FISHER HYPOTHESIS: THE ESTIMATION FOR TURKEY
Journal Title: The Journal of International Social Research - Year 2017, Vol 10, Issue 54
Abstract
The data of Fisher Hypothesis, which examines the correlation between interest rate and inflation, regarding the 2004: 12-2016: 12 period of Turkey has been analyzed with Johansen (1990) cointegration test. Furthermore, in this study, the causality tests of the vector error correction model developed by Engle-Granger have been conducted in order to reveal the causality relation between the variables. At the end of this research, long term and causality relations between five different nominal interest rates and inflation rates have been examined to this end. According to long-term findings, there is a cointegration relation between the variables in all models. According to the VECM Granger causality relation, there is a causality relation only between 1 and 6 month deposit interest rates and inflation rates.
Authors and Affiliations
Selim BAŞAR
Keywords
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- EP ID EP269350
- DOI 10.17719/jisr.20175434647
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