Fisher Hipotezi’nin Fourier Yaklaşımı ile Testi: Gelecek-11 Ülke Grubu Örneği

Bu çalışma seçili Gelecek-11 ülkelerinde Fisher Hipotezi’nin varlığını Fourier Yaklaşımı ile analiz etmektedir. Bu amaçla 1995-2016 yıllarına ait yıllık verilerin durağanlığı Karul (2016) tarafından geliştirilen kademeli kırılmalı panel birim kök testi ile sorgulanmıştır. Elde edilen bulgulara göre Endonezya ve Filipinlerde reel faiz oranı birim kök içermektedir. O halde Fisher Hipotezi bu iki ülke için reddedilmiştir. Dolayısıyla beklenen enflasyon oranı birebir nominal faiz oranlarına yansımamaktadır ve reel faiz oranını da etkilemektedir. Onun dışında seçili diğer ülkelerde Fisher Hipotezi kabul edilmiştir.

Fisher Hypothesis with Fourier Form: Evidence From Next-11 Countries

This study analyzes the existence of the Fisher Hypothesis in the selected Next-11 countries with the Fourier Approach. For this purpose, the stationary of the annual data for the period between 1995 and 2016 is interrogated by gradual-shifts panel stationary test developed by Karul (2016). According to the findings, the real interest rate in Indonesia and the Philippines includes unit root. The Fisher Hypothesis is then rejected for these two countries. Therefore, the expected inflation rate does not reflect the nominal interest rates and as well affects the real interest rate. In other selected countries, Fisher Hypothesis is accepted.

Kaynakça

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Kaynak Göster