Validity of Fisher effect for Turkish economy: Cointegration analysis

Incekara A., Demez S., Ustaoglu M.

8th International Strategic Management Conference, Barcelona, İspanya, 21 - 23 Haziran 2012, cilt.58, ss.396-405 identifier

  • Yayın Türü: Bildiri / Tam Metin Bildiri
  • Cilt numarası: 58
  • Doi Numarası: 10.1016/j.sbspro.2012.09.1016
  • Basıldığı Şehir: Barcelona
  • Basıldığı Ülke: İspanya
  • Sayfa Sayıları: ss.396-405
  • Anahtar Kelimeler: Fisher effect, Johansen cointegration, VAR analysis, CAUSALITY, MONEY
  • İstanbul Üniversitesi Adresli: Evet

Özet

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.