TÜRKİYE ÖRNEĞİ İÇİN FAİZ VE ENFLASYON ORANLARI ARASINDA TAVUK-YUMURTA İLİŞKİSİ VAR MI?

Year 2024, Issue: 43, 53 - 72, 05.05.2024

Ayça Sarıalioğlu Hayali , Mohammad Mansoor Lodın , Djallel Aımar , Asiye Küçükosman

https://doi.org/10.18092/ulikidince.1401135

Abstract

Faiz ve enflasyon oranları arasındaki nedensellik ilişkisi konusunda halen sıcak bir tartışma sürmektedir. Bir taraftan, Fisher Etkisi ile enflasyonun neden, faiz oranının ise sonuç olması beklenmektedir. Öte yandan, Türkiye'deki politika yapıcılar arasında enflasyonun çoğunlukla kredilerin yüksek maliyetini oluşturan yüksek faiz oranlarından kaynaklanan bir sonuç olduğu ileri sürüldüğünden bunun tam tersi, enflasyon sonuç faiz sebep olarak beklenmektedir. Ancak, Türkiye örneğinde gerçek nedenin yüksek faizler değil hükümetin enflasyonun altına indirdiği düşük faizler olduğu güçlü bir şekilde ileri sürülmektedir. Bu bağlamda, makalenin temel amacı faiz ve enflasyon oranları arasındaki nedensellik ilişkisini 2004A01-2022A03 dönemi için Türkiye örneğinde araştırmaktır. Bulgular ilgili dönemde Türkiye örneği için faiz oranı ile enflasyon oranı arasında iki yönlü Granger nedensellik ilişkisinin olduğunu ortaya koymaktadır. Bu sonuç, faiz ve enflasyon oranları arasında tavuk-yumurta ilişkisini desteklemektedir.

Keywords

Faiz Oranları ve Enflasyon Oranları, Fisher Etkisi, Nedensellik İlişkisi, Türkiye Örneği

Ethical Statement

GEREK YOKTUR.

Supporting Institution

BULUNMAMAKTADIR.

Project Number

BULUNMAMAKTADIR.

IS THERE A CHICKEN-AND-EGG RELATIONSHIP BETWEEN INTEREST AND INFLATION RATES FOR THE TURKISH CASE?

Abstract

There is still a hot debate about the causal relationship between interest and inflation rates. On the one hand, through Fisher Effect, it is expected that inflation is the cause while the interest rate is the result. On the other hand, among policymakers in Türkiye, it is expected opposite as inflation is the result and interest rate is the cause since it is argued that inflation is the result mostly stemming from the high-interest rates constituting the high cost of the credits. However, it is strongly argued that low interest rates—which the government has lowered below inflation—rather than high interest rates are the real cause in the Turkish case. In this regard, the key purpose of the paper is to investigate the causal relationship between the interest and inflation rates for the Turkish case for the period of 2004M01-2022M03. The findings reveal that there is a bi-directional Granger causality relationship between the interest rate and the inflation rate for the Turkish case for the relevant period. This result promotes the chicken-and-egg relationship between interest and inflation rates.

Keywords

The Interest Rates and Inflation Rates, Fisher Effect, Causal Relationship, Turkish Case

Project Number

BULUNMAMAKTADIR.

