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Türkiye Ekonomisinde Uluslararası Fisher Hipotezi’nin Geçerliliği: Genelleştirilmiş Momentler Metodu

Yıl 2016, Cilt: 11 Sayı: 2, 69 - 92, 01.08.2016

Öz

Uluslararası Fisher Hipotezi, enflasyon oranında meydana gelen bir değişimin faiz oranı üzerinde pozitif yönlü bir etki yaratacağı ve böylece ulusal paranın değer kaybedeceğini öne sürmektedir. Bu bağlamda, Uluslararası Fisher Hipotezi’nin Türkiye ekonomisinde 1975-2014 dönemi için geçerliliğini Genelleştirilmiş kullanılmıştır. GMM analiz sonuçları, araç değişken olarak dikkate alınan gecikmeli enflasyon, faiz ve döviz kurlarının cari ve bir dönem gecikmeli enflasyon ve döviz kurları üzerinde pozitif etkiler yarattığını göstermiştir. Ayrıca, araç değişkenler iki dönem gecikmeli faiz oranları üzerinde pozitif etkiler yaratmasına karşın, cari ve bir dönem gecikmeli faiz oranları üzerinde ise negatif etkiler ortaya çıkarmış ve buna bağlı olarak da ulusal paranın değer kaybettiğini ortaya koymuştur. Analiz bulguları, Türkiye için Uluslararası Fisher Hipotezi’nin geçerli olduğunu göstermiştir

