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RELATION BETWEEN INFLATION AND INTEREST RATES: VALIDITY OF FISHER EFFECT IN TURKEY

Year 2016, Volume: 21 Issue: 4, 1415 - 1431, 30.10.2016

Abstract

In this study, Fisher hypothesis, which is the expression of a positive relationship between nominal interest rates and inflation rates in a long term, has been investigated whether this is effective for Turkey. The main objective of this paper, as distinct from the other studies, in case of a structural break between inflation and interest rate series have been examined whether there is a relationship. We estimate the effects of inflation with nominal deposit interest rates in the twelve month term and the consumer price index by using monthly time series data from 2003:01-2014:02 Series are tested by standart unit root and Zivot Andrews unit root tests for stability, and Gregory-Hansen cointegration test which is considered a structural break have been applied. Under the inflation targeting strategy as a result of applied these tests, according to the Gregory-Hansen test, Fisher effect is valid for Turkey in a long term but, in a short term, Fisher effect is rejected for Turkey which is concluded.

References

  • AHMAD, Shabbir; (2010), “The Long Run Fisher Effect in Developing Countries”, Studies in Economics and Finance, 27 (4)
  • ATKINS, F.J. ve COE, P.J. (2002) “An ARDL Bounds Test of the Long-Run Fisher Effect in The United States And Canada”, Journal of Macroeconomics, 24(2)
  • BEGG, D., FISHER, S. ve DORNBUSCH, R., (2001). Makroiktisat, (Çev.) SERİN V., Alkım Yayınları, İstanbul
  • BERUMENT, H., JELASSI, M. M. (2002). “The Fisher Hypothesis: A Multi- Country Analysis”, Applied Economics, 1645-1655.
  • BEYER, A. vd., (2009), “Structural Breaks Cointegration and the Fisher Effect”, Working Paper Series, European Central Bank, 1013.
  • BULUT, C., (2002). Kamu Açıkları Enflasyon, Faiz Oranı Ve Döviz Kuru İlişkileri, Der Yayınları, İstanbul,
  • CROWDER; W. J. ve HOFFMAN D. L., (1996). “The Long-Run Relationship between Nominal Interest Rates and Inflation: The Fisher Equation Revisited”, Journal of Money, Credit, and Banking, , Vol. 28, No. 1 Copyright 1996 by The Ohio State University Press
  • ÇAKMAK, E., AKSU, H. Ve BAŞAR, S., (2002). “Fisher Hipotezinin Türkiye Açısından Değerlendirilmesi : 1989 – 2001”, Atatürk Üniversitesi İktisadi Ve İdari Bilimler Dergisi, Cilt: 16, Sayı: 3-4
  • ÇOLAK Ö. F., (2011). “Türkiye’de Son Alınan Kararlar Çerçevesinde Para Politikasının Gelişimi”, Ekonomi Masası, İktisat ve Toplum Dergisi
  • ÇUBUKÇU, T., (1983). Enflasyon Teorisi Ve Türkiye’de Enflasyon, H.Ü. İİBF Yayınları, No:2, Ankara,
  • DAWSON, G., (1992). İnflation and Unemployment: Causes, Consequences And Cures, England Edward Elgar Publishing Ltd.
  • DICKEY, D. A. ve FULLER W. A. (1981). “Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root”, Econometrica, 49, 1057-72.
  • ENDERS,W., (1995). AppliedEconometric Time Series, Third Edition, University Of Alabama, New York
