Interest Rate and Inflation: Is there a Fisher or Neo-Fisher Effect? Evidence from Turkey

In this study, we empirically analyze the relationship between the interest rate and inflation within the content of the Fisher and Neo-Fisher effect for Turkey. Considering the recent elevated discussion of inflation and interest rate, our paper re-examines this relationship using an extended sample covering recent dates to address these discussions. We employ a time-varying robust causality approach, accounting for structural breaks, helping us to analyze the degree of relation between Turkey’s inflation rate and interest rate over the monthly period 2012-2021 of our research. Our main results point out a bidirectional causal relationship in the existence of the Fisher and Neo-Fisher effect in terms of the variables in the corresponding period in Turkey. However, after 2018 the Neo-Fisher effect has become more significant in Turkey. Bu çalışmada, Türkiye için Fisher ve Neo-Fisher etkisi kapsamında faiz oranı ve enflasyon arasındaki ilişki ampirik olarak analiz edilmiştir. Enflasyon ve faiz oranlarıyla ilgili son zamanlarda yükselen tartışma göz önünde bulundurulduğunda, makalemizde bu tartışmaları ele almak için yakın tarihleri kapsayan genişletilmiş bir örneklem kullanılmış, bu ilişki yeniden incelenmiştir. Araştırmada 2012-2021 dönemi aylık periyodlar için, Türkiye'nin enflasyon oranı ile faiz oranı arasındaki ilişkinin derecesini analiz etmemize yardımcı olan, yapısal kırılmaları hesaba katan, zamana göre değişen güçlü bir nedensellik yaklaşımı kullanılmıştır. Temel sonuçlarımız, Türkiye'de ilgili dönemdeki değişkenler açısından Fisher ve Neo-Fisher etkisinin varlığında çift yönlü bir nedensellik ilişkisine işaret etmektedir. Ancak 2018 yılından sonra Türkiye'de Neo-Fisher etkisi daha belirgin hale gelmiştir.

Anahtar Kelimeler:

Interest rate, Inflation, Time-varying granger causality, Turkey

Interest Rate and Inflation: Is there a Fisher or Neo-Fisher Effect? Evidence from Turkey

Keywords:

Interest rate, Inflation, Time-varying granger causality, Turkey.,

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