Kaynakça

  • Akçacı, T. ve S. Gökmen (2014), “Fisher Hipotezi: Türkiye Ekonomisi İçin Bir Analiz”, Uluslararası Hakemli Ekonomi Yönetimi Araştırmaları Dergisi, 2(1), 126- 141.
  • Arısoy, I. (2013), “Testing for the Fisher Hypothesis under Regime Shifts in Turkey: New Evidence from Time-Varying Parameters”, International Journal of Economics and Financial Issues, 3(2), 496-502.
  • Asteriou, D. ve S. G. Hall (2007), Applied Econometrics: A Modern Approach Using Eviews and Microfit, USA: Palgrave MacMillan.
  • Atkins, F. J. ve P. J. Coe (2002), “An ARDL Bounds Test of the Long-Run Fisher Effect in the United States and Canada”, Journal of Macroeconomics, 24(2), 255- 266.
  • Atkins, F. J. ve M. Chan (2004), “Trend Breaks and the Fisher Hypothesis in Canada and the United States”, Applied Economics, 36(17), 1907-1913.
  • Barthold, T. A. ve W. R. Dougan (1986), “The Fisher Hypothesis Under Different Monetary Regimes”, Review of Economics and Statistics, 68(4), 674-679.
  • Berument, H. ve M. M. Jelassi (2002), “The Fisher Hypothesis: A Multi-Country Analysis”, Applied Economics, 34(13), 1645-1655.
  • Berument, H., N. B. Ceylan, ve H. Olgun (2007), “Inflation Uncertainty and Interest Rates: Is the Fisher Relation Universal?”, Applied Economics, 39(1), 53-68.
  • Beyer, A., A. A. Haug, ve W. G. Dewald (2009), “Structural Breaks, Cointegration and the Fisher Effect”, European Central Bank Working Paper, No: 1013.
  • Brouwer, G. ve J. Gilbert (2005), “Monetary Policy Reaction Functions in Australia”. Economic Record, 81(253), 124-134.
  • Carneiro, F. G., J. Angelo, C. A. Divino ve C. H. Rocha (2002), “Revisiting the Fisher Hypothesis for the Cases of Argentina, Brazil And Mexico”, Applied Economics Letters, 9(2), 95-98.
  • Charemza, W. W. ve D. F. DEADMAN (1993), New directions in econometric practice, UK: Edward Elgar.
  • Choi, W. G. (2002), “The Inverted Fisher Hypothesis: Inflation Forecastability and Asset Substitution”, IMF Staff Papers, 49(2), 212-241.
  • Coppock, L. ve M. Poitras (2000), “Evaluating the Fisher Effect In Long-Term CrossCountry Averages”, International Review of Economics and Finance, 9(2), 181-192.
  • Crowder, W. J. (1997), “The long-run Fisher relation in Canada”, Canadian Journal of Economics, 30(4), 1124-1142.
  • Cumby, R. E. ve M. Obstfeld (1980), “Exchange-Rate Expectations and Nominal Interest Differentials: A Test of the Fisher Hypothesis”, NBER Working Paper, No: 537.
  • Çakmak, E., H. Aksu ve S. Başa (2002), “Fisher Hipotezinin Turkiye Acisindan Degerlendirilmesi: 1989-2001”, Atatürk Universitesi IIBF Dergisi, 16(3-4), 31-40.
  • Çatik, A. N. (2006), “Yapisal Kirilma Altinda Para Talebinin Istikrari: Turkiye Ornegi”. Ege University Working Paper, No: 06/11.
  • Daniels, J. P., F. Nourzad, F. ve R. K. Toutkoushian (1996), “Testing the Fisher Effect as a Long-Run Equilibrium”, Applied Financial Economics, 6(2), 115-120.
  • Demirag, I. ve S. Goddard (1995), Financial Management for International Business, USA: McGraw-Hill Co.
  • Dickey, D. A. ve W. A. Fuller (1979), “Distribution of the Estimators for Autoregressive Series with a Unit Root”, Journal of the American Statistical Association, 74(366), 427-431.
  • Dickey, D. A. ve W. A. Fuller (1981), “Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root”, Econometrica, 49(4), 1057-1072.
  • Dutt, S. D. ve D. Ghosh (1995), “The Fisher Hypothesis: Examining the Canadian Experience”, Applied Economics, 27(11), 1025-1030.
  • Engsted, T. (1996), “Non-Stationarity and Tax Effects in the Long-Term Fisher Hypothesis”, Applied Economics, 28(7), 883-887.
