FISHER ETKİSİ TÜRKİYE EKONOMİSİ İÇİN GEÇERLİ Mİ? BİR ZAMAN SERİSİ ANALİZİ: 1980-2013

Year 2015, Issue: 3, 45 - 66, 25.11.2015

Osman Kanca , Adem Üzümcü , Ahmet Deniz

Abstract

İktisat literatüründe oldukça meşhur olan Fisher Etkisi (Hipotezi), nominal faiz oranları ile enflasyon oranı arasında pozitif ilişki olduğunu ileri sürmektedir. Ekonometrik olarak nominal faiz oranları ile enflasyon arasında kointegrasyon olduğunu ileri süren bu hipotez, ekonomi politikaları amaç ve araçlarının seçilmesinde etkili olabilecek önermeleri içerdiği için de önem taşımaktadır. Bu çalışmada, Türkiye ekonomisinde 1980-2013 dönemi yıllık verileri ile Fisher Etkisinin geçerli olup olmadığı kointegrasyon ve nedensellik analizleri çerçevesinde ampirik olarak test edilmiştir. Johansen (1988) kointegrasyon analizi çerçevesinde Fisher Etkisinin Türkiye için geçerli olduğu sonucuna ulaşılmış, nedensellik analizinde enflasyon oranından faiz oranlarına (yıllık tasarruf mevduatı faiz oranı) doğru tek yönlü nedensellik ilişkisi tespit edilmiştir.

Keywords

Fisher Etkisi, Kointegrasyon, Nedensellik, Türkiye

IS FISHER EFFECT VALID IN TURKISH ECONOMY? A TIME SERIES ANALYSIS: 1980-2013

Abstract

Fisher Effect (Hypothesis) which is very popular in economics literature has asserted that there is a positive relationship between nominal interest rates and inflation. This hypothesis which states that there is a co integration between nominal interest rates and inflation econometrically, is also important for being effective in selection of the economic politics aims and tools. In this study, validity of Fisher Effect is tested by co integration and causality analyses with the annual data of Turkish economy in the period of 1980-2013. As a result of Johansen (1988) co integration analysis, Fisher Effect is valid for Turkey and causality analysis determined that there is a one-way causality relationship from inflation rate to interest rates (annual saving deposit interest rate).

Keywords

Fisher Effect, Co Integration, Causality, Turkey

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