  • ENGLE, R.F. ve GRANGER, C.W.J. (1987). “Co-integrationandErrorCorrection: Representation, Estimation, andTesting”, Econometrica, Vol. 55, No.2
  • ERGİN, F., (1983), Para ve Faiz Teorileri, Beta Basım/Yayım Dağıtım, İstanbul
  • ERGİN,F., (1983). Para ve Faiz Teorileri, Beta Basım/Yayım Dağıtım, İstanbul
  • EVRİM A. (2003). "Fisher etkisi ve Türkiye'de geçerliliğinin sınanması", Yüksek Lisans Tezi, Marmara Üniversitesi, Sosyal Bilimler Enstitüsü İktisat Anabilim Dalı, Ekonometri Bilim Dalı
  • FISHER, I., (1930). TheTheory Of İnterest, New York, The Macmillan Company
  • FISHER, I., (1963). The Purchasing Power of Money, New York: The Macmillan Company
  • GÖKTAŞ, Ö., (2005). Teorik Ve Uygulamalı Zaman Serileri Analizi, Beşir Kitabevi, İstanbul
  • GRANVILLE, B. ve MALLİCK, S. (2004). “Fisher hypothesis: UK Evidence Over a Century”, Applied Economics Letters, 11(2)
  • GREGORY, A.W., HANSEN, B. E., (1996). “Residual-based Tests For Cointegration In Models With Regime Shifts”, Journal Of Econometrics, 70
  • GUJARATI, D. N., (1988). Basic Econometrics, 2. Basım, New York: McGraw-Hill Company.
  • HICKS, J. R., (1937). “Mr. Keynes and the ‘Classics’ : A Suggested Interpretation”, Econometrica, Vol. 5, No. 2
  • İNCEKARA, A., DEMEZ, S., USTAOĞLU, M., (2012). “Validity of Fisher Effect for Turkish Economy: Cointegration Analysis”, Procedia- SocialandBehavioralSciences, 8th International Strategic Management Conference, İstanbul Üniversitesi
  • İNCEKARA, A., TATOĞLU, F. Ve TUNALI H., (2010). Para Talebi Olgusu Ve Türk Halkının Para Talebinin İncelenmesi, İktisadi Araştırmalar Vakfı
  • KASMAN, S., KASMAN, A. ve TURGUTLU, E. (2006) “Fisher Hypothesis Revisited:A Fractional Cointegration Analysis”, Emerging Markets Finance and Trade, 42(6)
  • KWIATKOWSKİ, D. , PHILLIPS, P.C. B. , SCHMIDT, P. ve SHIN, Y. (1992). “Testing The Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That The Economic Time Series Have a Unit Root?”, Journal of Econometrics, 54
  • LANNE, M. (2001) "Near Unit Root and the Relationship between Infiation and Interest Rates: A Reexamination of tre Fisher Effect", Empirieal Economies, 26(2)
  • MACDONALD, R. and MURPHY, P., (1989). “Testing for the Long
  • MACKINNON, J., (1996). “Numerical Distribution Functions for Unit Root and Cointegration Tests”, Journal of Applied Econometrics, 11
  • MANKIW, N. G. (2010). Macroeconomics, Seventh Edition, New York, NY: Worth Publishers.
  • MISHKIN, F. S. (1991), Is the Fisher Effect for Real? A Reexamination of the Relationship Between Inflation and Interest Rates, National Bureau of Economic Research, Working Paper No: 3632.
  • MISHKIN, F. S., (2000). “Inflation Targeting In Emerging Market Countries”, NberWorkingPaper Series, No. 7618, JEL No. E5
  • MISHKIN, F.S. (1992). Is the Fisher Effect for Real? A Reexamination of the Relationship Between Inflation and Interest Rates, Journal of Monetary Economics, 30
  • MISHKIN, Frederic and John SIMON; (1995), “An Emprical Examination of the Fisher Effect in Australia”, NBER Working Paper, No:5080.