  • Ergul, N. (2010), “Turk & Amerikan Enerji Piyasalarinda Piyasa Etkinliginin Test Edilmesi”, Maliye Finans Yazilari, 24(86), 101-120.
  • Etuk, I. E., T. O. James ve B. K. Asare (2014), “Fractional Cointegration Analysis of Fisher Hypothesis in Nigeria”, Asian Journal of Applied Sciences, 2(1), 88-94.
  • Fisher, I. (1896), “Appreciation and Interest”, Publication of American Economic Association, 11(4), 331-442.
  • Fisher, I. (1930), The Theory of Interest: As Determined By Impatience to Spend Income and Opportunity to Invest It, USA: Kelley Publishing.
  • Graham, F. C. (1988), “The Fisher Hypothesis: A Critique of Recent Results and Some New Evidence”, Southern Economic Journal, 54(4), 961-968.
  • Granger, C. W. J. ve P. Newbold (1974), “Spurious Regressions in Econometrics”, Journal of Econometrics, 2(2), 111-120.
  • Granville, B. ve S. Mallick (2004), “Fisher Hypothesis: UK Evidence over a Century”, Applied Economics Letters, 11(2), 87-90.
  • Gupta, K. L. (1991), “Interest Rates, Inflation Expectations and the Inverted Fisher Hypothesis”, Journal of Banking and Finance, 15(1), 109-116.
  • Gul, E. ve S. Acikalin (2008), “An Examination of the Fisher Hypothesis: The Case of Turkey”, Applied Economics, 40(24), 3227-3231.
  • Gultekin, N. B. (1983), “Stock Market Returns and Inflation: Evidence from Other Countries”, Journal of Finance, 38(1), 49-65.
  • Hall, A. R. (2005), Generalized Method of Moments, New York: Oxford University Press.
  • Hansen, L. P. (1982), “Large Sample Properties of Generalized Method of Moments Estimators”, Econometrica, 50(4), 1029-1054.
  • Herwartz, H. ve H. E. Reimers (2006), “Modelling the Fisher Hypothesis: World Wide Evidence”, CAU Working Paper, No: 2006-04.
  • Hutchison, M. M. ve M. C. Keeley (1989), “Estimating the Fisher Effect and the Stochastic Money Growth Process”, Economic Inquire, 27(2), 219-239.
  • Inder, B. ve P. Silvapulle (1993), “Does the Fisher Effect Apply in Australia?”, Applied Economics, 25(6), 839-843.
  • Ito, T. (2009), “Fisher Hypothesis in Japan: Analysis of Long-Term Interest Rates Under Different Monetary Policy Regimes”, World Economy, 32(7), 1019-1035.
  • Jaffe, J. F. ve G. Mandelker (1976), “The Fisher Effect for Risky Assets: An Empirical Investigation”, Journal of Finance, 31(2), 447-458.
  • Johansen, S. (1988), “Statistical Analysis of Cointegration Vectors”, Journal of Economic Dynamics and Control, 12(2-3), 231-254.
  • Johansen, S. ve K. Juselius (1990), “Maximum Likelihood Estimation and Inference on Cointegration with Applications to the Demand for Money”, Oxford Bulletin of Economic and Statistic, 52(2), 169-210.
  • Junttila, J. (2001), “Testing an Augmented Fisher Hypothesis for a Small Open Economy: The Case of Finland”, Journal of Macroeconomics, 23(4), 577-599.
  • Kane, A., L. Rosenthal ve G. Ljung (1983), “Tests of the Fisher Hypothesis with International Data: Theory and Evidence”, Journal of Finance, 38(2), 539-551.
  • Kasman, S., A. Kasman ve E. Turgutlu (2006), “Fisher Hypothesis Revisited: A Fractional Cointegration Analysis”, Emerging Markets Finance and Trade, 42(6), 59-76.
  • Kesriyeli, M. (1994), “Policy Regime Changes and Testing for the Fisher and UIP Hypotheses: The Turkish Evidence”, The Central Bank of Republic of Turkey Discussion Paper, No: 9411.
  • Kıran, B. (2013), “A Fractional Cointegration Analysis of Fisher Hypothesis: Evidence from Turkey”, Quality and Quantity, 47(2), 1077-1084.
  • Köse, N., F. Emirmahmutoğlu ve S. Aksoy (2012), “The Interest Rate-Inflation Relationship Under Inflation Targeting Regime: The Case of Turkey”, Journal of Asian Economics, 23(4), 476-485.
