TESTING OF THE FISHER HYPOTHESIS WITH A DYNAMIC PANEL DATA ANALYSIS: AN APPLICATION ON OECD COUNTRIES

Öz

This paper aims to test validity of “Fisher Hypothesis” for period 1995:Q1-2014:Q4 in Organization for Economic Cooperation and Development (OECD) member countries by using dynamic panel data analysis. The findings which obtained using dynamic panel data analysis in this study can be listed as follows: a) An economic shock or policy change that will occur in any of the OECD countries, also affects other countries; b) Interest and inflation influence each other in different degrees in each of the OECD countries. This finding indicates that OECD countries have different economic structures; c) The long-term relationship between inflation and interest have been determined in examined OECD countries and this finding supports the Fisher hypothesis that claims there is a long term linkage between nominal interest rates and inflation rates; d) The finding have been determined which imply that in the long term inflation and interest affect each other positively in examined OECD countries. This finding prove the validity of “The Partial Fisher Effect”; e) According to the country-based coefficients; Fisher hypothesis is not valid for five OECD countries while partial Fisher effect is valid for thirteen OECD countries and full Fisher effect is valid  for an OECD country; f) Finally, an increase in interest rates leads to increase in inflation in the thirteen OECD countries.

Anahtar Kelimeler

• Full Fisher effect,partial fisher effect,dynamic panel data analysis,Durbin Hausman cointegration test

FİSHER HİPOTEZİ'NİN PANEL VERİ ANALİZİ İLE TEST EDİLMESİ: OECD ÜLKELERİ UYGULAMASI

Öz

Bu çalışma, Ekonomik İşbirliği ve Kalkınma Teşkilatı (OECD) üyesi ülkelerde 1995:Q1-2014:Q4 dönemi için “Fisher Hipotezi” nin geçerliliğini, dinamik panel veri analizi kullanarak test etmeyi amaçlamaktadır. Çalışmada dinamik panel veri analizi kullanılarak elde edilen bulgular şöyle sıralanabilir: a) OECD ülkelerinden herhangi birinde ortaya çıkacak bir ekonomik şok ya da bir politika değişikliği, diğer ülkeleri de etkilemektedir; b) OECD ülkelerinin her birinde, faiz ve enflasyon birbirini farklı derecede etkilemektedir. Bu bulgu, OECD ülkelerinin ekonomik yapılarının farklı olduğunu göstermektedir; c) İncelenen OECD ülkelerinde, enflasyon ile faiz arasında uzun dönemli bir ilişki olduğu tespit edilmiş olup, bu bulgu nominal faiz oranları ile enflasyon oranları arasında uzun dönemli bir ilişki olduğunu iddia eden Fisher hipotezini desteklemektedir; d) İncelenen OECD ülkelerinde, uzun dönemde faiz ve enflasyonun karşılıklı birbirlerini pozitif etkiledikleri tespit edilmiştir. Bu bulgu “Zayıf Fisher Etkisi” nin geçerli olduğunu ispatlamaktadır; e) Ülke bazlı elde edilen katsayılara göre beş OECD ülkesinde Fisher hipotezi geçerli değilken, on üç OECD ülkesinde zayıf Fisher etkisi, bir OECD ülkesinde ise tam Fisher etkisi geçerlidir; f) Son olarak, on üç OECD ülkesinde faiz oranlarında ortaya çıkan bir artış, enflasyonun da artmasına neden olmaktadır. 

Anahtar Kelimeler

• Tam Fisher etkisi,zayıf Fisher etkisi,dinamik panel veri analizi,Durbin Hausman eşbütünleşme testi

Kaynakça

1. Bayat, T. (2011), “Türkiye’de Fisher Etkisinin Geçerliliği: Doğrusal Olmayan Eşbütünleşme Yaklaşımı”, Erciyes Üniversitesi İİİBF Dergisi, 8, 47-60.
2. Beyer, A., A.A. Haug, G.W. Dewald (2009), “Structural Breaks, Cointegration and The Fisher Effect”, Europen Central Bank, Working Paper Series, No 1013.
3. Berument, H., M.M. Jelassi (2002), “The Fisher Hypothesis: A Cross-Country Analysis”, Applied Economics, 34, 1645-1655.
4. Breusch, T.S., A.R. Pagan (1980), “The Lagrange Multiplier Test and Its Applications to Model Specification in Econometrics”, Journal of The Rewiev of Economic, 47(6), 239-253.
5. Canning, D., P. Pedroni (2008), “Infrastructure, Long-Run Economic Growth And Causality Tests For Cointegrated Panels”, The Manchester School, 76(5), 504-527.
6. Chudik, A., M.H. Pesaran (2013), “Common Correlated Effects Estimation of Heterogeneous Dynamic Panel Data Models with Weakly Exogenous Regressors” Federal Reserve Bank of Dallas Globalization and Monetary Policy Institute, Working Paper No. 146, Dallas.
7. Dutt, S., D. Ghosh (1995), “The Fisher Hypothesis: Examining the Canadian Experience”, Applied Economics, 27, 1025–1030.
8. Eurostat (2016), Long–term interest rate, Government bond yields, 10 years' maturity-monthly

