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Uzun Dönemli Ortak Değişkenlik Çerçevesinde Fisher Hipotezi: İngiltere Örneği

Year 2023, , 195 - 205, 26.07.2023

Yağmur Tokatlıoğlu

https://doi.org/10.17233/sosyoekonomi.2023.03.10

Abstract

Bu çalışmanın amacı, literatürde Müller ve Watson (2018) tarafından geliştirilen ve düşük frekanslı serilerin tahmin problemine çözüm getiren yeni bir yöntem olan uzun dönemli ortak değişkenlik ile İngiltere'nin enflasyon ve faiz oranı arasındaki ilişkiyi ortaya koymaktır. Bu çalışmada, İngiltere ekonomisi için kritik dönemler ele alınarak Fisher hipotezinin geçerliliği araştırılmış ve aylık enflasyon ve faiz oranı ilişkisi tüm dönem (1920:1-2019:12), savaş yılları arası dönem (1920:1-1939:8), sabit kur yılları (1952:1-1973:2), II. Dünya Savaşı sonrası dönem (1952:1-1992:9), birinci ve ikinci enflasyon hedeflemesi (1992:10-2008:8 ve 1992:10-2019:12) olmak üzere altı farklı döneme ayrılarak incelenmiştir. Fisher hipotezinin İngiltere için uzun dönemde geçerli olduğu sonucuna ulaşılmıştır.