  • Kutan, A. M. ve T. Aksoy (2003), “Public Information Arrival and the Fisher Effect in Emerging Markets: Evidence from Stock and Bond Markets in Turkey”, Journal of Financial Services Research, 23(3), 225-239.
  • Kutlar, A. (2007), Ekonometriye Giris, Ankara: Nobel Yayinlari.
  • Kwiatkowski, D., P. C. B. Phillips, P. Schmidt ve Y. Shin (1992), “Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have A Unit Root?”, Journal of Econometrics, 54(1- 3), 159-178.
  • Lardic, S. ve V. Mignon (2003), “Fractional Cointegration between Nominal Interest Rates and Inflation: A Re-Examination of the Fisher Relationship in the G7 Countries”, Economics Bulletin, 3(14), 1-10.
  • Linden, M. (1995), “Interest Rate and Inflation Expectations in Finland 1987-1994: A Case for the Inverted Fisher Hypothesis”, Finnish Economic Papers, 8(2), 108- 115.
  • Lopcu, K., N. Coşkun ve S. Değirmen (2013), “Do Tax Implications Change the Fisher Effect for the Turkish Economy?”, Topics in Middle Eastern and African Economies, 15(2), 1-21.
  • Mackinnon, J. G. (1991), “Critical Values for Cointegration Tests”, R. F. Engle ve C. W. J. Granger (eds.), Long-run Economic Relationship: Readings in Cointegration, New York: Oxford University Press.
  • Madsen, J. B. (2005), “The Fisher Hypothesis and the Interaction between Share Returns, Inflation and Supply Shocks”, Journal of International Money and Finance, 24(1), 103-120.
  • McDonald, R. ve P. D. Murphy (1989), “Testing for the Long Run Relationship between Nominal Interest Rates and Inflation Using Cointegration Techniques”, Applied Economics, 21(4), 439-447.
  • Million, N. (2004), “Central Bank’s Interventions and the Fisher Hypothesis: A Threshold Cointegration Investigation”, Economic Modeling, 21(6), 1051-1064.
  • Mishkin, F. S. (1993), “Is the Fisher Effect for Real? A Reexamination of the Relationship between Inflation and Interest Rates”, NBER Working Paper, No: 3632.
  • Moazzami, B. (1991), “The Fisher Equation Controversy Re-Examined”, Applied Financial Economics, 1(3), 129-133.
  • Olekalns, N. (1996), “Further Evidence on the Fisher Effect”, Applied Economics, 28(7), 851-856.
  • Payne, J. E. ve B. T. Ewing (1997), “Evidence from Lesser Developed Countries on the Fisher Hypothesis: A Cointegration Analysis”, Applied Economics Letters, 4(11), 683-687.
  • Pelaez, R. F. (1995), “The Fisher effect: reprise”, Journal of Macroeconomics, 17(2), 333-346.
  • Peng, W. (1995), “The Fisher Hypothesis and Inflation Persistence: Evidence from Five Major Industrial Countries”, IMF Woking Paper, No: 95/118.
  • Phylaktis, K. ve D. Blake (1993), “The Fisher Hypothesis: Evidence from Three High Inflation Economies”, Review of World Economics, 129(3), 591-599.
  • Seyidoglu, H. (2009), Uluslararasi Iktisat: Teori, Politika Ve Uygulama, 17. Baskı., Istanbul: Guzem Can Yayinlari.
  • Sheefeni, J. P. S. (2013), “Testing for the Fisher Hypothesis in Namibia”, Journal of Emerging Issues in Economics, Finance and Banking, 2(1), 571-582.
  • Summers, L. H. (1982), “The Non-Adjustment of Nominal Interest Rates: A Study of the Fisher Effect”. NBER Working Paper, No: 836.
  • Sun, Y. ve P. C. B. Phillips (2004), “Understanding the Fisher equation”, Journal of Applied Econometrics, 19(7), 869-886.
  • Simsek, M. ve C. Kadilar (2006), “Fisher Etkisinin Turkiye Verileri ile Testi”, Dogus Universitesi Dergisi, 7(1), 99-111.
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The Validity of the International Fisher Hypothesis in Turkish Economy: Generalized Method of Moments