  • MOAZZAMI, B., (1989). “Interest rates and inationary expectations: long-run equilibrium and short-run adjustment”, Journal of Banking and Finance, 14
  • NUSAIR, S. A., (2008). “Testing for the Fisher Hypothesis Under Regime Shifts: An Application to Asian Countries”, International Economic Journal, 22(2)
  • PAYNE, James and Bradley EWING; (1997), “Evidence from Lesser Developed Countries on the Fisher Hypothesis: A Cointegration Analysis”, Applied Economics Letters, 4
  • PHILLIPS, P. C. B. and PERRON, P. (1988), "Testing for a Unit Root in Time Series Regression", Biometrika
  • PHYLAKTIS, K. and BLAKE D., (1993). “The Fisher Hypothesis: Evidence from Three High Inflation Countries”, Welwirtschaftliches Archiv, 129 Run Relationship Between Nominal Interest Rate and Inflation Using Cointegration Techniques”, Applied Economics, 21
  • SAMUELSON, P., (1973). İktisat, (Çev.), DEMİRGİL, D., İstanbul, Menteş Kitabevi
  • SCHWARZ, G. (1978). ”Estimating the Dimensions of a Model,” The Annals of Statistical, 6
  • SEVÜKTEKİN, M. ve NARGELEÇEKENLER, M., (2010). Ekonometrik Zaman Serileri Analizi Eviews Uygulamalı, Nobel Yayın, Ankara SMITH, A., (1909). An Inquiry Into The Nature And Causes Of The Wealth Of Nations, C.J. Bullock (Ed), The Harvard Classics, Vol.10, New York: P.F Collier & Son Company
  • ŞİMŞEK, M. ve KADILAR, C., (2006). “Fisher Etkisinin Türkiye Verileri ile Testi”, Doğuş Üniversitesi Dergisi, 7(1)
  • TCMB, (1997). Yıllık Rapor, Türkiye Ekonomisindeki Gelişmeler Ve Para Politikası, www.tcmb.gov.tr., (Çevrimiçi), 20 Şubat 2014
  • TUNALI, H., (2002). “1980 Sonrası Türkiye’de Faiz Politikaları”, Yüksek Lisans Tezi, T.C. İstanbul Üniversitesi, Sosyal Bilimler Enstitüsü, İktisat Anabilim Dalı İktisat Politikası Bilim Dalı, İstanbul
  • TURGUTLU, E., (2004). “Fisher Hipotezinin Tutarlığının Testi: Parçalı Durağanlık Ve Parçalı Koentegrasyon Analizi”, Dokuz Eylül Üniversitesi, İ.İ.B.F. Dergisi, Sayı 19(2)
  • TÜSİAD, (2004). Türkiye Ekonomisi
  • UYAEBO, Stephen O. U., BELLO, Yakubu A., OMOTOSHO, Babatunde S., KARU, Suleiman, STEPHEN, Satumari A., OGBUKA, Raymond O., USMAN, Balarabe F. and MİMİKO, Oluwaseun D., (2016). “Testing the Fisher Hypothesis in the Presence of Structural Breaks and Adaptive Inflationary Expectations: Evidence from Nigeria”, CBN Journal of Applied Statistics Vol. 7 No. 1(b)
  • WEIDMANN, J., (1997). “New Hope for the Fisher Effect? A reexamination Using Threshold Cointegration,” University of Bonn Discussion Paper
  • WESTERLUND, J. (2005). “Panel Cointegration Tests of the Fisher Hypothesis”, Lund University, Department of Economics Working Papers, 2005:10
  • YILANCI, Veli, (2009), “Fisher Hipotezinin Türkiye için Sınanması: Doğrusal Olmayan Eşbütünleşme Analizi”, Atatürk Üniversitesi İİBF Dergisi, Cilt 23, sayı 4
  • ZIVOT, E. ve ANDREWS, D. W., (1992). “Further Evidence On The Great Crash, The Oil-Price Shock, And The Unit-Root Hypothesis”, Journal Of Business Economic Statistics, Vol. 10, No.3