Keywords

Fisher Hipotezi Uzun Dönemli Ortak Değişkenlik İngiltere

References

  • Atil, A. et al. (2020), “Are natural resources a blessing or a curse for financial development in Pakistan? The importance of oil prices, economic growth and economic globalization”, Resources Policy, 67, 101683.
  • Atkins, F.J. (2002), “Multiple Structural Breaks in the Nominal Interest Rate and Inflation in Canada and the United States”, University of Calgary Department of Economics Discussion Paper, No: 2002-07.
  • Bai, J. & P. Perron (1998), “Estimating and Testing Linear Models with Multiple Structural Changes”, Econometrica, 66(1), 47-78.
  • Bai, J. & P. Perron (2003), “Computation and Analysis of Multiple Structural-Change Models”, J. Appl., Econometrica, 18(1), 1-22.
  • Benati, L. (2004), “Evolving Post-World War II U.K. Economic Performance”, Journal of Money, Credit, and Banking, 36(4), 691-718.
  • Berument, H. & R. Froyen (2021), “The Fisher effect on long-term U.K. interest rates in alternative monetary regimes: 1844-2018”, Applied Economics, 53(33), 3795-3809.
  • Bonser-Neal, C. (1990), “Monetary Regime Changes and the Behavior of Ex Ante Real Interest Rates”, Journal of Monetary Economics, 26(3), 329-359.
  • Boudoukh, J. & M. Richardson (1993), “Stock Returns and Inflation: A Long-Horizon Perspective”, American Economic Review, 83(5), 1346-55.
  • Caporale, T. & K.B. Grier (2000), “Political Regime Change and the Real Interest Rate”, Journal of Money, Credit and Banking, 32(3), 320-334.
  • Chen, L. et al. (2022), “Global temperatures and greenhouse gases: A common features approach”, Journal of Econometrics, 230(2), 240-254.
  • Clemente, J. et al. (2017), “Structural Breaks, Inflation and Interest Rates: Evidence from the G7 Countries”, Econometrics, 5(1), 11.
  • Cogley, T. & T.J. Sargent (2002), “Evolving Post World War II U.S. Inflation Dynamics”, in: B.S. Bernanke & K. Rogoff (eds.), NBER Macroeconomics Annual 2001, 16, Cambridge: MIT Press.
  • Cogley, T. & T.J. Sargent (2005), “Drifts and Volatilities: Monetary Policies and Outcomes in the Post WWII U.S.”, Review of Economic Dynamics, 8(2), 262-302.
  • Cogley, T. et al. (2015), “Price-level Uncertainty and Instability in the United Kingdom”, Journal of Economic Dynamics & Control, 52, 1-16.
  • Engle, R.F. (1974), “Band Spectrum Regression”, International Economic Review, 15(1), 1-11.
  • Fama, E.F. & G.W. Schwert (1977), “Asset Returns and Inflation”, Journal of Financial Economics, 5(2), 115-146.
  • Fama, E.F. (1975), “Short-term Interest Rates as Predictors of Inflation”, American Economic Review, 65(3), 269-282.
  • Fisher, I. (1930), The Theory of Interest, New York: Macmillan.
  • Garcia, R. & P. Perron (1996), “An Analysis of the Real Interest Rate under Regime Shifts”, The Review of Economics and Statistics, 78(1), 111-125.
  • Gozluklu, A. & A. Morin (2019), “Stock vs Bond yields and demographic fluctuations”, Journal of Banking &Finance, 109, 105683.
  • Granville, B. & S. Mallick (2004), “Fisher hypothesis: UK evidence over a century”, Applied Economics Letters, 11, 87-90.
  • Grisse, C. & F. Scheidegger (2021), “Covariability of real exchange rates and Fundamentals”, Economics Letters, 201, 109782.
  • Groen, J.J.J. et al. (2013), “Real-Time Inflation Forecasting in a Changing World”, Journal of Business & Economic Statistics, 31(1), 29-44.
  • Huizinga, J. & F. Mishkin (1986), “Monetary Regime Shifts and the Unusual Behavior of Real Interest Rates”, Carnegie-Rochester Conference on Public Policy, 24, 231-274.
  • Jensen, H. et al. (2020), “Leverage and Deepening Business-Cycle Skewness”, American Economic Journal: Macroeconomics, 12(1), 245-281.
  • Koustas, Z. & A. Serletis (1999), “On the Fisher Effect”, Journal of Monetary Economics, 44(1), 105-130.
  • Kunitomo, N. & S. Sato (2021), “A robust-filtering method for noisy non-stationary multivariate time series with econometric applications”, Japanese Journal of Statistics and Data Science, 4(1), 373-410.
  • Levin, A.T. & J.M. Piger (2004), “Is Inflation Persistence Intrinsic in Industrial Economies?”, Working Paper 334, European Central Bank.
  • Lunsford K.G. & K.D. West (2019), “Some evidence on secular drivers of US safe real rates”, American Economic Journal: Macroeconomics, 11(4), 113-39.
  • Lunsford, K.G. (2017), “Productivity Growth and Real Interest Rates in the Long Run”, Federal Reserve Bank of Cleveland, Economic Commentary, No: 2017-20.
  • Mishkin, F. (1981), “The Real Interest Rate: An Empirical Investigation”, Carnegie-Rochester Conference Series OM Public Policy, 15, 151-200.
  • Mishkin, F.S. (1992), “Is the Fisher Effect for Real? A Reexamination of the Relationship between Inflation and Interest Rates”, Journal of Monetary Economics, 30(2), 195-215.
  • Moura, A. (2021), “Are neutral and investment-specific technology shocks correlated?”, European Economic Review, 139, 103866.
  • Müller, U.K. & M.W. Watson (2008), “Testing Models of Low-Frequency Variability”, Econometrica, 76(5), 979-1016.
  • Müller, U.K. & M.W. Watson (2018), “Long-Run Covariability”, Econometrica, 86(3), 775-804.
  • Nelson, C. (1976), “Inflation and Rates of Return on Common Stocks”, Journal of Finance, 31(2), 471-83.
  • Papell, D.H. & R. Prodan (2020), “Long-run purchasing power parity redux”, Journal of International Money and Finance, 109, 102260.
  • Perron, P. (1990), “Testing for a Unit Root in a Time Series with a Changing Mean”, Journal of Business and Economic Statistics, 8(2), 153-162.
  • Rose, A.K. (1988), “Is the Real Interest Rate Stable?”, Journal of Finance, 43(5), 1095-1112.
  • Shahbaz, M. et al. (2023), “Long-run co-variability between oil prices and economic policy uncertainty”, International Journal of Finance & Economics, 28(2), 1308-1326.
  • Tokatlioglu, Y. (2021), “Türkiye’de işsizlik ve sanayi üretim endeksi arasindaki ilişki: Uzun dönemli ortak değişkenlik”, in: M. Narin & G. Dincer (eds.), Dünyada ve Türkiye'de Çalışma Hayatı, İstihdam ve İşsizlik (264-284), Ankara: Gazi Kitabevi.
  • Toyoshima, Y. & S. Hamori (2011), “Panel cointegration analysis of the Fisher effect: Evidence from the US, the UK, and Japan”, Economics Bulletin, 31(3), 2674-2682.
  • West, K.D. & T. Cao (2022), “Some Long-Run Correlations of Inflation in Developed Countries”, Economia, 45(89), 1-23.
  • Wong, K.F & H.J. Wu (2003), “Testing Fisher Hypothesis in Long Horizons for G7 and Eight Asian Countries”, Applied Economics Letters, 10(14), 917-923.
  • Yamada, H. (2020), “A Smoothing Method That Looks like the Hodrick-Prescott Filter”, Econometric Theory, 36, 961-981.
  • Yamada, H. (2022), “Quantile regression version of Hodrick-Prescott filter”, Empirical Economics, 64, 1631-1645.
  • Yuhn, K.H. (1996), “Is the Fisher effect robust? Further evidence”, Applied Economics Letters, 3(1), 41-44.

