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TÜRKİYE’DE ENFLASYON VE FAİZ ORANI İLİŞKİSİ: FISHER HİPOTEZİNİN SINANMASI

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Abstract

Fisher Hipotezi, reel faiz oranının s 2abit olduğu varsayımı doğrultusunda, beklenen enflasyondaki değişikliklerin nominal faiz oranında bire bir değişiklikler oluşturduğunu öne sürmüştür. Fisher Etkisinin, faiz oranlarının davranışı ve finansal piyasaların rasyonalitesi ve verimliliği üzerinde önemli etkileri bulunması nedeniyle çalışmada, Fisher Hipotezinin Türkiye için geçerliliğinin (2015: 01 – 2022: 06) dönemi için araştırılması amaçlanmıştır. Sınama, mevduat ve kredi faiz oranları ile iki farklı modele dayalı olarak ve de Johansen eşbütünleşme testi ile vektör hata düzeltme modeline dayalı Granger nedensellik testi yardımı ile yapılmıştır. Bulgular, Türkiye’de Fisher Hipotezinin hem uzun hem de kısa dönemde geçerli olduğunu ve nedensellik yönünün beklenen enflasyondan nominal faiz oranlarına doğru gerçekleştiğini ortaya koymuştur.

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In this paper we tried to investigate if the Fisher effect (hypothesis) holds for the Greek economy using recent econometric techniques. The main result of this paper is that the nominal interest rate does not move together with the inflation rate over the long-run which means that the Fisher hypothesis can not be taken as a long-run equilibrium phenomenon in the case of Greece. The implication of this invalidity is that external factors play a direct role in the determination of the domestic nominal interest rate, something which is reasonable for an open economy, as is the Greek economy where there is extensive capital mobility.
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The Fisher hypothesis has been a much debated topic. Over the years the hypothesis debated and the techniques used have changed. While the majority of early studies on the Fisher effect concentrated primarily on confirming the long and distributed lag in expectations formation, subsequent work saw the integration of the Fisher hypothesis with the theories of rational expectations and efficient markets. With the incorporation of these theories in the Fisher hypothesis, the methodological advances involved examining the time series properties of the variables in question. This survey reviews previous work from this perspective. In addition, the studies pertaining to developing economies and possible explanations for the failure of the Fisher effect are also reviewed.
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This paper reassesses the Fisher effect using German data. It argues that the empirical rejection of the Fisher effect in previous studies, i.e., the finding of nominal interest rates not fully adjusting to changes in inflation, may be attributed to the particular time series behavior of inflation and interest rates which cannot be accounted for by standard non-stationary models. The stochastic process governing the bivariate system of inflation and interest rates depends on the level of the variables. Inside a band of "tolerable" inflation the system is non-stationary and cointegrated, while outside this band the system exhibits mean-reversion (threshold cointegration). Contrary to the unit root hypothesis, this approach can be given a meaningful interpretation in terms of the opportunistic approach to disinflation. The strict Fisher effect, even in its tax adjusted form, cannot be rejected when a threshold cointegration model is estimated. The threshold cointegration model may not only explain the downward bias of the coefficient estimates but also the sample sensitivity observed in previous studies.
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This article uses long-term cross-country data to examine the Fisher hypothesis that nominal interest rates respond point-for-point to changes in the expected inflation rate. The analysis employs bounded-influence estimation to limit the effects of hyperinflation countries such as Brazil and Peru. Contrary to the results in Duck (1993), the present evidence does not support a full Fisher effect. By extending the empirical model to account for cross-country differences in sovereign risk, we find evidence consistent with the idea that interest rates fail to fully adjust to inflation due to variation in the implicit liquidity premium on financial assets.
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ABSTRACT This paper investigates the validity of the Fisher hypothesis in Japanese long-term interest rates (two, three, four, five, seven and ten years) using non-stationary time series models. Initially, the entire sample period (October 1987-June 2006) is investigated. Then the samples, divided into three segments depending on each period's monetary policy regimes, are investigated. Thus, the asymmetric impacts of inflation expectation on Japanese long-term interest rates can be investigated. The first period examined is from October 1987-June 1991. The second period is from July 1991-July 2000. The third period is from March 2001-June 2006. In the first period monetary policy is tightening, but in the second and third periods it is easing. Thus it is concluded that the Fisher hypothesis is valid only in all maturities of long-term interest rates in the first period. However, it does not hold in any of the maturities in the entire sample period or in the second and third periods. Copyright 2009 The Author. Journal compilation Blackwell Publishing Ltd.
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