9. data, http://ec.europa.eu/eurostat/en/data/database, E.T.: 15.08.2015.
10. Everaert, G. (2014), “A Panel Analysis of The Fisher Effect with An Unobserved I(1) World Real Interest Rate”, Economic Modelling, 41, 198–210.
11. Fama, E. (1975), “Short-Term Interest Rates As Predictors of Inflation”, American Economic Review, 65, 269–282.
12. Fisher, I. (1930), The Theory of Interest, New York: Macmillan.
13. Gül, E., S. Açıkalın (2008), “An Examination of the Fisher Hypothesis: The Case of Turkey”, Applied Economics, 40, 3227-3231.
14. Hadri, K. (2000), “Testing for Stationarity in Heterogeneous Panel Data”, Econometrics Journal, 3, 148-161.
15. Im, K.S., M.H. Pesaran, Y. Shin (2003), “Testing for Unit Roots in Heterogeneous Panels”, Journal of Econometrics, 115, 53-74.
16. Juntilla, J. (2001), “Testing An Augmented Fisher Hypothesis for Small Open Economy: The Case of Finland”, Journal of Macroeconomics, 23, 577-599.
17. Köse, N., F. Emirmahmutoğlu, S. Aksoy (2012), “The Interest Rate-Inflation Relationship Under An Inflation Targeting Regime: The Case of Turkey”, Journal of Asian Economics, 23, 476-485.
18. Krugman, P.R., M. Obstfeld (2003), International Economics Theory and Policy (6th ed.), Boston: Pearson Education Inc.
19. Lanne, M. (2001), “Near Unit Root and The Relationship Between Inflation and Interest Rates: A Reexamination of the Fisher Effect", Empirical Economies, 26, 357-366.
20. Levin, A., C.F. Lin, C.S.J. Chu (2002), “Unit Root Tests in Panel Data: Asymptotic and Finite Sample Properties” Journal of Econometrics, 108, 1-24.
21. Macbonald, R., P. Murphy (1989), “Testing for The Long Run Relationship Between Nominal Interest Rate and Inflation Using Cointegration Techniques”, Applied Economics, 21, 439–447.
22. Mercan, M. (2013), “Enflasyon ve Nominal Faiz Oranları Arasındaki Uzun Dönem İlişkinin Fisher Hipotezi Çerçevesinde Test Edilmesi: Türkiye Örneği”, Atatürk Üniversitesi İİBF Dergisi, 27, 368-384.
23. Mishkin, F.S. (1984), “Are Real Interest Rates Equal Across countries? An Empirical Investigation of International Parity Conditions”, Journal of Finance, 39, 1345–1357.
24. Mishkin, F.S., J. Simon (1994), “An Empirical Examination of The Fisher Effect, Research Discussion Paper, 9410.
25. OECD (2016), Inflation measured by consumer price index, https://data.oecd.org/, E.T.: 15.08.2015.
26. Panopoulou, E. (2005), “A Resolution of The Fisher Effect Puzzle: A Comparison of Estimators”, IIIS Discussion Paper No. 67.
27. Phylaktis, K., D. Blake (1993), “The Fisher Hypothesis: Evidence From Three High Inflation Economies”, Weltwirtschaftliches Archiv, 129, 591–599.
28. Pesaran, M.H., T. Yamagata (2008), “Testing Slope Homogeneity in Large Panels”, Journal of Econometrics, 142(1), 50-93.
29. Pesaran, M.H. (2007), “A Simple Panel Unit Root Test in the Presence of Cross-Section Dependence”, Journal of Applied Econometrics, 22, 265–312.
30. Pesaran, M.H. (2006), “Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure”, Journal of Econometrica, 74, 967–1012.
31. Pesaran, M.H. (2004), “General Diagnostic Tests for Cross Section Dependence in Panels”, Journal of Applied Econometrics, 20, 264-309.
32. Şimşek, M., C. Kadılar (2006), “Fisher Etkisinin Türkiye Verileri ile Testi”, Doğuş Üniversitesi Dergisi, 7, 99-111.
33. Weidmann, J. (1997), “New Hope for the Fisher Effect?”, Discussion Paper b-385, University of Bonn, Institut für Internationale Wirtschaftspolitik.
34. Westerlund, J. (2008), “Panel Cointegration Tests of the Fisher Effect”, Journal of Applied Econometrics, 23, 193-223..
35. Tobin J. (1965), “Money and Economic Growth”, Econometrica 33: 671–684.
36. Turgutlu, E. (2004), “Fisher Hipotezinin Tutarlılığının Testi: Parçalı Durağanlık ve Parçalı Koentegrasyon Analizi”, Dokuz Eylül Üniversitesi İİBF Dergisi, 19, 55-74.
37. Uçak, H., İ. Özturk, A. Aslan (2014), “An Examination of Fisher Effect for Selected New EU Member States”, International Journal of Economics and Financial Issues, 4, 956-959.
38. Tatoğlu, F.Y. (2013), Panel Veri Ekonometrisi. 2. Baskı, İstanbul: Beta.
39. Yılancı, V. (2009), “Fisher Hipotezinin Türkiye İçin Sınanması: Doğrusal Olmayan Eşbütünleşme Analizi”, Atatürk Üniversitesi İİBF Dergisi, 23, 205-213.