Yıl 2016, Cilt: 11 Sayı: 2, 69 - 92, 01.08.2016

Öz

International Fisher Hypothesis asserts that a change in the inflation rate impacts a positive effect upon the interest rate and thus the national currency would depreciate. In this context, Generalized Method of Moments is applied to test the validity of International Fisher Hypothesis for Turkish economy in the period of 1975-2014. The results of GMM analysis show that one lagged values of interest, inflation and exchange variables, have a positive effect on current and one lagged inflation and exchange rates. Besides, instrumental variables have a negative impact on current and one lagged interest rate, while they have a positive effect on two lagged interest rate and depending on this phenomenon national currency depreciates. The findings of the analysis show that International Fisher Hypothesis is valid for Turkey

Kaynakça

  • Akçacı, T. ve S. Gökmen (2014), “Fisher Hipotezi: Türkiye Ekonomisi İçin Bir Analiz”, Uluslararası Hakemli Ekonomi Yönetimi Araştırmaları Dergisi, 2(1), 126- 141.
  • Arısoy, I. (2013), “Testing for the Fisher Hypothesis under Regime Shifts in Turkey: New Evidence from Time-Varying Parameters”, International Journal of Economics and Financial Issues, 3(2), 496-502.
  • Asteriou, D. ve S. G. Hall (2007), Applied Econometrics: A Modern Approach Using Eviews and Microfit, USA: Palgrave MacMillan.
  • Atkins, F. J. ve P. J. Coe (2002), “An ARDL Bounds Test of the Long-Run Fisher Effect in the United States and Canada”, Journal of Macroeconomics, 24(2), 255- 266.
  • Atkins, F. J. ve M. Chan (2004), “Trend Breaks and the Fisher Hypothesis in Canada and the United States”, Applied Economics, 36(17), 1907-1913.
  • Barthold, T. A. ve W. R. Dougan (1986), “The Fisher Hypothesis Under Different Monetary Regimes”, Review of Economics and Statistics, 68(4), 674-679.
  • Berument, H. ve M. M. Jelassi (2002), “The Fisher Hypothesis: A Multi-Country Analysis”, Applied Economics, 34(13), 1645-1655.
  • Berument, H., N. B. Ceylan, ve H. Olgun (2007), “Inflation Uncertainty and Interest Rates: Is the Fisher Relation Universal?”, Applied Economics, 39(1), 53-68.
  • Beyer, A., A. A. Haug, ve W. G. Dewald (2009), “Structural Breaks, Cointegration and the Fisher Effect”, European Central Bank Working Paper, No: 1013.
  • Brouwer, G. ve J. Gilbert (2005), “Monetary Policy Reaction Functions in Australia”. Economic Record, 81(253), 124-134.
  • Carneiro, F. G., J. Angelo, C. A. Divino ve C. H. Rocha (2002), “Revisiting the Fisher Hypothesis for the Cases of Argentina, Brazil And Mexico”, Applied Economics Letters, 9(2), 95-98.
  • Charemza, W. W. ve D. F. DEADMAN (1993), New directions in econometric practice, UK: Edward Elgar.
  • Choi, W. G. (2002), “The Inverted Fisher Hypothesis: Inflation Forecastability and Asset Substitution”, IMF Staff Papers, 49(2), 212-241.
  • Coppock, L. ve M. Poitras (2000), “Evaluating the Fisher Effect In Long-Term CrossCountry Averages”, International Review of Economics and Finance, 9(2), 181-192.
  • Crowder, W. J. (1997), “The long-run Fisher relation in Canada”, Canadian Journal of Economics, 30(4), 1124-1142.
  • Cumby, R. E. ve M. Obstfeld (1980), “Exchange-Rate Expectations and Nominal Interest Differentials: A Test of the Fisher Hypothesis”, NBER Working Paper, No: 537.