References

• Ahmad, S. (2010). Fisher Effect in Nonlinear Star Framework: Some Evidence From Asia. Economics Bulletin, 2558-2566.
• Akçaci, T., ve Gökmen, S. (2014). Fisher Hipotezi: Türkiye Ekonomisi için Bir Analiz. Uluslararası Hakemli Ekonomi Yönetimi Araştırmaları Dergisi, 126-141.
• Akıncı, M., and Yılmaz, Ö. (2016). The Validity of the International Fisher Hypothesis in Turkish Economy: Generalized Method of Moments. Eskişehir Osmangazi Üniversitesi İİBF Dergisi, 69-91.
• Aksoy, N., Emirmahmutoglu, F., and Sezgin, K. (2012). The Interest Rate–Inflation Relationship Under An Inflation Targeting Regime: The Case of Turkey. Journal of Asian Economics, 476-485.
• Alper, F. Ö. (2017). Analysis of the Relationship Between Inflation and Nominal Interest Rate in Turkey: Bayer-Hanck Cointegration Test. International Congree on Political, Economic And Social Studies(Icpess), 101-111.
• Altunöz, U. (2018). Investigating The Presence of Fisher Effect for the China Economy. Sosyoekonomi, 26(35), 27-40.
• Arısoy, I. (2013). Testing for the Fisher Hypothesis Under Regime Shifts in Turkey: New Evidence from Time-Varying Parameters. International Journal of Economics and Financial Issues, 496-502.
• Asemota, O. J., and Bala, D. (2011). A Kalman Filter Approach to Fisher Effect: Evidence from Nigeria. Cbn Journal of Applied Statistics, 71-91.
• Barthold, T. A., and Dougan, W. (1986). The Fisher Hypothesis Under Different Monetary Regimes. The Review Of Economics And Statistics, 674-679.
• Başar, S., and Karakuş, K. (2017). Fisher Hypothesis: The Estimation for Turkey. The Journal of International Social Research, 795-803.
• CBRT. https://www.tcmb.gov.tr/wps/wcm/connect/7a905a4f-0d57-42f4-9542-b09673604a0a /RIP_Metadata2_Monthly_Weighted_Average_Interest_Rates_Of_Banks.pdf?MOD=AJPERES
• Cooray, A. (2003). The Fisher Effect: A Survey. The Singapore Economic Review, 48, 135.
• Demez, S. (2021). The Effectiveness of Interest Rates in Struggle Exchange Rate and Inflation in Turkey: Fourier Cointegration Analysis. Kmu Journal Of Social And Economic Research, 132-144.
• Dickey, D. A., and Fuller, W. A. (1981). Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root. Econometrica, 49(4), 1057–1072. https://doi.org/10.2307/1912517
• Dutt, S. D., and Ghosh, D. (1995). The Fisher Hypothesis: Examining the Canadian Experience. Applied Economics, 1025-1030.
• Egilmez, M. (2022). “Faizi Düşürmek ve Kuru Tutmak Uğruna”, https://www.mahfiegilmez.com /2022/11/faizi-dusurmek-ve-kuru-tutmak-ugruna.html
• El Khawaga, A. (2014). Exchange Rates and Interest Rates: an Empirical Investigation of International Fisher Effect Theory the case of Egypt (2003-2012). The Economic Research Forum, 1-29.
• Ersan, E. (2008). International Fisher Effect: A Reexamination Within Co-Integration and Dsue Frameworks . (Master's Thesis, Middle East Technical University), 8.
• Fisher, I. (1930). The Theory of Interest . New York Macmillan.
• Friesendorf. (2022). Fisher Effect in Post-Unification Germany. Research Journal for Applied Management,1-53.
• Gedik, A. (2021). The Relationship of Inflation and Interest Rate: The Validity of the Fisher Hypothesis for Turkey. European Journal of Science and Technology, 615-624.
• Ghazali, N. A., and Ramlee, S. (2003). A Long Memory Test of the Long-Run Fisher Effect in the G7 Countries. Applied Financial Economics, 763-769.
• Gocer,I.,& Ongan,S. (2020). The Relationship Between Inflation and Interest Rate in the UK: The Nonlinear ARDL Approach. Journal of Central Banking Theory and Practice, 77-86.
• Granger, C.W.J. (1969). “Investigating Causal Relations by Econometric Models and Cross-Spectral Methods”, Econometrica, 37(3), 424-438.
• Gregory, A. W., and Hansen, B. E. (1996). Residual-Based Tests for Cointegration in Models with Regime Shifts. Journal of Econometrics, 70(1), 99-126. https://doi.org/https: //doi.org/10.1016/0304-4076(69)41685-7
• Gujarati, D. N., and Porter, D. C. (1999). Essentials of Econometrics Fifth Edition. The McGraw-Hill Series Economics.
• Gula, E., and Acikalin, S. (2008). An Examination of the Fisher Hypothesis: The case of Turkey. Applied Economics, 3227-2331.
• Gürel, S. P. (2021). The Validity of the Fisher Effect for an Inflation Targeting Country: The case of Turkey. Ekonomski Pregled, 697-717.
• Güriş, S., Güriş, B., and Ün, T. (2016). Interest Rates, Fisher Effect and Economic Development In Turkey, 1989-2011. Revista Galega De Economia, 95-100.
