Fisher Hipotezinin MINT Ülkeleri İçin İncelenmesi: Eşik Değerli Adl Eşbütünleşme Testi Yaklaşımı

Yıl 2018, Cilt: 14 Sayı: 28, 31 - 43, 31.07.2018

Muhammed Tıraşoğlu

Öz

Faiz oranları ile enflasyon arasındaki ilişki, ekonominin ilgi çeken konuları arasındadır. Bu çalışmada, MINT ülkelerinde

nominal faiz oranı ile beklenen enflasyon arasındaki ilişki Fisher hipotezi çerçevesinde incelenmiştir. Çalışmada 1990-2017

yılları arası aylık veriler kullanılmıştır. Analizler doğrusal olmayan zaman serisi alanın güncel konularından olan eşik değerli

otoregresif gecikmesi dağıtılmış [Autoregressive Distributed Lag (ADL)] eşbütünleşme testi ile gerçekleştirilmiştir. Elde

edilen sonuçlara göre, nominal faiz oranı ile beklenen enflasyon arasında eşik değerli eşbütünleşme ilişkisinin olduğu, yani

MINT ülkelerinde Fisher hipotezinin geçerli olduğu belirlenmiştir.

Anahtar Kelimeler

Fisher Hipotezi, ADL Eşbütünleşme Testi, Doğrusal olmama, MINT ülkeleri

An Examination of Fisher Hypothesis for MINT Countries: Threshold Adl Cointegration Test Approach

Öz

The relationship between interest rates and inflation is among the interesting topics of the economy. In this study, the

relationship between the nominal interest rate and the expected inflation for MINT countries was examined in the

context of the Fisher hypothesis. Monthly data from 1990 to 2017 were used in the study. Analyses were performed with

threshold autoregressive distributed lag (ADL) cointegration test, which is from the current issues of the nonlinear time

series. According to the results obtained, it is determined that there is a threshold cointegration relation between the

nominal interest rate and the expected inflation, that is, the Fisher hypothesis is valid for MINT countries.

Anahtar Kelimeler

Fisher Hypothesis, ADL Cointegration Test, Nonlinearity, MINT Countries

Kaynakça

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