ENFLASYON VE FAİZ ORANI İLİŞKİSİ: TÜRKİYE’DE FISHER ETKİSİNİN GEÇERLİLİĞİ

Year 2016, Volume: 21 Issue: 4, 1415 - 1431, 30.10.2016

Abstract

Bu çalışmada, enflasyon ve faiz oranları arasında uzun dönemli bir ilişki olduğunu ifade eden Fisher Hipotezinin, Türkiye için geçerli olup olmadığı araştırılmaktadır. Çalışmada diğer çalışmalardan farklı olarak, yapısal kırılmanın varlığı altında enflasyon ve faiz serileri arasında bir ilişkinin olup olmadığı incelenmektedir. Enflasyon hedeflemesi dönemini kapsayan 2003:01-2014:02 yıllarına ait oniki ay vadeli nominal mevduat faiz oranları ile tüketici fiyat endeksi aylık veriler halinde kullanılmaktadır. Serilerin, standart birim kök ve yapısal kırılmalı birim kök testi ile durağanlığı test edilmekte ve serilere, yapısal kırılmaları dikkate alan Gregory-Hansen eşbütünleşme testi uygulanmaktadır. Uygulanan bu testler sonucunda, Türkiye açısından Fisher Etkisinin uzun dönemde geçerli olduğu kısa dönemde ise geçerli olmadığı sonucuna ulaşılmıştır.