The Fisher Hypothesis within the Framework of Long-Run Covariability: The Case of the United Kingdom

Year 2023, , 195 - 205, 26.07.2023

Yağmur Tokatlıoğlu

https://doi.org/10.17233/sosyoekonomi.2023.03.10

Abstract

This paper aims to present the long-run covariability between inflation and the interest rate of the United Kingdom by using a new method developed by Müller and Watson (2018) that eliminates the low-frequency problems. In this study, the validity of the Fisher hypothesis is investigated under structural break periods for the UK's economy. The analysis is carried out with monthly inflation and interest rate for six periods: Full sample (1920:1-2019:12), interwar years (1920:1-1939:8), fixed exchange rate (1952:1-1973:2), Post War II (1952:1-1992:9) and two different inflation targeting periods (1992:10-2008:8 and 1992:10-2019:12). The empirical finding suggests that the Fisher hypothesis holds for the United Kingdom in the long-run.

Keywords

Fisher Hypothesis Long-Run Covariability United Kingdom

References

  • Atil, A. et al. (2020), “Are natural resources a blessing or a curse for financial development in Pakistan? The importance of oil prices, economic growth and economic globalization”, Resources Policy, 67, 101683.
  • Atkins, F.J. (2002), “Multiple Structural Breaks in the Nominal Interest Rate and Inflation in Canada and the United States”, University of Calgary Department of Economics Discussion Paper, No: 2002-07.
  • Bai, J. & P. Perron (1998), “Estimating and Testing Linear Models with Multiple Structural Changes”, Econometrica, 66(1), 47-78.
  • Bai, J. & P. Perron (2003), “Computation and Analysis of Multiple Structural-Change Models”, J. Appl., Econometrica, 18(1), 1-22.
  • Benati, L. (2004), “Evolving Post-World War II U.K. Economic Performance”, Journal of Money, Credit, and Banking, 36(4), 691-718.
  • Berument, H. & R. Froyen (2021), “The Fisher effect on long-term U.K. interest rates in alternative monetary regimes: 1844-2018”, Applied Economics, 53(33), 3795-3809.
  • Bonser-Neal, C. (1990), “Monetary Regime Changes and the Behavior of Ex Ante Real Interest Rates”, Journal of Monetary Economics, 26(3), 329-359.
  • Boudoukh, J. & M. Richardson (1993), “Stock Returns and Inflation: A Long-Horizon Perspective”, American Economic Review, 83(5), 1346-55.
  • Caporale, T. & K.B. Grier (2000), “Political Regime Change and the Real Interest Rate”, Journal of Money, Credit and Banking, 32(3), 320-334.
  • Chen, L. et al. (2022), “Global temperatures and greenhouse gases: A common features approach”, Journal of Econometrics, 230(2), 240-254.
  • Clemente, J. et al. (2017), “Structural Breaks, Inflation and Interest Rates: Evidence from the G7 Countries”, Econometrics, 5(1), 11.
  • Cogley, T. & T.J. Sargent (2002), “Evolving Post World War II U.S. Inflation Dynamics”, in: B.S. Bernanke & K. Rogoff (eds.), NBER Macroeconomics Annual 2001, 16, Cambridge: MIT Press.
  • Cogley, T. & T.J. Sargent (2005), “Drifts and Volatilities: Monetary Policies and Outcomes in the Post WWII U.S.”, Review of Economic Dynamics, 8(2), 262-302.
  • Cogley, T. et al. (2015), “Price-level Uncertainty and Instability in the United Kingdom”, Journal of Economic Dynamics & Control, 52, 1-16.
  • Engle, R.F. (1974), “Band Spectrum Regression”, International Economic Review, 15(1), 1-11.
  • Fama, E.F. & G.W. Schwert (1977), “Asset Returns and Inflation”, Journal of Financial Economics, 5(2), 115-146.
  • Fama, E.F. (1975), “Short-term Interest Rates as Predictors of Inflation”, American Economic Review, 65(3), 269-282.
  • Fisher, I. (1930), The Theory of Interest, New York: Macmillan.
  • Garcia, R. & P. Perron (1996), “An Analysis of the Real Interest Rate under Regime Shifts”, The Review of Economics and Statistics, 78(1), 111-125.
  • Gozluklu, A. & A. Morin (2019), “Stock vs Bond yields and demographic fluctuations”, Journal of Banking &Finance, 109, 105683.
