, C. 50, S. 1, s. 243-259.
27. Gerke, Rafael ve Klemens Hauzenberger (2017). “The Fisher Paradox: A Primer”. Deutsche Bundesbank Discussion Paper, S. 20, s. 1-21.
28. Gül, Ekrem ve Sezgin Açıkalın (2007). “An Examination of the Fisher Hypothesis: The Case of Turkey”. Applied Economics, C. 99, S. 1, s. 87-90.
29. Hummel, Jeffrey R. (2017). “Central Bank Control over Interest Rates: The Myth and the Reality”. Mercatus Working Paper, Mercatus Center at George Mason University, Arlington.
30. Ioana, Plescau (2017). “Monetary Policy and Inflation: Is there a Neo-Fisher Effect? Evidence from Inflation Targeting Countries in Central and Eastern Europe”. “Ovidius” University Annals, Economic Sciences Series, C. 17, S. 1, s. 578-583.
31. Kocherlakota, Narayana (2010). “Modern Macroeconomic Models as Tools for Economic Policy”. The Region, https://www.minneapolisfed.org/publications/the-region/modern-macroeconomic-models-as-tools-for-economic-policy (Erişim Tarihi: 15.08.2018).
32. Mishkin, Frederic (1992). “Is the Fisher Effect or Real? A Reexamination of the Relationship Between Inflation and Interest Rate”. Journal of Monetary Economics, S. 30, s. 195-215.
33. Öruç, Erhan (2016). “Fisher Etkisi: Türkiye Üzerine Bir Uygulama”. Kastamonu Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, S. 13, s. 297-311.
34. Savov, Alexi (2017). “Discussion of Interest Rate Policies, Banking and the Macro-economy”. 21 Annual Conference of the Central Bank of Chile, NYU and NBER, November 2017.
35. Schmitt-Grohe, Stephanie ve Martin Uribe (2014). “Liquidity Traps: An Interest Rate Based Exit Strategy”. Manchester School 82, September, s. 1-14.
36. Schmitt-Grohe, Stephanie veMartin Uribe (2017). “Liquidity Traps and Jobless Recoveries”. American Economic Journal: Macroeconomics 9, s. 165-204.
37. Schmitt-Grohe Stephanie (2018). “The Neo Fisher Effect”. Nobel Symposium Money and Banking, May 26-28 2018, Clarion Hotel Sign, Stockholm.
38. Spahn, Peter (2018). “Unconventional Views on Inflation Control: Forward Guidance, The Neo-Fisherian Approach and the Fiscal Theory of the Price Level”. Hohenheim Discussion Papers in Business, Economics and Social Sciences, 02-2018.
39. Tayyar, Ahmet Emrah (2017a). “Political Monetary Cycles in Coalition and Single Party Goverment Periods: A Case Study on Turkey”. Annals of the Constantin Brancuşi University of Targu Jiu, Economy Series, S. 6 / 2017, s. 89-111.
40. Tayyar, Ahmet Emrah (2017b). “Esnek Kur Rejiminde Politik Döviz Kuru Dalgalanmalarının Varlığı: Türkiye Örneği”. Akademik Sosyal Araştırmalar Dergisi, S. 63, s. 423-442.
41. Tayyar, Ahmet Emrah (2017c). “Political Exchange Rate Fluctuations Specific to Fixed Exchange Rate Regimes: A Case Study on Turkey”. Annals of the Constantin Brancusi University of Targu Jiu, Economy Series, S. 2, s. 4-14.
42. Tayyar, Ahmet Emrah (2018). “Endojen Para Arzının Politik Yönü: Türkiye için Toda-Yamamoto Nedensellik Analizinin Uygulanması”. Sosyal Bilimler Dergisi, S. 26, s. 89-107.
43. Toda, Hiro Y. ve Taku Yamamoto (1995). “Statistical Inference in Vector Auto-Regressions with Possibly Integrated Processes”. Journal of Econometrics, C. 66, S. 1, s. 225-250.
44. Uribe, Martin (2017). “The Neo-Fisher Effect in the United States and Japan”. NBER Working Papers 23977, National Bureau of Economic Research, s. 1-30.
45. Williamson, Stephen (2016). “Neo-Fisherism A Radical Idea, or the Most Obvious Solution to the Low-Inflation Problem?”. The Regional Economist, July 2016, https://www.stlouisfed.org/~/media/Publications/Regional%20Economist/2016/July/RE_July16.pdf (Erişim Tarihi: 15.08.2018).