  • Çakmak, E., H. Aksu ve S. Başa (2002), “Fisher Hipotezinin Turkiye Acisindan Degerlendirilmesi: 1989-2001”, Atatürk Universitesi IIBF Dergisi, 16(3-4), 31-40.
  • Çatik, A. N. (2006), “Yapisal Kirilma Altinda Para Talebinin Istikrari: Turkiye Ornegi”. Ege University Working Paper, No: 06/11.
  • Daniels, J. P., F. Nourzad, F. ve R. K. Toutkoushian (1996), “Testing the Fisher Effect as a Long-Run Equilibrium”, Applied Financial Economics, 6(2), 115-120.
  • Demirag, I. ve S. Goddard (1995), Financial Management for International Business, USA: McGraw-Hill Co.
  • Dickey, D. A. ve W. A. Fuller (1979), “Distribution of the Estimators for Autoregressive Series with a Unit Root”, Journal of the American Statistical Association, 74(366), 427-431.
  • Dickey, D. A. ve W. A. Fuller (1981), “Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root”, Econometrica, 49(4), 1057-1072.
  • Dutt, S. D. ve D. Ghosh (1995), “The Fisher Hypothesis: Examining the Canadian Experience”, Applied Economics, 27(11), 1025-1030.
  • Engsted, T. (1996), “Non-Stationarity and Tax Effects in the Long-Term Fisher Hypothesis”, Applied Economics, 28(7), 883-887.
  • Ergul, N. (2010), “Turk & Amerikan Enerji Piyasalarinda Piyasa Etkinliginin Test Edilmesi”, Maliye Finans Yazilari, 24(86), 101-120.
  • Etuk, I. E., T. O. James ve B. K. Asare (2014), “Fractional Cointegration Analysis of Fisher Hypothesis in Nigeria”, Asian Journal of Applied Sciences, 2(1), 88-94.
  • Fisher, I. (1896), “Appreciation and Interest”, Publication of American Economic Association, 11(4), 331-442.
  • Fisher, I. (1930), The Theory of Interest: As Determined By Impatience to Spend Income and Opportunity to Invest It, USA: Kelley Publishing.
  • Graham, F. C. (1988), “The Fisher Hypothesis: A Critique of Recent Results and Some New Evidence”, Southern Economic Journal, 54(4), 961-968.
  • Granger, C. W. J. ve P. Newbold (1974), “Spurious Regressions in Econometrics”, Journal of Econometrics, 2(2), 111-120.
  • Granville, B. ve S. Mallick (2004), “Fisher Hypothesis: UK Evidence over a Century”, Applied Economics Letters, 11(2), 87-90.
  • Gupta, K. L. (1991), “Interest Rates, Inflation Expectations and the Inverted Fisher Hypothesis”, Journal of Banking and Finance, 15(1), 109-116.
  • Gul, E. ve S. Acikalin (2008), “An Examination of the Fisher Hypothesis: The Case of Turkey”, Applied Economics, 40(24), 3227-3231.
  • Gultekin, N. B. (1983), “Stock Market Returns and Inflation: Evidence from Other Countries”, Journal of Finance, 38(1), 49-65.
  • Hall, A. R. (2005), Generalized Method of Moments, New York: Oxford University Press.
  • Hansen, L. P. (1982), “Large Sample Properties of Generalized Method of Moments Estimators”, Econometrica, 50(4), 1029-1054.
  • Herwartz, H. ve H. E. Reimers (2006), “Modelling the Fisher Hypothesis: World Wide Evidence”, CAU Working Paper, No: 2006-04.
  • Hutchison, M. M. ve M. C. Keeley (1989), “Estimating the Fisher Effect and the Stochastic Money Growth Process”, Economic Inquire, 27(2), 219-239.
  • Inder, B. ve P. Silvapulle (1993), “Does the Fisher Effect Apply in Australia?”, Applied Economics, 25(6), 839-843.
  • Ito, T. (2009), “Fisher Hypothesis in Japan: Analysis of Long-Term Interest Rates Under Different Monetary Policy Regimes”, World Economy, 32(7), 1019-1035.
  • Jaffe, J. F. ve G. Mandelker (1976), “The Fisher Effect for Risky Assets: An Empirical Investigation”, Journal of Finance, 31(2), 447-458.
