Neo-Fisher Effect and Implementation of Turkey

Year 2019, Volume: 20 Issue: 36, 307 - 339, 31.01.2019

Ahmet Emrah Tayyar

https://doi.org/10.21550/sosbilder.464632

Cited By: 6

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

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