An examination of the Fisher Hypothesis: the case of Turkey

Ekrem Gül · Sezgin Açıkalın

47 citations0/0 files storedApplied Economics

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Monetary Policy and Economic Impact Financial Markets and Investment Strategies Market Dynamics and Volatility

Abstract

This study examines the famous Fisher Hypothesis (FH) for Turkey. FH asserts that nominal interest rates adjust on a one-to-one basis to expected changes in inflation rates. Using the Johansen cointegration method for the Turkish monthly interest rate and inflation rate data, we find that it is possible to determine the long-run relationship—but not the one-to-one basis—between nominal interest rates and inflation. Our findings suggest that full FH does not hold but there is a very powerfull Fisher effect in the case of Turkey from 1990 to 2003.

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References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing 1988Statistical analysis of cointegration vectors 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models 1988Is the Real Interest Rate Stable?1991Is the Fisher Effect for Real? A Reexamination of the Relationship Between Inflation and Interest Rates 1992Is the Fisher effect for real?1996The Long-Run Relationship between Nominal Interest Rates and Inflation: The Fisher Equation Revisited

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