• Gürsoy, S., and Akçay, C. (2021). Investigation of the Fisher Effect on Turkey Using Hatemi-J Asymmetric Causality Test. International Journal of Economics, Business and Politics, 46-61.
• Hawtrey, K. M. (1997). The Fisher Effect and Australian Interest Rates. Applied Financial Economics, 7, 337=346.
• Ito, T. (2009). Fisher Hypothesis in Japan: Analysis of Long-Term Interest Rates Under Different Monetary Policy Regimes. The World Economy, 1091=1035.
• J.Atkins, F., and Coe, P. (2002). An Ardl Bounds Test of the Long-Run Fisher Effect in the United States And Canada. Journal of Macroeconomics, 255-266.
• Kasman, S., Kasman, A., & Turgutlu, E. (2006). Fisher Hypothesis Revisited: A Fractional Cointegration Analysis. Emerging Markets Finance And Trade, 59-76.
• Madura, J. (2020). International Financial Management. (F. Edition, Ed.) Usa: Cengage.
• Maghyereh, A., and Al-Zoubi, H. (2006). Does Fisher Effect Apply in Developing Countries: Evidence from a Nonlinear Cotrending Test Applied to Argentina, Brazil, Malaysia, Mexico, South Korea and Turkey. Applied Econometrics and International Development., 31-46.
• Mankiw, N. G. (2009). Macroeconomics (Seventh Edition Ed.). New York: Worth Publishers.
• Mishkin, F. S. (2015). Macroeconomics Policy and Practice (2nd Edition Ed.). New Jersey: Pearson.
• Mitchell-Innes, H. (2007). Inflation Targeting and the Fisher Effect in South Africa: An Empirical Investigation. South African Journal of Economics, 693-707.
• Oprea, D. S. (2014). The Fisher Effect: Evidence from the Romanian Stock Market. International Journal of Academic Research in Business and Social Sciences, 637-644.
• Ozkan, G. (2021).“Turkey’s currency crisis is a textbook example of what not to do with interest rates”. https://theconversation.com/turkeys-currency-crisis-is-a-textbook-examp le-of-what-not-to-do-with-interest-rates-172709.
• Ozkan, G. (2022). "‘Faiz Sebep, Enflasyon Sonuç’ Doğru, Istikamet Yanlış”. https://t24.com.tr /yazarlar/gulcin-ozkan/faiz-sebep-enflasyon-sonuc-dogru-istikamet-yanlis,33749.
• Panopoulou, E., and Pantelidis, T. (2016). The Fisher Effect in the Presence of Time-Varying Coefficients. Computational Statistics And Data Analysis, 495-511.
• Peter C. B. Phillips, and Perron, P. (1988). Testing for a Unit Root in Time Series Regression. Biometrika, 75(2), 335–346. https://doi.org/10.2307/2336182
• Şimşek, M., and Kadilar, C. (2006). The Analysis of Fisher Effect Using Turkish Data. Doğuş Üniversitesi Dergisi, 99-111.
• Sinan, O. B. (2019). Relationship Between the Exchange Rate and Inflation Rate in Turkey 2006-2018. The Sakarya Journal of Economics, 200-221.
• Toyoshima, Y., and Hamori, S. ( 2011). Panel Cointegration Analysis of the Fisher Effect: Evidence from the Us, The Uk, and Japan. Economics Bulletin, 2674-2682.
• Tsong, C. C., and Hachicha, A. (2014). Revisiting the Fisher Hypothesis for Several Selected Developing Economies: A Quantile Cointegration Approach. Economic Issues, 57-72.
• Tunali, H., and Erönal, Y. (2016). Relation Between Inflation and Interest Rates: Validity of Fisher Effect in Turkey. Suleyman Demirel University The Journal of Faculty of Economics and Administrative Sciences, 1415-1431.
• Turna, Y., and Özcan, A. (2021). The relationship between foreign exchange rate, interest rate and inflation in Turkey. Journal of Ekonomi, 19-23.
• Uyaebo, S. O. (2016). Testing The Fisher Hypothesis in the Presence of Structural Breaks and Adaptive Inflationary Expectations: Evidence from Nigeria. Cbn Journal of Applied Statistics, 7, 333-358.
• Wong, K.-F., and Wu, H.-J. (2003). Testing Fisher Hypothesis in Long Horizons for G7 and Eight Asian Countries. Applied Economics Letters, 917-923.
• Yilanci, V. (2009). Fisher Hipotezinin Türkiye için Sinanmasi: Doğrusal Olmayan Eşbütünleşme Analizi. Atatürk Üniversitesi İktisadi Ve İdari Bilimler Dergisi, 205-213.
• Zainal, N., Bakri, M., Hook, L., Zaini4, S., and Ab Razak, M. (2021). Validity of Fisher Effect Theory: Evidence from the Conventional and Islamic Money Market in Malaysia. GENERAL MANAGEMENT, 64-72.
• Zhong, Y. (2022). Analysis of Fisher Effects Between Nominal Interest and Inflation. Advances in Economics, Business and Management Research, 337-341.
• Zivot, E., and Donald W. K. Andrews. (1992). Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis. Journal of Business and Economic Statistics, 10(3), 251–270. https://doi.org/10.2307/1391541