RELATIONSHIP BETWEEN NOMINAL INTEREST RATE AND INFLATION: INVESTIGATION OF THE EXISTENCE OF FISHER EFFECT FOR D-8 COUNTRIES
Open Access
- 30 June 2020
- journal article
- Published by Iktisadi Idari ve Siyasal Arastirmalar Dergisi in İktisadi İdari ve Siyasal Araştırmalar Dergisi
- Vol. 5 (12), 181-193
- https://doi.org/10.25204/iktisad.733813
Abstract
Tr en Bu çalışmanın amacı, D-8 ülkeleri (Türkiye, Mısır, İran, Malezya, Pakistan, Endonezya, Bangladeş, Nijerya) için nominal faiz oranı ile enflasyon ilişkisini Fisher etkisi kapsamında incelemektir. Bu amaçla ülkelerin 2003Q1-2019Q4 dönemi üçer aylık tüketici fiyat endeksi ve mevduat faiz oranları verileri kullanılarak ikinci nesil panel veri analizi yöntemlerinden CADF-CIPS birim kök testi, Westerlund ve Edgerton (2007) LM Bootstrap eşbütünleşme testi ve katsayıların tahmini için de CCE testi uygulanmıştır. Elde edilen bulgularda Nijerya ve Malezya’da Fisher etkisinin geçerli olmadığı; İran’da zayıf Fisher etkisinin geçerli olduğu, Endonezya, Mısır, Bangladeş, Pakistan ve Türkiye’de ise tam Fisher etkisinin geçerli olduğu sonucuna ulaşılmaktadır. The aim of this study is to examine the relationship of the nominal interest rate and inflation in the context of the Fisher effect for the D-8 country (Turkey, Egypt, Iran, Malaysia, Pakistan, Indonesia, Bangladesh, Nigeria). For this purpose, using the second generation panel data analysis methods of the countries using the quarterly deposit interest rates and consumer price indices data of the 2003Q1-2019Q4 period. CADF-CIPS unit root test, Westerlund and Edgerton (2007) LM Bootstrap cointegration test and CCE test were used to estimate the coefficients. In the findings, the Fisher effect was not valid in Nigeria and Malaysia; Weak Fisher effect is valid in Iran; Indonesia, Egypt, Bangladesh, Pakistan and Turkey is concluded that the effect applies to full-Fisher.Keywords
This publication has 22 references indexed in Scilit:
- The interest rate–inflation relationship under an inflation targeting regime: The case of TurkeyJournal of Asian Economics, 2012
- A re-examination of the Fisher effect using an alternative approachApplied Economics Letters, 2011
- The Fisher effect: a Kalman filter approach to detecting structural changeApplied Economics Letters, 2008
- A panel bootstrap cointegration testEconomics Letters, 2007
- Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error StructureEconometrica, 2006
- A Resolution of the Fisher Effect Puzzle: A Comparison of EstimatorsSSRN Electronic Journal, 2005
- Testing Fisher hypothesis in long horizons for G7 and eight Asian countries.1Applied Economics Letters, 2003
- Evidence from lesser developed countries on the Fisher hypothesis: a cointegration analysisApplied Economics Letters, 1997
- An Empirical Examination of the Fisher Effect in Australia*Economic Record, 1995
- Is the Fisher effect for real?: A reexamination of the relationship between inflation and interest ratesJournal of Monetary Economics, 1992