Çin Ekonomisi İçin Fisher Etkisinin Varlığının Analizi

Year 2018, Volume: 26 Issue: 35, 27 - 40, 31.01.2018

Utku Altunöz

https://doi.org/10.17233/sosyoekonomi.378725

Cited By: 4

Abstract

Ekonomi biliminde Fisher Etkisi, uzun dönemli faiz ile enflasyon ilişkisi olarak bilinmektedir. Fisher’e göre, uzun dönemde milli gelir tam istihdam seviyesinde iken enflasyon oranında bir artış tamamen nominal faiz oranını etkileyecektir. Bu çalışmada, Çin için Fisher Etkisinin geçerliliği 1996: 01-2015: 03 dönemi için test edilmiştir. Nominal faiz oranı ile enflasyon oranı arasındaki uzun dönemli ilişki, Peseran ve arkadaşları tarafından geliştirilen ARDL Sınır Testi Yaklaşımı kullanılarak incelenmiştir. ARDL testi öncesinde Fisher Etkisi’nin teorik arka planı incelenmiştir. Literatür araştırmasının ardından Augmented Dickey Fuller birim kök testi ile seriler durağanlaştırılmış ve durağan serilere ARDL (Autoregressive-Distributed Lag Bounds) testi uygulanmıştır. Çalışmanın sonucunda Çin Ekonomisinde Fisher Etkisinin varlığına ulaşılmıştır.

Keywords

Interest Rate, Inflation, Fisher Effect, Error Correction Model, Co- integration Analysis, ARDL Bounds Test

Investigating the Presence of Fisher Effect for the China Economy

Abstract

In economic science, Fisher effect is known as the long run relationship between interest rates and inflation rates. According to Fisher, when economy at the full employment, increase in inflation is fully reflects to the nominal interest rates. Fisher equation is used to formulate the relationship between inflation and interest rates. Equation stands out the evidence about money growing, inflation and rates. In this study, the validity of fisher effect for China was tested over the period 1996:01 - 2015:03, the long run relationship between nominal interest rate and inflation rate was examined by using ARDL Bounds Testing Approach which was developed by Peseran et al. Before ARDL, theoretical background of Fisher Effect was explained. Following the literature survey, stationary situations were tested by Augmented Dickey Fuller unit root test. After that Autoregressive-Distributed Lag Bounds Test was applied on variables. According to result of study, the presence of fisher effect in China was supported.

Keywords

Interest Rate, Inflation, Fisher Effect, Error Correction Model, Co- integration Analysis, ARDL Bounds Test

