FİSHER HİPOTEZİ VE BEKLENTİLERİN ROLÜ

ÖZETBu çalışmanın amacı faiz oranları ve enflasyon arasında bire bir ilişkiolduğu yönündeki Fisher hipotezinin uzun dönemde geçerliliğini rasyonelbeklentiler modeline göre reel değişkenler kullanarak Türkiye ekonomisiiçin test etmektir. Değişken seçimindeki temel fark beklentilerin rolündenkaynaklanmaktadır. Mecvut literatürde rasyonel beklentiler varsayımı altındaFisher hipotezi testi nominal faiz ve enflasyon oranları kullanılarakyapılmaktadır. Ancak rasyonel beklentilere sahip sofistike iktisadi aktörleriktisadi kararlarını “para peçesi”ne takılmaksızın nominal değerlere göredeğil, reel değerlere göre almaktadırlar. Bu anlamda nominal değişkenlerinkullanıldığı bir model adaptif beklentilere uygun olarak temelde para yanılsaması varsayımını kabul eden bir modeldir. Rasyonel beklentiler varsayımında ise reel değerlerin kullanılması gerekmektedir. Çalışmamızdaki“yeni” yaklaşım, beklentilerin Fisher hipotezi üzerindeki rolünü dikkatealmış olmasıdır. Koentegrasyon testi sonuçları reel faiz oranları ile paranınbeklenen değerindeki değişimler arasında uzun dönemli iksitadi bir dengeninvarlığına işaret etmektedir.Anahtar Kelimeler: Fisher Hipotezi, Adaptif Beklentiler, RasyonelBeklentilerJEL Kodları: E40, E51FISHER HYPOTHESIS AND THE ROLE OF EXPECTATIONS ABSTRACTThe aim of this study is to test the long run validity of the Fisherhypothesis for Turkish economy according to the rational expectationsmodel by using real variables. The essential difference in variable choiceoriginates from the role of expectations. In the current literature, the test of the Fisher hypothesis is implemented by the use of nominal intrerestand inflation rates. But the sophisticated economic agents with rationalexpectations take their economic decisions according to real variablesrather than nominal variables without being entangled by the “veil ofmoney.” In this sense, the model in which nominal variables are used isin fact a model that accepts the money illusion hypothesis in accordancewith adaptive expectations. In case of rational expectations model, the realvariables are to be used. The “new” approach of our paper is that we’vetaken into consideration the role of expectaions on Fisher hypothesis. Theresults of cointegration test indicate the existence of a long run economicequilibrium between real interest rates and expected value of money.Keywords: Fisher Hypothesis, Adaptive Expectations, RationalExpectations.

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The aim of this study is to test the long run validity of the Fisher hypothesis for Turkish economy according to the rational expectations model by using real variables. The essential difference in variable choice originates from the role of expectations. In the current literature, the test of the Fisher hypothesis is implemented by the use of nominal intrerest and inflation rates. But the sophisticated economic agents with rational expectations take their economic decisions according to real variables rather than nominal variables without being entangled by the “veil of money.” In this sense, the model in which nominal variables are used is in fact a model that accepts the money illusion hypothesis in accordance with adaptive expectations. In case of rational expectations model, the real variables are to be used. The “new” approach of our paper is that we’ve taken into consideration the role of expectaions on Fisher hypothesis. The results of cointegration test indicate the existence of a long run economic equilibrium between real interest rates and expected value of money

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