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

Yıl 2018, Cilt: 14 Sayı: 28, 31 - 43, 31.07.2018

Öz

Faiz oranları ile enflasyon arasındaki ilişki, ekonominin ilgi çeken konuları arasındadır. Bu çalışmada, MINT ülkelerinde

nominal faiz oranı ile beklenen enflasyon arasındaki ilişki Fisher hipotezi çerçevesinde incelenmiştir. Çalışmada 1990-2017

yılları arası aylık veriler kullanılmıştır. Analizler doğrusal olmayan zaman serisi alanın güncel konularından olan eşik değerli

otoregresif gecikmesi dağıtılmış [Autoregressive Distributed Lag (ADL)] eşbütünleşme testi ile gerçekleştirilmiştir. Elde

edilen sonuçlara göre, nominal faiz oranı ile beklenen enflasyon arasında eşik değerli eşbütünleşme ilişkisinin olduğu, yani

MINT ülkelerinde Fisher hipotezinin geçerli olduğu belirlenmiştir.

Kaynakça

  • Amonhaemanon, D., Annaert, J, De Ceuster, M. J. K. & Long, H. L. (2014). The Fisher hypothesis and investment assets: The Vietnamese and Thai. International Journal of Financial Research, 5(4), 180‒195.
  • Baillie, R.T. & Kapetanios, G., (2007). Testing for neglected nonlinearity in long-memory models. Journal of Business & Economic Statistics, 25(4), 447‒461.
  • Banerjee, A., Dolado, J. J. & Mestre, R. (1998). Error-correction mechanism tests for cointegration in a single-equation framework. Journal of Time Series Analysis, 19(3), 267–283.
  • Barsky, R. B. (1987). The Fisher hypothesis and the forecastability and persistence of inflation. Journal of Monetary Economics, 19, 3‒24.
  • Barthold, T. A. & Dougan, W. R. (1986). The Fisher hypothesis under different monetary regimes. The Review of Economics and Statistics, 68(4), 674‒679.
  • Berument, H. & Jelassi, M. M. (2002). The Fisher hypothesis: A multi-country analysis. Applied Economics, 34, 1645‒1655.
  • Boswijk, P., (1994). Testing for an unstable root in conditional and structural error correction models. Journal of Econometrics, 63, 37–60.
  • Chang, T. & Xu, Y. Y. (2012, July). Rational bubbles in G-7 countries: an empirical note based on the ADL test for threshold cointegration. Asian Finance Association (AsianFa) and Taiwan Finance Association (TFA) Joint International Conference July, Taiwan.
  • Chen, S. W. (2011). Current account deficits and sustainability: Evidence from the OECD countries. Economic Modelling, 28, 1455‒1464.
  • Dutt, S. D. & Ghosh, D. (1995). The fisher hypothesis: Examining the Canadian experience. Applied Economics, 27, 1025‒1030.
  • Everaert, G. (2014). A panel analysis of the fisher effect with an unobserved I(1) World real interest rate. Economic Modelling, 42, 198‒210.
  • Fama, E. F. (1975). Short-term interest rates as predictors of inflation. The American Economic Review, 65(3), 269‒282.
  • Fisher, I. (1930). The theory of interest. New York: The MacMillan Company. Retrieved from: http://files.libertyfund.org/
  • Granville, B. & Mallick, S. (2004). Fisher hypothesis: UK evidence over a century. Applied Economics Letters, 11, 87‒90.
  • Güriş, B. & Yaşgül, Y. S. (2014). Does the Fisher hypothesis hold fort he G7 countries? Evidence from ADL threshold cointegration test. Quality & Quantity, 49(6), 2549‒2557.
  • Güriş, B. Yaşgül, Y. S. & Tıraşoğlu, M. (2016). Do OECD countries’ health expenditure catch up to that of US?. The Empirical Economics Letters, 15(1), 55‒64.
  • Herwartz, H. & Reimers, H.-E. (2006, April). Modelling the Fisher hypothesis: World wide evidence. Christian-Albrechts- Universität Kiel, Department of Economics, Economics Working Paper, Leibniz. Retrieved from: https://www.econstor.eu/
  • Hoover, K. D. (1988). On the pitfalls of untested common-factor restrictions: The case of the inverted Fisher hypothesis. Oxford Bulletin of Economics and Statistics, 50(2), 125‒138.
  • Ito, T. (2009). Fisher hypothesis in Japan: Analysis of long-term interest rates under different monetary policy regimes. The World Economy, 32(7), 1019‒1035.
