ENFLASYON VE NOMİNAL FAİZ ORANLARI ARASINDAKİ UZUN DÖNEM İLİŞKİNİN FİSHER HİPOTEZİ ÇERÇEVESİNDE TEST EDİLMESİ: TÜRKİYE ÖRNEĞİ

Bu çalışmada, nominal faiz oranı ile enflasyon oranı arasındaki uzun dönemli birebir ilişkinin varlığını öne süren Fisher hipotezi, Türkiye örneğinde 1992:M1-2013:M1, dönemi verileri kullanılarak ARDL sınır testi yaklaşımıyla incelenmiştir. Analiz sonucunda seriler arasında eşbütünleşme ilişkisi elde edilmiştir. Enflasyon oranının Fisher hipotezi çerçevesinde beklentilerle uyumlu olarak nominal faiz oranının pozitif yönde ve istatistiki olarak anlamlı düzeyde etkilediği görülmüştür. Nominal faiz oranı ile enflasyon oranı arasındaki ilişkinin birebir olmadığı ve ilgili dönemde uygulanan para politikalarının reel faiz oranı üzerinde kısmen etkili olduğu ifade edilebilir.

Anahtar Kelimeler:

Fisher hipotezi, Eşbütünleşme Analizi, Türkiye.

In this study, Fisher hypothesis suggesting the existence of long-term one to one relationship between nominal interest rate and inflation rate was analysed with ARDL bound testing approach by using the data of 1992:M1-2013:M1 periods in the sample of Turkey. As a result of the analysis cointegration relationship between series was determined. It was observed that inflation rate affected the nominal interest rate statistically significantly and positively in accordance with the expectations within the framework of Fisher hypothesis. It can be expressed that the relationship between the nominal interest rate and inflation rate is not one to one and monetary policies implemented in the related period are partly effective on the real interest rate.

Keywords:

Fisher hypothesis, Cointegration Analysis, Turkey.,

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