Türkiye Ekonomisi Bağlamında Fisher Etkisinin Birim Kök Testleri ve ARDL Sınır Testiyle Sınanması

Öz

The positive relationship between the interest rate and the inflation rate is known as the Fisher effect in economics. The validity of the Fisher effect in the Turkish economy between 1971 and 2021 was tested using the ARDL bounds test and unit root tests within the scope of this study. In this context, it was concluded that the variables that are not stationary at the level move together in the long run. In the long run, a 1% increase in the inflation rate increases the interest rates by 1.05%. The Toda-Yamamoto causality test revealed a one-way Granger causality relationship between the related variables, ranging from the inflation rate to the interest rate. The stationarity of the real interest rate was tested with ADF, Lee- Strazicich and Fourier KPSS unit root tests. The findings indicate that the real interest rate variable is stationary and that the Fisher hypothesis holds in the Turkish economy.

Anahtar Kelimeler

• Fisher Hipotezi
• ARDL sınır testi
• Toda-Yamamoto Nedensellik Testi
• DOLS

Testing The Fisher Effect in The Context Of Turkish Economy With Unit Root Tests and ARDL Bounds Testing Approach

Öz

Ekonomi yazınında faiz oranı ile enflasyon oranı arasındaki pozitif yönlü ilişki Fisher etkisi olarak bilinmektedir. Bu çalışma kapsamında, Türkiye ekonomisinde 1971-2021 arası Fisher etkisinin geçerliliği ARDL sınır testi ve birim kök testleriyle sınanmıştır. Bu bağlamda, düzeyde durağan olmayan değişkenlerin uzun dönemde birlikte hareket ettikleri sonucuna ulaşılmıştır. Uzun dönemde enflasyon oranında meydana gelen %1lik artış faiz oranlarını % 1.05 oranında artırmaktadır. Toda-Yamamoto nedensellik test sonucuna göre ilgili değişkenler arasında enflasyon oranından faiz oranına doğru olmak üzere tek yönlü Granger nedensellik ilişkisi tespit edilmiştir. Reel faiz oranının durağanlık durumu ise ADF, Lee- Strazicich ve Fourier KPSS birim kök testleriyle sınanmıştır. Sonuçlar reel faiz oranı değişkeninin durağan olduğunu göstererek Fisher hipotezinin Türkiye ekonomisinde geçerli olduğunu göstermiştir.

Anahtar Kelimeler

• Fisher Hypothesis
• ARDL bounds test
• Toda-Yamamoto Causality Test
• DOLS

Kaynakça

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