667
Views
5
CrossRef citations to date
0
Altmetric
Research Article

Non-parametric analysis of the relationship between inflation and interest rate in the context of Fisher effect for Turkish economy

, , ORCID Icon &
Pages 758-768 | Received 23 Mar 2020, Accepted 26 May 2020, Published online: 21 Jun 2020

References

  • Anari, A., and J. Kolari. 2016. “Dynamics of Interest and Inflation Rates.” Journal of Empirical Finance 39 (Part A): 129–144. doi:10.1016/j.jempfin.2016.08.008.
  • Baek, E. G., and W. A. Brock. 1992. “A General Test for Nonlinear Granger Causality: Bivariate Model.” Working Paper. Ames, IA: Iowa State University and Madison. https://scinapse.io/papers/113987824
  • Bayat, T. 2011. “Türkiye’de Fisher Etkisinin Geçerliliği; Doğrusal Olmayan Eş Bütünleşme Yaklaşımı.” Erciyes Üniversitesi Iktisadi ve Idari Bilimler Dergisi 38: 47–60. doi:10.18070/euiibfd.00065.
  • Bell, D., J. Kay, and J. Malley. 1996. “A Non-parametric Approach to Non-linear Causality Testing.” Economics Letters 51 (1): 7–18. doi:10.1016/0165-1765(95)00791-1.
  • Berument, H., and M. M. Jelassi. 2002. “The Fisher Hypothesis: A Multi-Country Analysis.” Applied Economics 34 (13): 1645–1655. doi:10.1080/00036840110115118.
  • Bolatoğlu, N. 2006. “Türkiye’de Enflasyon ve Nominal Faiz Oranları Arasındaki Uzun Dönemli Ilişki: Fısher Etkisi.” Hacettepe Üniversitesi Iktisadi ve Idari Bilimler Dergisi 24 (2): 1–15. https://atif.sobiad.com/index.jsp?modul=makale-goruntule&id=AWV_uEvBHDbCZb_mQpLL.
  • Booth, G. G., and C. Ciner. 2001. “The Relationship between Nominal Interest Rates and Inflation: International Evidence.” Journal of Multinational Financial Management 11 (3): 269–280. doi:10.1016/S1042-444X(01)00030-5.
  • Brock, W. A., D. A. Hsieh, and B. LeBaron. 1991. Nonlinear Dynamics Chaos and Instability: Statistical Theory and Economic Evidence. Cambridge, MA: MIT Press. https://mitpress.mit.edu/books/nonlinear-dynamics-chaos-and-instability
  • Broock, W. A., J. A. Scheinkman, W. D. Dechert, and B. Lebaron. 1996. “A Test for Independence Based on the Correlation Dimension.” Econometric Reviews 15 (3): 197–235. doi:10.1080/07474939608800353.
  • Cioran, Z. 2014. “Monetary Policy, Inflation and the Causal Relation between the Inflation Rate and Some of the Macroeconomic Variables.” Procedia Economics and Finance 16: 391–401. doi:10.1016/S2212-5671(14)00818-1.
  • Cooray, A. 2003. “The Fisher Effect: A Survey.” The Singapore Economic Review 48 (2): 135–150. doi:10.1142/S0217590803000682.
  • Crowder, W. J., and D. L. Hoffman. 1996. “The Long-Run Relationship between Nominal Interest Rates and Inflation: The Fisher Equation Revisited.” Journal of Money, Credit, and Banking 28 (1): 102–118. doi:10.2307/2077969.
  • Diks, C., and V. Panchenko. 2006. “New Statistic and Practical Guidelines for Nonparametric Granger Causality Testing.” Journal of Economic Dynamics and Control 30 (9): 1647–1669. doi:10.1016/j.jedc.2005.08.008.
  • Doğan, B., O. Eroğlu, and O. Değer. 2016. “Enflasyon ve Faiz Oranları Arasındaki Nedensellik Ilişkisi: Türkiye Örneği.” Journal of the Faculty of Economics and Administrative Sciences 6 (1): 405–425. doi:10.18074/cnuiibf.258.
  • Erdem, E., and S. Kayhan. 2011. “The Taylor Rule in Estimating the Performance of Inflation Targeting Programs: The Case of Turkey.” Global Economy Journal 11 (1): 1–17. doi:10.2202/1524-5861.1718.
  • Evans, M. D., and K. K. Lewis. 1995. “Do Expected Shifts in Inflation Affect Estimates of the Long-Run Fisher Relations?” The Journal of Finance 50 (1): 225–253. doi:10.2307/2329244.
  • Fama, E. F. 1975. “Short-Term Interest Rates as Predictors of Inflation.” The American Economic Review 65 (3): 269–282. https://www.jstor.org/stable/1804833.