  • Junttila, J. (2001). Testing an augmented Fisher hypothesis for a small open economy: The case of Finland. Journal of Macroeconomics, 23(4), 577‒599.
  • Kapetanios, G., Shin, Y. & Snell, A. (2006). Testing for cointegration in nonlinear smooth transition error correction models. Econometric Theory, 22(2), 279‒303.
  • Kasman, S., Kasman, A. & Turgutlu, E. (2006). Fisher hypothesis revisited: A fractional cointegration analysis. Emerging Markets Finance and Trade, 42(6), 59‒76.
  • Kiran, B. (2013). A fractional cointegration analysis of Fisher hypothesis: Evidence from Turkey. Quality & Quantity, 47(2), 1077‒1084.
  • Küçükaksoy, İ. ve Akalın, G. (2017). Fisher Hipotezi’nin panel veri analizi ile test edilmesi: OECD ülkeleri uygulaması. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 35(1), 19‒40.
  • Li, J. & Lee, J. (2010). ADL tests for threshold cointegration. Journal of Time Series Analysis, 31, 241‒254.
  • Million, N. (2004). Central bank’s interventions and the Fisher hypothesis: A threshold cointegration investigation. Economic Modelling, 21, 1051‒1064.
  • Mishkin, F. S. (1992). Is the Fisher effect for real? A reexamination of the relationship between inflation and interest rates. Journal of Monetary Economics, 30, 195‒215.
  • Nusair, S. A. (2008). Testing for the Fisher hypothesis under regime shifts: An applications to Asian countries. International Economic Journal, 22(2), 273‒284.
  • Nusair, S. A. (2009). Non-linear co-integration between nominal interest rates and inflation: An examination of the Fisher hypothesis for Asian countries. Global Economic Review, 38(2), 143‒159.
  • Omay, T., Hasanov, M., Yuksel, A. & Yuksel, A. (2016). A note on the examination of the Fisher hypothesis by using panel co-integration tests with break. Romanian Journal of Economic Forecasting, 19(2), 13‒26.
  • Owen, P. D. (1993). Cointegration analysis of the Fisher hypothesis: The role of the real rate and the Fisher identity. Applied Financial Economics, 3, 21‒26.
  • Payne, J. E. & Ewing, B. T. (1997). Evidence from lesser developed countries on the Fisher hypothesis: A cointegration analysis. Applied Economics Letters, 4, 683‒687.
  • Phylaktis, K. & Blake, D. (1993). The Fisher hypothesis: Evidence from three high inflation economies. Weltwirtschaftliches Archiv, 129(3), 591‒599.
  • Sjölander, P., Månsson, K. & Shukur, G. (2017). Testing for panel cointegration in an error-correction framework with an application to the Fisher hypothesis. Communications in Statistics-Simulation and Computation, 46(3), 1735‒1745.
  • Summers, L. H. (1982). The non-adjustment of nominal interest rates: A study of the Fisher hypothesis. NBER Working Paper Series, 836, 1‒64.
  • Şimşek, M. ve Kadılar, C. (2006). Fisher Etkisinin Türkiye verileri ile testi. Doğuş Üniversitesi Dergisi, 7(1), 99‒111.
  • Teräsvirta, T., Dijk, D. & Medeiros, M.C., (2005). Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomics time series: A re-examination. International Journal of Forecasting, 21, 755‒774.
  • Tsong, C. C. & Hachicha, A. (2014). Revisiting the Fisher hypothesis for several selected developing economies: A quantile cointegration approach. Economic Issues, 19(1), 57‒72.
  • Tsong, C-C. & Lee, C.-F. (2013). Quantile cointegration analysis of the Fisher hypothesis. Journal of Macroeconomics, 35, 186‒198.
  • Yılancı, V. (2009). Fisher Hipotezinin Türkiye için sınanması: Doğrusal olmayan eşbütünleşme analizi. Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi, 23(4), 205‒2013.
  • Yılancı, V. ve Tıraşoğlu, M. (2016). Türkiye’nin makroekonomik zaman serilerinin doğrusallığının testi. Çankırı Karatekin University Journal of the Faculty of Economics and Administrative Sciences, 6(2), 1‒16.
  • Yoon, G. (2010). Nonlinearity in US macroeconomic time series. Applied Economics Letters, 17, 1601‒1609.

