Muhammed TIRAŞOĞLU

7531

Fisher Hipotezinin MINT Ülkeleri İçin İncelenmesi: Eşik Değerli Adl Eşbütünleşme Testi Yaklaşımı

Faiz oranları ile enflasyon arasındaki ilişki, ekonominin ilgi çeken konuları arasındadır. Bu çalışmada, MINT ülkelerindenominal faiz oranı ile beklenen enflasyon arasındaki ilişki Fisher hipotezi çerçevesinde incelenmiştir. Çalışmada 1990-2017yılları arası aylık veriler kullanılmıştır. Analizler doğrusal olmayan zaman serisi alanın güncel konularından olan eşik değerliotoregresif gecikmesi dağıtılmış [Autoregressive Distributed Lag (ADL)] eşbütünleşme testi ile gerçekleştirilmiştir. Eldeedilen sonuçlara göre, nominal faiz oranı ile beklenen enflasyon arasında eşik değerli eşbütünleşme ilişkisinin olduğu, yaniMINT ülkelerinde Fisher hipotezinin geçerli olduğu belirlenmiştir.
Anahtar Kelimeler:

Fisher Hipotezi, ADL Eşbütünleşme Testi, Doğrusal olmama, MINT ülkeleri

An Examination of Fisher Hypothesis for MINT Countries: Threshold Adl Cointegration Test Approach

The relationship between interest rates and inflation is among the interesting topics of the economy. In this study, therelationship between the nominal interest rate and the expected inflation for MINT countries was examined in thecontext of the Fisher hypothesis. Monthly data from 1990 to 2017 were used in the study. Analyses were performed withthreshold autoregressive distributed lag (ADL) cointegration test, which is from the current issues of the nonlinear timeseries. According to the results obtained, it is determined that there is a threshold cointegration relation between thenominal interest rate and the expected inflation, that is, the Fisher hypothesis is valid for MINT countries.
Keywords:

Fisher Hypothesis, ADL Cointegration Test, Nonlinearity, MINT Countries,

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Ekoist: Journal of Econometrics and Statistics-Cover
  • Yayın Aralığı: Yılda 2 Sayı
  • Yayıncı: İstanbul Üniversitesi
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