References

• Akıncı, M. & Ö. Yılmaz (2016) “Enflasyon-Faiz Oranı Takası: Fisher Hipotezi Bağlamında Türkiye Ekonomisi İçin Dinamik En Küçük Kareler Yöntemi”, Sosyoekonomi, 24(27), 33-35.
• Bayat, T. (2012), “Türkiye’de Fisher Etkisinin Geçerliliği: Doğrusal Olmayan Eşbütünleşme Yaklaşımı, Erciyes Üniversitesi İİBF Dergisi, 38, 47-60.
• Beyer, A. & A.A. Haug & W.G. Dewald (2009), “Structural Breaks, Cointegration and the Fisher Effect”, European Central Bank Working Paper, No: 1013.
• Belloumi, M. (2012), “The relationship between Trade, FDI and Economic growth in Tunisia: An application of autoregressive distributed lag model”, Presented at the 15th Annual Conference on Global Economic Analysis, Geneva, Switzerland.
• Carneniro, F.G. & J.A. Divino & C.H. Rocha (2002), “Revisiting the Fisher Hypothesis for the Cases of Argentina, Brazil and Mexico”, Applied Economics Letters, 9(2), 95-98.
• Chen, C. (2015), “‘Fisher Effect’ Theory and ‘Fisher Paradox’ in China’s Economy”, Open Journal of Social Sciences, 3, 80-85, doi: 10.4236/jss.2015.310012
• Cooray, A. (2002), The Fisher Effect: a review of the literature, Sydney, NSW: Macquarie Univ., Dep. of Economics, 1-25.
• Dritsakis, N. (2011), Demand for money in Hungary: An ARDL Approach, Department of Applied Informatics University of Macedonia Economics and Social Sciences.
• Dutt, S. & G. Ghosh (1995), “The Fisher Hypothesis: Examining the Canadian Experience”, Applied Economics, 27, 1025-1030.
• Eğilmez, M. (2015), Çin Ekonomisi, <http://www.mahfiegilmez.com/2015/08/cin-ekonomisi.html>, 02.07.2016.
• Fama, E.F. (1975), “Short Term Interest Rates as Predictors of Inflation”, American Economic Review, 65, 269-282.
• Fama, E. & M.R. Gibbons (1982), “Inflation, Real Returns, and Capital Investment”, Journal of Monetary Economics, 9, 297-324.
• Fisher, I. [1930] (1961), The Theory of Interest, New York: Macmillan.
• Garcia, M.G.P. (1993), “The Fisher Effect in a Signal Extraction Framework: The Recent Brazilian Experience”, Journal of Development Economics, 41, 71-93.
• Gujarati, D.N. (1999), Temel Ekonometri, (Trans. Ü. Şenesen & G.G. Şenesen), İstanbul, Literatür Yayınları.
• Gül, E. & S. Açıkalın (2007), “An Examination of the Fisher Hypothesis: The Case of Turkey”, Applied Economics, 99(1), 87-90.
• Hassan, A. & M. Hisham (2008), An Analysis of Growth and Inequality in Sudan: Cointegration and Causality Evidence (1956-2003), (March 2, 2008), Available at SSRN: <http://ssrn.com/abstract=1530403 orhttp://dx.doi.org/10.2139/ssrn.1530403>, 21.09.2016.
• Hatemi, A. & M. Irandoust (2008), “The Fisher Effect: A Kalman Filter Approach to Detecting Structural Change”, Applied Economics Letters, 15(8), 619-624.
• Hatemi, A. (2009), “The International Fisher Effect: Theory and Application”, Investment Management and Financial Innovations, 6(1), 117-121.
• Huizinga, J. & F.S. Mishkin (1986), “Monetary Policy Regime Shifts and the Unusual Behavior of Real Interest Rates”, Carnegie-Rochester Conference Series on Public Policy, 24, 231-274.
• Incekara, A, & S. Demez & M. Ustaoğlu (2012), “Validity of Fisher effect for Turkish economy: Cointegration analysis”, Procedia-Social and Behavioral Sciences, 58, 396-405.
• Ito, T. (2009), “Fisher Hypothesis in Japan: Analysis of Long-Term Interest Rates under Different Monetary Policy Regimes”, The World Economy, 32(7), 1019-1035.
• Johansen, S. (1988), “Statistical analysis of cointegration vectors”, Journal of Economic Dynamics and Control, 12(1), 231-54.
• Johansen, S. & K. Juselius (1990), “Maximum likelihood estimation and inference on cointegration with application to the demand for money”, Oxford Bulletin of Economics and Statistics, 52, 69-206.
• MacDonald, R. & P.D. Murphy (1989), “Testing for the Long Run Relationship between Nominal Interest Rates and Inflation Using Cointegration Techniques”, Applied Economics, 21, 439-447.
• McKinnon, R.I. (1973), Money and Capital in Economic Development, Washington, DC: Brookings Institution.
• Mishkin, F. (1984), “Are Real Interest Rates Equal across Countries? An Empirical Investigation of International Parity Conditions”, Journal of Finance, 39, 1345-1357.
• 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, 195-215.
• Kandel, S. & A. Ofer & O. Sarig (1996), “Real Interest Rates and Inflation: An Ex-ante Empirical Analysis”, Journal of Finance, 51, 205-225.
• Peng, W. (1995), “The Fisher Hypothesis and Inflation Persistence Evidence From Five Major Industiral Countries”, IMF Working Paper, No. 95/118.
• Pesaran, M.H. & Y. Shin (1999), An Autoregressive Distributed Lag Modelling Approach to Cointegration Analysis, <http://www.econ.cam.ac.uk/faculty/pesaran/ardl.pdf>, 29.09.2013.
• Pesaran, M.H. & Y. Shin & R. Smith (2001), “Bounds Testing Approaches to the Analysis of Level Relationship”, Journal of Applied Econometrics, 16(3), 289-326.
• Phylaktis, K. & D. Blake (1993), “The Fisher Hypothesis: Evidence from Three High Inflation Economies”, Weltwirtschaftliches Archiv, 129, 591-599.
• Shaw, E. (1973), Financial Deepening in Economic Development, New York: Oxford University Press.