References

  • AHMAD, Shabbir; (2010), “The Long Run Fisher Effect in Developing Countries”, Studies in Economics and Finance, 27 (4)
  • ATKINS, F.J. ve COE, P.J. (2002) “An ARDL Bounds Test of the Long-Run Fisher Effect in The United States And Canada”, Journal of Macroeconomics, 24(2)
  • BEGG, D., FISHER, S. ve DORNBUSCH, R., (2001). Makroiktisat, (Çev.) SERİN V., Alkım Yayınları, İstanbul
  • BERUMENT, H., JELASSI, M. M. (2002). “The Fisher Hypothesis: A Multi- Country Analysis”, Applied Economics, 1645-1655.
  • BEYER, A. vd., (2009), “Structural Breaks Cointegration and the Fisher Effect”, Working Paper Series, European Central Bank, 1013.
  • BULUT, C., (2002). Kamu Açıkları Enflasyon, Faiz Oranı Ve Döviz Kuru İlişkileri, Der Yayınları, İstanbul,
  • CROWDER; W. J. ve HOFFMAN D. L., (1996). “The Long-Run Relationship between Nominal Interest Rates and Inflation: The Fisher Equation Revisited”, Journal of Money, Credit, and Banking, , Vol. 28, No. 1 Copyright 1996 by The Ohio State University Press
  • ÇAKMAK, E., AKSU, H. Ve BAŞAR, S., (2002). “Fisher Hipotezinin Türkiye Açısından Değerlendirilmesi : 1989 – 2001”, Atatürk Üniversitesi İktisadi Ve İdari Bilimler Dergisi, Cilt: 16, Sayı: 3-4
  • ÇOLAK Ö. F., (2011). “Türkiye’de Son Alınan Kararlar Çerçevesinde Para Politikasının Gelişimi”, Ekonomi Masası, İktisat ve Toplum Dergisi
  • ÇUBUKÇU, T., (1983). Enflasyon Teorisi Ve Türkiye’de Enflasyon, H.Ü. İİBF Yayınları, No:2, Ankara,
  • DAWSON, G., (1992). İnflation and Unemployment: Causes, Consequences And Cures, England Edward Elgar Publishing Ltd.
  • DICKEY, D. A. ve FULLER W. A. (1981). “Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root”, Econometrica, 49, 1057-72.
  • ENDERS,W., (1995). AppliedEconometric Time Series, Third Edition, University Of Alabama, New York
  • ENGLE, R.F. ve GRANGER, C.W.J. (1987). “Co-integrationandErrorCorrection: Representation, Estimation, andTesting”, Econometrica, Vol. 55, No.2
  • ERGİN, F., (1983), Para ve Faiz Teorileri, Beta Basım/Yayım Dağıtım, İstanbul
  • ERGİN,F., (1983). Para ve Faiz Teorileri, Beta Basım/Yayım Dağıtım, İstanbul
  • EVRİM A. (2003). "Fisher etkisi ve Türkiye'de geçerliliğinin sınanması", Yüksek Lisans Tezi, Marmara Üniversitesi, Sosyal Bilimler Enstitüsü İktisat Anabilim Dalı, Ekonometri Bilim Dalı
  • FISHER, I., (1930). TheTheory Of İnterest, New York, The Macmillan Company
  • FISHER, I., (1963). The Purchasing Power of Money, New York: The Macmillan Company
  • GÖKTAŞ, Ö., (2005). Teorik Ve Uygulamalı Zaman Serileri Analizi, Beşir Kitabevi, İstanbul
  • GRANVILLE, B. ve MALLİCK, S. (2004). “Fisher hypothesis: UK Evidence Over a Century”, Applied Economics Letters, 11(2)
  • GREGORY, A.W., HANSEN, B. E., (1996). “Residual-based Tests For Cointegration In Models With Regime Shifts”, Journal Of Econometrics, 70
  • GUJARATI, D. N., (1988). Basic Econometrics, 2. Basım, New York: McGraw-Hill Company.
  • HICKS, J. R., (1937). “Mr. Keynes and the ‘Classics’ : A Suggested Interpretation”, Econometrica, Vol. 5, No. 2
  • İNCEKARA, A., DEMEZ, S., USTAOĞLU, M., (2012). “Validity of Fisher Effect for Turkish Economy: Cointegration Analysis”, Procedia- SocialandBehavioralSciences, 8th International Strategic Management Conference, İstanbul Üniversitesi
  • İNCEKARA, A., TATOĞLU, F. Ve TUNALI H., (2010). Para Talebi Olgusu Ve Türk Halkının Para Talebinin İncelenmesi, İktisadi Araştırmalar Vakfı
  • KASMAN, S., KASMAN, A. ve TURGUTLU, E. (2006) “Fisher Hypothesis Revisited:A Fractional Cointegration Analysis”, Emerging Markets Finance and Trade, 42(6)
  • KWIATKOWSKİ, D. , PHILLIPS, P.C. B. , SCHMIDT, P. ve SHIN, Y. (1992). “Testing The Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That The Economic Time Series Have a Unit Root?”, Journal of Econometrics, 54
  • LANNE, M. (2001) "Near Unit Root and the Relationship between Infiation and Interest Rates: A Reexamination of tre Fisher Effect", Empirieal Economies, 26(2)
  • MACDONALD, R. and MURPHY, P., (1989). “Testing for the Long
  • MACKINNON, J., (1996). “Numerical Distribution Functions for Unit Root and Cointegration Tests”, Journal of Applied Econometrics, 11