  • Johansen, S. (1988), “Statistical Analysis of Cointegration Vectors”, Journal of Economic Dynamics and Control, 12(2-3), 231-254.
  • Johansen, S. ve K. Juselius (1990), “Maximum Likelihood Estimation and Inference on Cointegration with Applications to the Demand for Money”, Oxford Bulletin of Economic and Statistic, 52(2), 169-210.
  • Junttila, J. (2001), “Testing an Augmented Fisher Hypothesis for a Small Open Economy: The Case of Finland”, Journal of Macroeconomics, 23(4), 577-599.
  • Kane, A., L. Rosenthal ve G. Ljung (1983), “Tests of the Fisher Hypothesis with International Data: Theory and Evidence”, Journal of Finance, 38(2), 539-551.
  • Kasman, S., A. Kasman ve E. Turgutlu (2006), “Fisher Hypothesis Revisited: A Fractional Cointegration Analysis”, Emerging Markets Finance and Trade, 42(6), 59-76.
  • Kesriyeli, M. (1994), “Policy Regime Changes and Testing for the Fisher and UIP Hypotheses: The Turkish Evidence”, The Central Bank of Republic of Turkey Discussion Paper, No: 9411.
  • Kıran, B. (2013), “A Fractional Cointegration Analysis of Fisher Hypothesis: Evidence from Turkey”, Quality and Quantity, 47(2), 1077-1084.
  • Köse, N., F. Emirmahmutoğlu ve S. Aksoy (2012), “The Interest Rate-Inflation Relationship Under Inflation Targeting Regime: The Case of Turkey”, Journal of Asian Economics, 23(4), 476-485.
  • Kutan, A. M. ve T. Aksoy (2003), “Public Information Arrival and the Fisher Effect in Emerging Markets: Evidence from Stock and Bond Markets in Turkey”, Journal of Financial Services Research, 23(3), 225-239.
  • Kutlar, A. (2007), Ekonometriye Giris, Ankara: Nobel Yayinlari.
  • Kwiatkowski, D., P. C. B. Phillips, P. Schmidt ve Y. Shin (1992), “Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have A Unit Root?”, Journal of Econometrics, 54(1- 3), 159-178.
  • Lardic, S. ve V. Mignon (2003), “Fractional Cointegration between Nominal Interest Rates and Inflation: A Re-Examination of the Fisher Relationship in the G7 Countries”, Economics Bulletin, 3(14), 1-10.
  • Linden, M. (1995), “Interest Rate and Inflation Expectations in Finland 1987-1994: A Case for the Inverted Fisher Hypothesis”, Finnish Economic Papers, 8(2), 108- 115.
  • Lopcu, K., N. Coşkun ve S. Değirmen (2013), “Do Tax Implications Change the Fisher Effect for the Turkish Economy?”, Topics in Middle Eastern and African Economies, 15(2), 1-21.
  • Mackinnon, J. G. (1991), “Critical Values for Cointegration Tests”, R. F. Engle ve C. W. J. Granger (eds.), Long-run Economic Relationship: Readings in Cointegration, New York: Oxford University Press.
  • Madsen, J. B. (2005), “The Fisher Hypothesis and the Interaction between Share Returns, Inflation and Supply Shocks”, Journal of International Money and Finance, 24(1), 103-120.
  • McDonald, R. ve P. D. Murphy (1989), “Testing for the Long Run Relationship between Nominal Interest Rates and Inflation Using Cointegration Techniques”, Applied Economics, 21(4), 439-447.
  • Million, N. (2004), “Central Bank’s Interventions and the Fisher Hypothesis: A Threshold Cointegration Investigation”, Economic Modeling, 21(6), 1051-1064.
  • Mishkin, F. S. (1993), “Is the Fisher Effect for Real? A Reexamination of the Relationship between Inflation and Interest Rates”, NBER Working Paper, No: 3632.
  • Moazzami, B. (1991), “The Fisher Equation Controversy Re-Examined”, Applied Financial Economics, 1(3), 129-133.
