FISHER ETKİSİNİN TÜRKİYE VERİLERİ İLE TESTİ

Bu çalışmada, uzun dönemli faiz oranı ile enflasyon oranı arasında bire birlik uzun dönemli bir ilişkinin mevcut olduğunu ifade eden Fisher etkisi, 1987 I -2004 4 dönemine ilişkin Türkiye ekonomisi verileri kullanılarak test edilmektedir. Çalışmada, uygulamalı ekonometride Pesaran vd. 2001 tarafından yeni geliştirilen eşbütünleşmeye ARDL autoregressive distributed lag yaklaşımı kullanılmıştır. Elde edilen sonuçlar, Fisher etkisini desteklemektedir.

THE ANALYSIS OF FISHER EFFECT USING TURKISH DATA

In this study, the Fisher effect, which claims that there is one to one long-term relationship between the inflation rate and the long-term nominal interest rate, has been tested using Turkish quarterly data over the 1987 I - 2004 4 periods. Here, ARDL bounds testing approach to cointegration newly developed by Pesaran et al. 2001 in applied econometrics is used. Results support the Fisher effect

___

  • ATKINS, F.J. (1989). Co-integration, error correction and the Fisher effect, Applied Economics, 21, pp.1611-1620.
  • ATKINS, F. & SERLETIS, A. (2003). Bound Tests of the Gibson Paradox and the Fisher Effect: Evidence from Low-Frequency International Data, The Manchester School, 71(6), pp.673-679.
  • BERUMENT, H. & JELASSI, M.M. (2002). The Fisher hypothesis: a cross-country analysis, Applied Economics, 34, pp.1645-1655.
  • BEWLEY, R. A. (1979). The Direct Estimation of the Equilibrium Response in a Linear Dynamic Model, Economics Letters, .3, pp.357-61.
  • BONHAM, C. S. (1991) Correct Cointegration Test of the Long Run Relationship Between Nominal Interest and Inflation, Applied Economics, 23, pp.1487-1492.
  • ENGLE, R.F. & GRANGER, C.V.J. (1987). Cointegration and Error Correction: Representation, Estimation, and Testing, Econometrica, 55, pp.251-276.
  • DUTT, S. D. & GHOSH, D. (1995). The Fisher Hypothesis: Examining the Canadian Experience, Applied Economics, 27, pp.1025-1030.
  • GARCIA, M.G.P. (1993) The Fisher effect in a signal exraction frameworkt, Journal of Development Economics, 41, pp.71-93.
  • GRANVILLE, B. & MALLICK, S. (2004). Fisher hypothesis: UK Evidence over a century, Applied Economics, 25, pp.839-843.
  • HARRIS, R. (1995). Using Cointegration Analysis in Econometric Modelling, Prentice Hall, London, New York.
  • HAWTREY, K.M. (1997). The Fisher Effect and Australian Interest Rates, Applied Financial Economics Letters, 11, pp.87-90.
  • INDER, B. & SILVAPULLE, P. (1993). Does the Fisher Effect Apply in Australia?, Applied Economics, 25, pp.839-843.
  • JACQUES, K. (1995). Unit Roots, Interest Rate Spreads and Inflation Forecasts, Applied Economics, 27, pp.605-608.
  • JOHANSEN, S. (1988) Statistical analysis of cointegration vectors, Journal of Economic Dynamics and Control, 12(1), pp.231-54.
  • JOHANSEN, S. & JUSELIUS, K. (1990). Maximum likelihood estimation and inference on cointegration with application to the demand for money, Oxford Bulletin of Economics and Statistics, 52, pp.69-206.
  • JUNTTILA, J. (2001). Testing an Augmented Fisher Hypothesis for a Small Open Economy: The Case of Finland, Journal of Macroeconomics, 23(4), pp.577-599.
  • KOUSTAS, Z. & SERLETIS, A. (1999). On the Fisher Effect, Journal of Monetary Economics, 44, pp.105-130.
  • KREMERS, J.J.M, ERICSSON, N.L. & DOLADO, J.J. (1992). The Power of Cointegration Tests, Oxford Bulletin of Economics and Statistics, 54, pp.325- 348.
  • MAH, J. S. (2000). An Empirical Examination of the Disaggregated Import Demand of Korea – the Case of Information Technology Products, Journal of Asian Economics, 11, pp.237-244.
  • 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, pp.195-215.
  • MISKIN, F.S. & SIMON, J. (1995). An empirical examination of the Fisher effect in Australia, Economic Record, 71, pp.217-29.
  • OLEKALNS, N. (1996) Further evidence on the the Fisher effect, Applied Economics, 28, pp.851-856.
  • PESARAN, M. H. & PESARAN, B. (1997). Working with Microfit 4.0, Interactive Econometric Analysis, Oxford University Press, Oxford.
  • PANOPOULOU, E. (2005). A Resolution of the Fisher Effect Puzzle: A Comparison of Estimators, IIIS Discussion Paper No. 67. (http://www.tcd. ie/iiis/Discussion%20Paper%20pdfs/iiisdp67.pdf)
  • PESARAN, M.H. & SHIN, Y. (1999). An Autoregressive Distributed Lag Modelling Approach to Cointegration Analysis”, in (ed) S. Storm, Econometrics and Economic Theory in the 20th Century, The Ragnar Frisch Centennial Symposium, chapter 11, Cambridge Univ. Press, Cambridge. (http://www.econ.cam.ac.uk/faculty/pesaran/ardl.pdf)
  • PESARAN, M.H., SHIN, Y. & SMITH, R. J. (2001). Bound Testing Approaches to the Analysis of Long Run Relationships, Journal of Applied Econometrics, special issue, 16, pp.289-326. (http://www.econ.cam.ac.uk/faculty/pesaran /pss1r1.pdf)
  • RAHBEK, A. & MOSCONI, R. (1999). Cointegration Rank Inference with Stationary Regressors in VAR Models, Econometrics Journal, 2, pp.76-91.
  • THORNTON, J. (1996) The adjustement of nominal interest rates in Mexico: a study of the Fisher effect, Applied Economics Letters, 3, pp.255-257.
  • WALLACE, M.S. & WARNER, J.T. (1993) The Fisher Effect and the Term Structure of Interest Rates: Test of Cointegration, Review of Economics and Statistics, 75, pp.320-324.