  • Friedman, M. 1968. “The Role of Monetary Policy.” American Economic Review 58 (1): 1–17. https://www.fep.up.pt/docentes/pcosme/CIF_1Ec101_2014/Freedman1968.pdf
  • Granville, B., and S. Mallick. 2004. “Fisher Hypothesis: UK Evidence over a Century.” Applied Economics Letters 11 (2): 87–90. doi:10.1080/1350485042000200169.
  • Gul, E., and S. Açıkalın. 2008. “An Examination of the Fisher Hypothesis: The Case of Turkey.” Applied Economics 40 (24): 3227–3231. doi:10.1080/00036840600994112.
  • Gürkaynak, R. S., M. Zeynep Kantur, A. Tas, and S. Yildirim. 2015. “Monetary Policy in Turkey after Central Bank Independence.” CESifo Working Paper, No. 5582. Munich: Center for Economic Studies and Ifo Institute (CESifo). http://hdl.handle.net/10419/123222
  • Hiemstra, C., and J. D. Jones. 1994. “Testing for Linear and Nonlinear Granger Causality in the Stock Price-Volume Relation.” Journal of Finance 49 (5): 1639–1664. doi:10.2307/2329266.
  • Kapetanios, G., Y. Shin, and A. Snell. 2006. “Testing for Cointegration in Nonlinear Smooth Transition Error Correction Models.” Econometric Theory 22 (2): 279–303. doi:10.1017/S0266466606060129.
  • Kesriyeli, M. 1994. “Policy Regime Changes and Testing for the Fisher and UIP Hypotheses: The Turkish Evidence.” The Central Bank of the Republic of Turkey, Discussion Paper. https://ideas.repec.org/p/tcb/dpaper/9411.html
  • Kose, N., F. Emirmahmutoglu, and S. Aksoy. 2012. “The Interest Rate–inflation Relationship under an Inflation Targeting.” Journal of Asian Economics 23 (4): 476–485. doi:10.1016/j.asieco.2012.03.001.
  • Linnemann, L. 2005. “Can Raising Interest Rates Increase Inflation?” Economics Letters 87 (3): 307–311. doi:10.1016/j.econlet.2004.12.020.
  • Maki, D. 2003. “Nonparametric Cointegration Analysis of the Nominal Interest Rate and Expected Inflation Rate.” Economics Letters 81 (3): 349–354. doi:10.1016/S0165-1765(03)00216-7.
  • Mishkin, F. S. 1981. “Monetary Policy and Long-Term Interest Rates; an Efficient Market Approach.” Journal of Monetary Economics 7 (1): 29–55. doi:10.1016/0304-3932(81)90050-7.
  • Mishkin, F. S. 1992. “Is the Fisher Effect for Real? A Reexamination of the Relationship between Inflation and Interest Rates.” Journal of Monetary Economics 30 (2): 195–215. doi:10.1016/0304-3932(92)90060-F.
  • Peng, W. 1995. “The Fisher Hypothesis and Inflation Persistence Evidence from Five Major Industrial Countries.” IMF Working Paper. doi:10.5089/9781451940824.001.
  • Pesaran, M. H., Y. Shin, and R. J. Smith. 2001. “Bounds Testing Approaches to the Analysis of Level Relationships.” Journal of Applied Econometrics 16 (3): 289-326. doi: 10.1002/(ISSN)1099-1255.
  • Seo, M. 2006. “Bootstrap Testing for the Null of No Cointegration in a Threshold Vector Error Correction Model.” Journal of Econometrics 134 (1): 129–150. doi:10.1016/j.jeconom.2005.06.018.
  • Simsek, M., and C. Kadılar. 2006. “Fisher Etkisinin Türkiye Verileri İle Testi.” Dogus Üniversitesi Dergisi 7 (1): 99–111. doi:10.31671/dogus.2019.265.
  • Su, L., and H. White. 2008. “A Nonparametric Hellinger Metric Test for Conditional Independence.” Econometric Theory 24 (4): 829–864. doi:10.1017/S0266466608080341.
  • Turgutlu, E. 2004. “Testing the Fisher Hypothesis: Fractional Unit Root and Fractional Cointegration Analysis.” Journal of FEAS Dokuz Eylul University 19: 55–74. https://www.researchgate.net/publication/292524291_Testing_the_Fisher_hypothesis_Fractional_unit_root_and_fractional_cointegration_analysis.
  • Yılancı, V. 2009. “Fisher Hipotezinin Türkiye İçin Sınanması: Doğrusal Olmayan Eşbütünleşme Analizi.” Atatürk Üniversitesi Iktisadi ve Idari Bilimler Dergisi 23 (4): 205–213. https://dergipark.org.tr/tr/pub/atauniiibd/issue/2671/34994.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.