  • Granville, B. & S. Mallick (2004), “Fisher hypothesis: UK evidence over a century”, Applied Economics Letters, 11, 87-90.
  • Grisse, C. & F. Scheidegger (2021), “Covariability of real exchange rates and Fundamentals”, Economics Letters, 201, 109782.
  • Groen, J.J.J. et al. (2013), “Real-Time Inflation Forecasting in a Changing World”, Journal of Business & Economic Statistics, 31(1), 29-44.
  • Huizinga, J. & F. Mishkin (1986), “Monetary Regime Shifts and the Unusual Behavior of Real Interest Rates”, Carnegie-Rochester Conference on Public Policy, 24, 231-274.
  • Jensen, H. et al. (2020), “Leverage and Deepening Business-Cycle Skewness”, American Economic Journal: Macroeconomics, 12(1), 245-281.
  • Koustas, Z. & A. Serletis (1999), “On the Fisher Effect”, Journal of Monetary Economics, 44(1), 105-130.
  • Kunitomo, N. & S. Sato (2021), “A robust-filtering method for noisy non-stationary multivariate time series with econometric applications”, Japanese Journal of Statistics and Data Science, 4(1), 373-410.
  • Levin, A.T. & J.M. Piger (2004), “Is Inflation Persistence Intrinsic in Industrial Economies?”, Working Paper 334, European Central Bank.
  • Lunsford K.G. & K.D. West (2019), “Some evidence on secular drivers of US safe real rates”, American Economic Journal: Macroeconomics, 11(4), 113-39.
  • Lunsford, K.G. (2017), “Productivity Growth and Real Interest Rates in the Long Run”, Federal Reserve Bank of Cleveland, Economic Commentary, No: 2017-20.
  • Mishkin, F. (1981), “The Real Interest Rate: An Empirical Investigation”, Carnegie-Rochester Conference Series OM Public Policy, 15, 151-200.
  • Mishkin, F.S. (1992), “Is the Fisher Effect for Real? A Reexamination of the Relationship between Inflation and Interest Rates”, Journal of Monetary Economics, 30(2), 195-215.
  • Moura, A. (2021), “Are neutral and investment-specific technology shocks correlated?”, European Economic Review, 139, 103866.
  • Müller, U.K. & M.W. Watson (2008), “Testing Models of Low-Frequency Variability”, Econometrica, 76(5), 979-1016.
  • Müller, U.K. & M.W. Watson (2018), “Long-Run Covariability”, Econometrica, 86(3), 775-804.
  • Nelson, C. (1976), “Inflation and Rates of Return on Common Stocks”, Journal of Finance, 31(2), 471-83.
  • Papell, D.H. & R. Prodan (2020), “Long-run purchasing power parity redux”, Journal of International Money and Finance, 109, 102260.
  • Perron, P. (1990), “Testing for a Unit Root in a Time Series with a Changing Mean”, Journal of Business and Economic Statistics, 8(2), 153-162.
  • Rose, A.K. (1988), “Is the Real Interest Rate Stable?”, Journal of Finance, 43(5), 1095-1112.
  • Shahbaz, M. et al. (2023), “Long-run co-variability between oil prices and economic policy uncertainty”, International Journal of Finance & Economics, 28(2), 1308-1326.
  • Tokatlioglu, Y. (2021), “Türkiye’de işsizlik ve sanayi üretim endeksi arasindaki ilişki: Uzun dönemli ortak değişkenlik”, in: M. Narin & G. Dincer (eds.), Dünyada ve Türkiye'de Çalışma Hayatı, İstihdam ve İşsizlik (264-284), Ankara: Gazi Kitabevi.
  • Toyoshima, Y. & S. Hamori (2011), “Panel cointegration analysis of the Fisher effect: Evidence from the US, the UK, and Japan”, Economics Bulletin, 31(3), 2674-2682.
  • West, K.D. & T. Cao (2022), “Some Long-Run Correlations of Inflation in Developed Countries”, Economia, 45(89), 1-23.
  • Wong, K.F & H.J. Wu (2003), “Testing Fisher Hypothesis in Long Horizons for G7 and Eight Asian Countries”, Applied Economics Letters, 10(14), 917-923.
  • Yamada, H. (2020), “A Smoothing Method That Looks like the Hodrick-Prescott Filter”, Econometric Theory, 36, 961-981.
  • Yamada, H. (2022), “Quantile regression version of Hodrick-Prescott filter”, Empirical Economics, 64, 1631-1645.
  • Yuhn, K.H. (1996), “Is the Fisher effect robust? Further evidence”, Applied Economics Letters, 3(1), 41-44.
There are 47 citations in total.