  • MANKIW, N. G. (2010). Macroeconomics, Seventh Edition, New York, NY: Worth Publishers.
  • MISHKIN, F. S. (1991), Is the Fisher Effect for Real? A Reexamination of the Relationship Between Inflation and Interest Rates, National Bureau of Economic Research, Working Paper No: 3632.
  • MISHKIN, F. S., (2000). “Inflation Targeting In Emerging Market Countries”, NberWorkingPaper Series, No. 7618, JEL No. E5
  • MISHKIN, F.S. (1992). Is the Fisher Effect for Real? A Reexamination of the Relationship Between Inflation and Interest Rates, Journal of Monetary Economics, 30
  • MISHKIN, Frederic and John SIMON; (1995), “An Emprical Examination of the Fisher Effect in Australia”, NBER Working Paper, No:5080.
  • MOAZZAMI, B., (1989). “Interest rates and inationary expectations: long-run equilibrium and short-run adjustment”, Journal of Banking and Finance, 14
  • NUSAIR, S. A., (2008). “Testing for the Fisher Hypothesis Under Regime Shifts: An Application to Asian Countries”, International Economic Journal, 22(2)
  • PAYNE, James and Bradley EWING; (1997), “Evidence from Lesser Developed Countries on the Fisher Hypothesis: A Cointegration Analysis”, Applied Economics Letters, 4
  • PHILLIPS, P. C. B. and PERRON, P. (1988), "Testing for a Unit Root in Time Series Regression", Biometrika
  • PHYLAKTIS, K. and BLAKE D., (1993). “The Fisher Hypothesis: Evidence from Three High Inflation Countries”, Welwirtschaftliches Archiv, 129 Run Relationship Between Nominal Interest Rate and Inflation Using Cointegration Techniques”, Applied Economics, 21
  • SAMUELSON, P., (1973). İktisat, (Çev.), DEMİRGİL, D., İstanbul, Menteş Kitabevi
  • SCHWARZ, G. (1978). ”Estimating the Dimensions of a Model,” The Annals of Statistical, 6
  • SEVÜKTEKİN, M. ve NARGELEÇEKENLER, M., (2010). Ekonometrik Zaman Serileri Analizi Eviews Uygulamalı, Nobel Yayın, Ankara SMITH, A., (1909). An Inquiry Into The Nature And Causes Of The Wealth Of Nations, C.J. Bullock (Ed), The Harvard Classics, Vol.10, New York: P.F Collier & Son Company
  • ŞİMŞEK, M. ve KADILAR, C., (2006). “Fisher Etkisinin Türkiye Verileri ile Testi”, Doğuş Üniversitesi Dergisi, 7(1)
  • TCMB, (1997). Yıllık Rapor, Türkiye Ekonomisindeki Gelişmeler Ve Para Politikası, www.tcmb.gov.tr., (Çevrimiçi), 20 Şubat 2014
  • TUNALI, H., (2002). “1980 Sonrası Türkiye’de Faiz Politikaları”, Yüksek Lisans Tezi, T.C. İstanbul Üniversitesi, Sosyal Bilimler Enstitüsü, İktisat Anabilim Dalı İktisat Politikası Bilim Dalı, İstanbul
  • TURGUTLU, E., (2004). “Fisher Hipotezinin Tutarlığının Testi: Parçalı Durağanlık Ve Parçalı Koentegrasyon Analizi”, Dokuz Eylül Üniversitesi, İ.İ.B.F. Dergisi, Sayı 19(2)
  • TÜSİAD, (2004). Türkiye Ekonomisi
  • UYAEBO, Stephen O. U., BELLO, Yakubu A., OMOTOSHO, Babatunde S., KARU, Suleiman, STEPHEN, Satumari A., OGBUKA, Raymond O., USMAN, Balarabe F. and MİMİKO, Oluwaseun D., (2016). “Testing the Fisher Hypothesis in the Presence of Structural Breaks and Adaptive Inflationary Expectations: Evidence from Nigeria”, CBN Journal of Applied Statistics Vol. 7 No. 1(b)
  • WEIDMANN, J., (1997). “New Hope for the Fisher Effect? A reexamination Using Threshold Cointegration,” University of Bonn Discussion Paper
  • WESTERLUND, J. (2005). “Panel Cointegration Tests of the Fisher Hypothesis”, Lund University, Department of Economics Working Papers, 2005:10
  • YILANCI, Veli, (2009), “Fisher Hipotezinin Türkiye için Sınanması: Doğrusal Olmayan Eşbütünleşme Analizi”, Atatürk Üniversitesi İİBF Dergisi, Cilt 23, sayı 4
  • ZIVOT, E. ve ANDREWS, D. W., (1992). “Further Evidence On The Great Crash, The Oil-Price Shock, And The Unit-Root Hypothesis”, Journal Of Business Economic Statistics, Vol. 10, No.3
There are 54 citations in total.

Details

Primary Language Turkish
Journal Section Articles
Authors

Halil Tunalı

Yeşim Yıldırım Erönal This is me

Publication Date October 30, 2016
Published in Issue Year 2016 Volume: 21 Issue: 4

Cite

APA Tunalı, H., & Erönal, Y. Y. (2016). ENFLASYON VE FAİZ ORANI İLİŞKİSİ: TÜRKİYE’DE FISHER ETKİSİNİN GEÇERLİLİĞİ. Süleyman Demirel Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi, 21(4), 1415-1431.