  • Olekalns, N. (1996), “Further Evidence on the Fisher Effect”, Applied Economics, 28(7), 851-856.
  • Payne, J. E. ve B. T. Ewing (1997), “Evidence from Lesser Developed Countries on the Fisher Hypothesis: A Cointegration Analysis”, Applied Economics Letters, 4(11), 683-687.
  • Pelaez, R. F. (1995), “The Fisher effect: reprise”, Journal of Macroeconomics, 17(2), 333-346.
  • Peng, W. (1995), “The Fisher Hypothesis and Inflation Persistence: Evidence from Five Major Industrial Countries”, IMF Woking Paper, No: 95/118.
  • Phylaktis, K. ve D. Blake (1993), “The Fisher Hypothesis: Evidence from Three High Inflation Economies”, Review of World Economics, 129(3), 591-599.
  • Seyidoglu, H. (2009), Uluslararasi Iktisat: Teori, Politika Ve Uygulama, 17. Baskı., Istanbul: Guzem Can Yayinlari.
  • Sheefeni, J. P. S. (2013), “Testing for the Fisher Hypothesis in Namibia”, Journal of Emerging Issues in Economics, Finance and Banking, 2(1), 571-582.
  • Summers, L. H. (1982), “The Non-Adjustment of Nominal Interest Rates: A Study of the Fisher Effect”. NBER Working Paper, No: 836.
  • Sun, Y. ve P. C. B. Phillips (2004), “Understanding the Fisher equation”, Journal of Applied Econometrics, 19(7), 869-886.
  • Simsek, M. ve C. Kadilar (2006), “Fisher Etkisinin Turkiye Verileri ile Testi”, Dogus Universitesi Dergisi, 7(1), 99-111.
  • Tari, R. (2005), Ekonometri, 3. Baskı, Istanbul: Kocaeli Universitesi Yayinlari.
  • Tsong, C. C. ve A. Hachicha (2014), “Revisiting the Fisher Hypothesis for Several Selected Developing Economies: A Quantile Cointegration Approach”, Economic Issues, 19(1), 57-72.
  • Turgutlu, E. (2004), “Fisher Hipotezinin Tutarliliginin Testi: Parcali Duraganlik ve Parcali Koentegrasyon Analizi”, Dokuz Eylul Universitesi Iktisadi ve Idari Bilimler Fakultesi Dergisi, 19(2), 55-74.
  • Wong, K. F. ve H. J. WU (2003), “Testing Fisher Hypothesis in Long Horizons for G7 and Eight Asian Countries”, Applied Economics Letters, 10(14), 917-923.
  • Woodward, G. T. (1992), “Evidence of the Fisher Effect from U.K. Indexed Bonds”, Review of Economics and Statistics, 74(2), 315-320.
  • Wooldridge, J. M. (2001), “Applications of Generalized Method of Moments Estimation”, Journal of Economic Perspectives, 15(4), 87-100.
  • Yamak, N. ve Y. Kucukkale (1997), “Turkiye’de Kamu Harcamalarinin Ekonomik Buyume Iliskisi”, Iktisat, Isletme ve Finans, 12(131), 5-15.
  • Yavuz, N. C. (2004), “Duraganligin Belirlenmesinde KPSS ve ADF Testleri: IMKB Ulusal-100 Endeksi ile Bir Uygulama”, Iktisat Fakultesi Mecmuasi, 54(1), 239-247.
  • Yilanci, V. (2009), “Fisher Hipotezinin Turkiye Icin Sinanmasi: Dogrusal Olmayan Esbutunlesme Analizi”, Ataturk Universitesi Iktisadi ve Idari Bilimler Fakultesi Dergisi, 23(4), 205-213
  • Yilmaz, O. ve M. Akinci (2011), “Iktisadi Buyume Ile Cari Islemler Bilancosu Arasindaki Iliski: Turkiye Ornegi”, Ataturk Universitesi Sosyal Bilimler Enstitusu Dergisi, 15(2), 363-377.
Toplam 81 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Bölüm Research Article
Yazarlar

Merter Akıncı Bu kişi benim

Ömer Yılmaz Bu kişi benim

Yayımlanma Tarihi 1 Ağustos 2016
Yayımlandığı Sayı Yıl 2016 Cilt: 11 Sayı: 2

Kaynak Göster

APA Akıncı, M., & Yılmaz, Ö. (2016). Türkiye Ekonomisinde Uluslararası Fisher Hipotezi’nin Geçerliliği: Genelleştirilmiş Momentler Metodu. Eskişehir Osmangazi Üniversitesi İktisadi Ve İdari Bilimler Dergisi, 11(2), 69-92.