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

Yıl 2018, Cilt: 14 Sayı: 28, 31 - 43, 31.07.2018

Öz

The relationship between interest rates and inflation is among the interesting topics of the economy. In this study, the

relationship between the nominal interest rate and the expected inflation for MINT countries was examined in the

context of the Fisher hypothesis. Monthly data from 1990 to 2017 were used in the study. Analyses were performed with

threshold autoregressive distributed lag (ADL) cointegration test, which is from the current issues of the nonlinear time

series. According to the results obtained, it is determined that there is a threshold cointegration relation between the

nominal interest rate and the expected inflation, that is, the Fisher hypothesis is valid for MINT countries.

Kaynakça

  • Amonhaemanon, D., Annaert, J, De Ceuster, M. J. K. & Long, H. L. (2014). The Fisher hypothesis and investment assets: The Vietnamese and Thai. International Journal of Financial Research, 5(4), 180‒195.
  • Baillie, R.T. & Kapetanios, G., (2007). Testing for neglected nonlinearity in long-memory models. Journal of Business & Economic Statistics, 25(4), 447‒461.
  • Banerjee, A., Dolado, J. J. & Mestre, R. (1998). Error-correction mechanism tests for cointegration in a single-equation framework. Journal of Time Series Analysis, 19(3), 267–283.
  • Barsky, R. B. (1987). The Fisher hypothesis and the forecastability and persistence of inflation. Journal of Monetary Economics, 19, 3‒24.
  • Barthold, T. A. & Dougan, W. R. (1986). The Fisher hypothesis under different monetary regimes. The Review of Economics and Statistics, 68(4), 674‒679.
  • Berument, H. & Jelassi, M. M. (2002). The Fisher hypothesis: A multi-country analysis. Applied Economics, 34, 1645‒1655.
  • Boswijk, P., (1994). Testing for an unstable root in conditional and structural error correction models. Journal of Econometrics, 63, 37–60.
  • Chang, T. & Xu, Y. Y. (2012, July). Rational bubbles in G-7 countries: an empirical note based on the ADL test for threshold cointegration. Asian Finance Association (AsianFa) and Taiwan Finance Association (TFA) Joint International Conference July, Taiwan.
  • Chen, S. W. (2011). Current account deficits and sustainability: Evidence from the OECD countries. Economic Modelling, 28, 1455‒1464.
  • Dutt, S. D. & Ghosh, D. (1995). The fisher hypothesis: Examining the Canadian experience. Applied Economics, 27, 1025‒1030.
  • Everaert, G. (2014). A panel analysis of the fisher effect with an unobserved I(1) World real interest rate. Economic Modelling, 42, 198‒210.
  • Fama, E. F. (1975). Short-term interest rates as predictors of inflation. The American Economic Review, 65(3), 269‒282.
  • Fisher, I. (1930). The theory of interest. New York: The MacMillan Company. Retrieved from: http://files.libertyfund.org/
  • Granville, B. & Mallick, S. (2004). Fisher hypothesis: UK evidence over a century. Applied Economics Letters, 11, 87‒90.
  • Güriş, B. & Yaşgül, Y. S. (2014). Does the Fisher hypothesis hold fort he G7 countries? Evidence from ADL threshold cointegration test. Quality & Quantity, 49(6), 2549‒2557.
  • Güriş, B. Yaşgül, Y. S. & Tıraşoğlu, M. (2016). Do OECD countries’ health expenditure catch up to that of US?. The Empirical Economics Letters, 15(1), 55‒64.
  • Herwartz, H. & Reimers, H.-E. (2006, April). Modelling the Fisher hypothesis: World wide evidence. Christian-Albrechts- Universität Kiel, Department of Economics, Economics Working Paper, Leibniz. Retrieved from: https://www.econstor.eu/
  • Hoover, K. D. (1988). On the pitfalls of untested common-factor restrictions: The case of the inverted Fisher hypothesis. Oxford Bulletin of Economics and Statistics, 50(2), 125‒138.
  • Ito, T. (2009). Fisher hypothesis in Japan: Analysis of long-term interest rates under different monetary policy regimes. The World Economy, 32(7), 1019‒1035.
