Validity of Fisher effect for Turkish economy: Cointegration analysis

被引：13
|
作者：
Incekara, Ahmet [1 ]
Demez, Selim [1 ]
Ustaoglu, Murat [1 ]
机构：
[1] Istanbul Univ, TR-34552 Beyazid Istanbul, Turkey
来源：
8TH INTERNATIONAL STRATEGIC MANAGEMENT CONFERENCE | 2012年 / 58卷
关键词：
Fisher effect; Johansen cointegration; VAR analysis; CAUSALITY; MONEY;
D O I：
10.1016/j.sbspro.2012.09.1016
中图分类号：
C93 [管理学];
学科分类号：
12 ; 1201 ; 1202 ; 120202 ;
摘要：
Fisher effect which can be defined as a positive relation between nominal interest rate and inflation rate without any impact upon real interest rates is something that holders of savings and investments, as well as implementers of monetary policy, pay attention to. In this study, the seasonal series between 1989:Q1 and 2011:Q4 are used to test the validity of Fisher Hypothesis for Turkish economy by Johansen cointegration analysis and VAR method. It is concluded that in the long term, Fisher impact is valid for Turkish economy.
引用
收藏
页码：396 / 405
页数：10
相关论文
共 50 条
  • [1] The Validity of the International Fisher Hypothesis in Turkish Economy: Generalized Method of Moments
    Akinci, Merter
    Yilmaz, Omer
    [J]. ESKISEHIR OSMANGAZI UNIVERSITESI IIBF DERGISI-ESKISEHIR OSMANGAZI UNIVERSITY JOURNAL OF ECONOMICS AND ADMINISTRATIVE SCIENCES, 2016, 11 (02): : 69 - 92
  • [2] Is the Fisher effect asymmetric? Cointegration analysis and expectations measurement
    Cushman, David O.
    De Vita, Glauco
    Trachanas, Emmanouil
    [J]. INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, 2023, 28 (04) : 3727 - 3748
  • [3] The Impact of Agricultural Sector on Environmental Pollution: A Cointegration and Causality Analysis for Turkish Economy
    Cetin, Murat
    Saygin, Selin
    Demir, Harun
    [J]. JOURNAL OF TEKIRDAG AGRICULTURE FACULTY-TEKIRDAG ZIRAAT FAKULTESI DERGISI, 2020, 17 (03): : 329 - 345
  • [4] Panel cointegration tests of the Fisher effect
    Westerlund, Joakim
    [J]. JOURNAL OF APPLIED ECONOMETRICS, 2008, 23 (02) : 193 - 233
  • [5] Quantile cointegration analysis of the Fisher hypothesis
    Tsong, Ching-Chuan
    Lee, Cheng-Feng
    [J]. JOURNAL OF MACROECONOMICS, 2013, 35 : 186 - 198
  • [6] The Environmental Quality-Economic Complexity Relationship: A Fourier Cointegration Analysis of the Turkish Economy
    Ozbek, Sefa
    Naimoglu, Mustafa
    [J]. ISTANBUL IKTISAT DERGISI-ISTANBUL JOURNAL OF ECONOMICS, 2022, 72 (01): : 407 - 431
  • [7] COINTEGRATION, ERROR CORRECTION AND THE FISHER EFFECT - A CLARIFICATION
    GARCIA, P
    ZAPATA, HO
    [J]. APPLIED ECONOMICS, 1991, 23 (08) : 1367 - 1368
  • [8] Non-parametric analysis of the relationship between inflation and interest rate in the context of Fisher effect for Turkish economy
    Dogan, Ibrahim
    Orun, Emre
    Aydin, Bayram
    Afsal, Mahmut Saban
    [J]. INTERNATIONAL REVIEW OF APPLIED ECONOMICS, 2020, 34 (06) : 758 - 768
  • [9] Fisher hypothesis revisited - A fractional cointegration analysis
    Kasman, Saadet
    Kasman, Adnan
    Turgutlu, Evrim
    [J]. EMERGING MARKETS FINANCE AND TRADE, 2006, 42 (06) : 59 - 76
  • [10] The Fisher hypotheses in Latin America: A cointegration analysis
    Ruiz Porras, Antonio
    Cruz Ruiz, Fidel Gustavo
    [J]. REVISTA FINANZAS Y POLITICA ECONOMICA, 2016, 8 (02): : 301 - 326
12345