Details

Primary Language English
Subjects Economics
Journal Section Articles
Authors

Yağmur Tokatlıoğlu 0000-0003-0134-6321

Early Pub Date July 23, 2023
Publication Date July 26, 2023
Submission Date March 27, 2023
Published in Issue Year 2023

Cite

APA Tokatlıoğlu, Y. (2023). The Fisher Hypothesis within the Framework of Long-Run Covariability: The Case of the United Kingdom. Sosyoekonomi, 31(57), 195-205. https://doi.org/10.17233/sosyoekonomi.2023.03.10
AMA Tokatlıoğlu Y. The Fisher Hypothesis within the Framework of Long-Run Covariability: The Case of the United Kingdom. Sosyoekonomi. July 2023;31(57):195-205. doi:10.17233/sosyoekonomi.2023.03.10
Chicago Tokatlıoğlu, Yağmur. “The Fisher Hypothesis Within the Framework of Long-Run Covariability: The Case of the United Kingdom”. Sosyoekonomi 31, no. 57 (July 2023): 195-205. https://doi.org/10.17233/sosyoekonomi.2023.03.10.
EndNote Tokatlıoğlu Y (July 1, 2023) The Fisher Hypothesis within the Framework of Long-Run Covariability: The Case of the United Kingdom. Sosyoekonomi 31 57 195–205.
IEEE Y. Tokatlıoğlu, “The Fisher Hypothesis within the Framework of Long-Run Covariability: The Case of the United Kingdom”, Sosyoekonomi, vol. 31, no. 57, pp. 195–205, 2023, doi: 10.17233/sosyoekonomi.2023.03.10.
ISNAD Tokatlıoğlu, Yağmur. “The Fisher Hypothesis Within the Framework of Long-Run Covariability: The Case of the United Kingdom”. Sosyoekonomi 31/57 (July 2023), 195-205. https://doi.org/10.17233/sosyoekonomi.2023.03.10.
JAMA Tokatlıoğlu Y. The Fisher Hypothesis within the Framework of Long-Run Covariability: The Case of the United Kingdom. Sosyoekonomi. 2023;31:195–205.
MLA Tokatlıoğlu, Yağmur. “The Fisher Hypothesis Within the Framework of Long-Run Covariability: The Case of the United Kingdom”. Sosyoekonomi, vol. 31, no. 57, 2023, pp. 195-0, doi:10.17233/sosyoekonomi.2023.03.10.
Vancouver Tokatlıoğlu Y. The Fisher Hypothesis within the Framework of Long-Run Covariability: The Case of the United Kingdom. Sosyoekonomi. 2023;31(57):195-20.