  • Junttila, J. (2001). Testing an augmented Fisher hypothesis for a small open economy: The case of Finland. Journal of Macroeconomics, 23(4), 577‒599.
  • Kapetanios, G., Shin, Y. & Snell, A. (2006). Testing for cointegration in nonlinear smooth transition error correction models. Econometric Theory, 22(2), 279‒303.
  • Kasman, S., Kasman, A. & Turgutlu, E. (2006). Fisher hypothesis revisited: A fractional cointegration analysis. Emerging Markets Finance and Trade, 42(6), 59‒76.
  • Kiran, B. (2013). A fractional cointegration analysis of Fisher hypothesis: Evidence from Turkey. Quality & Quantity, 47(2), 1077‒1084.
  • Küçükaksoy, İ. ve Akalın, G. (2017). Fisher Hipotezi’nin panel veri analizi ile test edilmesi: OECD ülkeleri uygulaması. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 35(1), 19‒40.
  • Li, J. & Lee, J. (2010). ADL tests for threshold cointegration. Journal of Time Series Analysis, 31, 241‒254.
  • Million, N. (2004). Central bank’s interventions and the Fisher hypothesis: A threshold cointegration investigation. Economic Modelling, 21, 1051‒1064.
  • Mishkin, F. S. (1992). Is the Fisher effect for real? A reexamination of the relationship between inflation and interest rates. Journal of Monetary Economics, 30, 195‒215.
  • Nusair, S. A. (2008). Testing for the Fisher hypothesis under regime shifts: An applications to Asian countries. International Economic Journal, 22(2), 273‒284.
  • Nusair, S. A. (2009). Non-linear co-integration between nominal interest rates and inflation: An examination of the Fisher hypothesis for Asian countries. Global Economic Review, 38(2), 143‒159.
  • Omay, T., Hasanov, M., Yuksel, A. & Yuksel, A. (2016). A note on the examination of the Fisher hypothesis by using panel co-integration tests with break. Romanian Journal of Economic Forecasting, 19(2), 13‒26.
  • Owen, P. D. (1993). Cointegration analysis of the Fisher hypothesis: The role of the real rate and the Fisher identity. Applied Financial Economics, 3, 21‒26.
  • Payne, J. E. & Ewing, B. T. (1997). Evidence from lesser developed countries on the Fisher hypothesis: A cointegration analysis. Applied Economics Letters, 4, 683‒687.
  • Phylaktis, K. & Blake, D. (1993). The Fisher hypothesis: Evidence from three high inflation economies. Weltwirtschaftliches Archiv, 129(3), 591‒599.
  • Sjölander, P., Månsson, K. & Shukur, G. (2017). Testing for panel cointegration in an error-correction framework with an application to the Fisher hypothesis. Communications in Statistics-Simulation and Computation, 46(3), 1735‒1745.
  • Summers, L. H. (1982). The non-adjustment of nominal interest rates: A study of the Fisher hypothesis. NBER Working Paper Series, 836, 1‒64.
  • Şimşek, M. ve Kadılar, C. (2006). Fisher Etkisinin Türkiye verileri ile testi. Doğuş Üniversitesi Dergisi, 7(1), 99‒111.
  • Teräsvirta, T., Dijk, D. & Medeiros, M.C., (2005). Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomics time series: A re-examination. International Journal of Forecasting, 21, 755‒774.
  • Tsong, C. C. & Hachicha, A. (2014). Revisiting the Fisher hypothesis for several selected developing economies: A quantile cointegration approach. Economic Issues, 19(1), 57‒72.
  • Tsong, C-C. & Lee, C.-F. (2013). Quantile cointegration analysis of the Fisher hypothesis. Journal of Macroeconomics, 35, 186‒198.
  • Yılancı, V. (2009). Fisher Hipotezinin Türkiye için sınanması: Doğrusal olmayan eşbütünleşme analizi. Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi, 23(4), 205‒2013.
  • Yılancı, V. ve Tıraşoğlu, M. (2016). Türkiye’nin makroekonomik zaman serilerinin doğrusallığının testi. Çankırı Karatekin University Journal of the Faculty of Economics and Administrative Sciences, 6(2), 1‒16.
  • Yoon, G. (2010). Nonlinearity in US macroeconomic time series. Applied Economics Letters, 17, 1601‒1609.
Toplam 42 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Bölüm Makaleler
Yazarlar

