The Causal Relationship between Real Interest Rates and Inflation in Central Asian Countries: A Dumitrescu-Hurlin Panel Data Approach

Elina Kaparova; Nurdan Aslan

The Causal Relationship between Real Interest Rates and Inflation in Central Asian Countries: A Dumitrescu-Hurlin Panel Data Approach

Abstract

This study investigates the causal relationship between real interest rates and inflation in five Central Asian transition economies: Uzbekistan, Kazakhstan, Turkmenistan, Kyrgyzstan, and Tajikistan. While the Fisher Effect traditionally posits a long-run neutrality of real interest rates in response to changes in expected inflation via nominal interest rate adjustments, this study specifically focuses on real interest rates rather than nominal ones. Annual data for the period 2000–2024 were collected from the official databases of the central banks of the respective countries. To explore the direction of causality, the Dumitrescu and Hurlin (2012) Panel Granger Causality test was applied, which allows for cross-sectional dependence and heterogeneity across countries. The empirical findings indicate a unidirectional causality running from inflation to real interest rates. This result implies that inflation significantly shapes interest rate dynamics in these countries, although it does not offer direct validation of the traditional Fisher Hypothesis. The findings contribute to understanding monetary policy behavior in post-socialist economies.

Keywords

References

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Details

Primary Language

English

Subjects

Cross-Sectional Analysis

Journal Section

Research Article

Authors

Elina Kaparova ^*
0000-0003-4321-6904
Türkiye

Nurdan Aslan
0000-0002-6080-3513
Türkiye

Early Pub Date

June 27, 2025

Publication Date

November 18, 2025

Submission Date

June 3, 2025

Acceptance Date

June 27, 2025

Published in Issue

Year 2024 Volume: 5 Number: 1

IZ

https://izlik.org/JA86UX79EL

Cite

RIS / Bibtex

APA

Kaparova, E., & Aslan, N. (2025). The Causal Relationship between Real Interest Rates and Inflation in Central Asian Countries: A Dumitrescu-Hurlin Panel Data Approach. Journal of Sustainable Economics and Management Studies, 5(1), 1-14. https://izlik.org/JA86UX79EL

AMA

1.Kaparova E, Aslan N. The Causal Relationship between Real Interest Rates and Inflation in Central Asian Countries: A Dumitrescu-Hurlin Panel Data Approach. ECOMAN. 2025;5(1):1-14. https://izlik.org/JA86UX79EL

Chicago

Kaparova, Elina, and Nurdan Aslan. 2025. “The Causal Relationship Between Real Interest Rates and Inflation in Central Asian Countries: A Dumitrescu-Hurlin Panel Data Approach”. Journal of Sustainable Economics and Management Studies 5 (1): 1-14. https://izlik.org/JA86UX79EL.

EndNote

Kaparova E, Aslan N (November 1, 2025) The Causal Relationship between Real Interest Rates and Inflation in Central Asian Countries: A Dumitrescu-Hurlin Panel Data Approach. Journal of Sustainable Economics and Management Studies 5 1 1–14.

IEEE

[1]E. Kaparova and N. Aslan, “The Causal Relationship between Real Interest Rates and Inflation in Central Asian Countries: A Dumitrescu-Hurlin Panel Data Approach”, ECOMAN, vol. 5, no. 1, pp. 1–14, Nov. 2025, [Online]. Available: https://izlik.org/JA86UX79EL

ISNAD

Kaparova, Elina - Aslan, Nurdan. “The Causal Relationship Between Real Interest Rates and Inflation in Central Asian Countries: A Dumitrescu-Hurlin Panel Data Approach”. Journal of Sustainable Economics and Management Studies 5/1 (November 1, 2025): 1-14. https://izlik.org/JA86UX79EL.

JAMA

1.Kaparova E, Aslan N. The Causal Relationship between Real Interest Rates and Inflation in Central Asian Countries: A Dumitrescu-Hurlin Panel Data Approach. ECOMAN. 2025;5:1–14.

MLA

Kaparova, Elina, and Nurdan Aslan. “The Causal Relationship Between Real Interest Rates and Inflation in Central Asian Countries: A Dumitrescu-Hurlin Panel Data Approach”. Journal of Sustainable Economics and Management Studies, vol. 5, no. 1, Nov. 2025, pp. 1-14, https://izlik.org/JA86UX79EL.

Vancouver

1.Elina Kaparova, Nurdan Aslan. The Causal Relationship between Real Interest Rates and Inflation in Central Asian Countries: A Dumitrescu-Hurlin Panel Data Approach. ECOMAN [Internet]. 2025 Nov. 1;5(1):1-14. Available from: https://izlik.org/JA86UX79EL