Neo-Fisher Effect and Implementation of Turkey

Öz

After the financial crisis in 2007-2009, most of the central banks applied low interest rate policy. However, inflation continued to fall below the targeted levels, especially in developed countries, along with the low interest rate policy. After the financial crisis, the causality relationship between inflation and nominal interest rates was revisited. In contrast to the causality in the Fisher effect, it is seen that in parallel with the Neo-Fisherian views, there is causality from the nominal interest rate to the inflation rate in the short term. In this study in Turkey 2002:01-2014:05 period the causality relationship between BAFO, A1FO, A3FO, A6FO, Y1FO and TUFE variables was examined by Toda-Yamamoto (1995) analysis. According to the results of the analysis, it was determined that the one-way causality from the BAFO variable to the TUFE variable. Thus causality of the variables in the corresponding period in Turkey indicate the presence of Neo-Fisher effect. However, the existence of a disciplined financial environment is essential for the Neo-Fisher effect to be used in countries. However, the presence of a disciplined financial environment is necessary so that Neo-Fisher-induced causality can be used to control inflation. In countries with high external dependency, stabilization in political and economic areas and credibility of the central bank are required.

Anahtar Kelimeler

• Fisher Effect,Neo-Fisher Effect,Toda-Yamamoto Causality Analysis,Central Bank,Turkey

NEO-FİSHER ETKİSİ VE TÜRKİYE UYGULAMASI

Öz

2007-2009 döneminde yaşanan finansal krizden sonra çoğu merkez bankası düşük faiz politikası uygulamıştır. Ancak özellikle gelişmiş ülkelerde düşük faiz politikasıyla birlikte enflasyon hedeflenen seviyelerin altında kalmaya devam etmiştir. Finansal krizi takiben enflasyon ile nominal faiz oranları arasındaki nedensellik ilişkisi tekrar gözden geçirilmiştir. Yapılan çalışmalarda Fisher etkisindeki nedenselliğin aksine Neo-Fisheryen görüşlere paralel olarak kısa dönemde nominal faiz oranından enflasyon oranına doğru nedenselliğin olduğu görülmüştür. Bu çalışmada Türkiye’de 2002:01-2014:05 dönemine ilişkin olarak BAFO, A1FO, A3FO, A6FO, Y1FO ve TÜFE değişkenleri arasındaki nedensellik ilişkisi Toda-Yamamoto (1995) analiziyle incelenmiştir. Analiz sonuçlarına göre BAFO değişkeninden TÜFE değişkenine doğru tek yönlü nedenselliğin olduğu tespit edilmiştir. Dolayısıyla Türkiye’de ilgili dönemde değişkenlerin nedensellik ilişkileri Neo-Fisher etkisinin varlığını göstermektedir. Ancak Neo-Fisher etkisindeki nedenselliğin enflasyonu kontrol etmede kullanılabilmesi için disiplin altına alınmış mali ortamın varlığı, dışa bağımlılığı yüksek ülkelerde politik ve ekonomik alanlarda istikrarın sağlanması ve merkez bankasının kredibilitesinin oluşturulması gerekmektedir.

Anahtar Kelimeler

• Fisher Etkisi,Neo-Fisher Etkisi,Toda-Yamamoto Nedensellik Analizi,Merkez Bankası,Türkiye

Kaynakça

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