Muhammed Tıraşoğlu

Yayımlanma Tarihi 31 Temmuz 2018
Yayımlandığı Sayı Yıl 2018 Cilt: 14 Sayı: 28

Kaynak Göster

APA Tıraşoğlu, M. (2018). Fisher Hipotezinin MINT Ülkeleri İçin İncelenmesi: Eşik Değerli Adl Eşbütünleşme Testi Yaklaşımı. Istanbul University Econometrics and Statistics E-Journal, 14(28), 31-43.
AMA Tıraşoğlu M. Fisher Hipotezinin MINT Ülkeleri İçin İncelenmesi: Eşik Değerli Adl Eşbütünleşme Testi Yaklaşımı. Istanbul University Econometrics and Statistics e-Journal. Temmuz 2018;14(28):31-43.
Chicago Tıraşoğlu, Muhammed. “Fisher Hipotezinin MINT Ülkeleri İçin İncelenmesi: Eşik Değerli Adl Eşbütünleşme Testi Yaklaşımı”. Istanbul University Econometrics and Statistics E-Journal 14, sy. 28 (Temmuz 2018): 31-43.
EndNote Tıraşoğlu M (01 Temmuz 2018) Fisher Hipotezinin MINT Ülkeleri İçin İncelenmesi: Eşik Değerli Adl Eşbütünleşme Testi Yaklaşımı. Istanbul University Econometrics and Statistics e-Journal 14 28 31–43.
IEEE M. Tıraşoğlu, “Fisher Hipotezinin MINT Ülkeleri İçin İncelenmesi: Eşik Değerli Adl Eşbütünleşme Testi Yaklaşımı”, Istanbul University Econometrics and Statistics e-Journal, c. 14, sy. 28, ss. 31–43, 2018.
ISNAD Tıraşoğlu, Muhammed. “Fisher Hipotezinin MINT Ülkeleri İçin İncelenmesi: Eşik Değerli Adl Eşbütünleşme Testi Yaklaşımı”. Istanbul University Econometrics and Statistics e-Journal 14/28 (Temmuz 2018), 31-43.
JAMA Tıraşoğlu M. Fisher Hipotezinin MINT Ülkeleri İçin İncelenmesi: Eşik Değerli Adl Eşbütünleşme Testi Yaklaşımı. Istanbul University Econometrics and Statistics e-Journal. 2018;14:31–43.
MLA Tıraşoğlu, Muhammed. “Fisher Hipotezinin MINT Ülkeleri İçin İncelenmesi: Eşik Değerli Adl Eşbütünleşme Testi Yaklaşımı”. Istanbul University Econometrics and Statistics E-Journal, c. 14, sy. 28, 2018, ss. 31-43.
Vancouver Tıraşoğlu M. Fisher Hipotezinin MINT Ülkeleri İçin İncelenmesi: Eşik Değerli Adl Eşbütünleşme Testi Yaklaşımı. Istanbul University Econometrics and Statistics e-Journal. 2018;14(28):31-43.