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Yükselen piyasa ekonomilerinde nominal faiz oranları ile enflasyon arasındaki ilişkinin incelenmesi: panel koentegrasyon testlerinden kanıtlar

Bu çalışmada Rusya, Çin, Türkiye, Polonya, G.Afrika, Meksika ve Endonezya'dan oluşan yedi yükselen piyasa ekonomisinde Fisher (1930) hipotezi çerçevesinde, nominal faiz oranları ile enflasyon arasındaki ilişki incelenmiştir. Bu amaçla Pedroni (1999,2004) ve Kao (1999) panel koentegrasyon testleri kullanılmıştır. Uzun dönem katsayı tahminin de ise Pedroni(2001) panel GM-FMOLS,GM- DOLS ve GM-OLS yöntemleri kullanılmıştır. Çalışma bulguları incelenen yükselen piyasa ekonomilerinde Fisher (1930) hipotezinin zayıf formunun geçerli olduğunu ve genel olarak uzun dönemde enflasyondaki bir birimlik artışın nominal faiz oranlarını yaklaşık 0.64 birim artırdığını göstermektedir. Bulguların politika yapıcalar açısından önemli sonuçlar içerdiği düşünülmektedir.
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The relationship between nominal ınterest rates and ınflation in emerging markets: evidence from panel cointegration tests

This study examines the long-run relationship between nominal interest rates and inflation within the framework of Fisher's (1930) hypothesis for seven emerging markets, namely Russia, China, Turkey, Poland, South Africa, Mexico and Indonesia. The long-run cointegrating relationship is investigated using Pedroni (2004) and Koa (1999) panel cointegration tests and the cointegrating coefficient is estimated according to Pedroni's (2001) panel group mean FMOLS, DOLS and OLS. The results provide strong evidence for the weak version of Fisher's (1930) hypothesis. They show that although the interest rate and inflation are cointegrated, the cointegrating coefficient is less than unity. These findings have important implications for policymakers in these emerging markets.
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Bankacılar-Cover
  • ISSN: 1300-0217
  • Başlangıç: 1990
  • Yayıncı: Türkiye Bankalar Birliği
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Yükselen piyasa ekonomilerinde nominal faiz oranları ile enflasyon arasındaki ilişkinin incelenmesi: panel koentegrasyon testlerinden kanıtlar

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Rekabet Kurumu tarafından yürütülen soruşturmalarda teşebbüsler arası elektronik yazışmaların delil değeri

Mustafa Yaşar DEMİRCİOĞLU