PANEL ECONOMETRIC ANALYSIS OF FISHER AND NEO-FISHER EFFECTS OF INFLATION AND INTEREST RELATIONSHIP

Sefa Özbek; Seyhan Taş

Makale detayları

PANEL ECONOMETRIC ANALYSIS OF FISHER AND NEO-FISHER EFFECTS OF INFLATION AND INTEREST RELATIONSHIP

Yazarlar:

Sefa Özbek | Seyhan Taş

Yayıncı:

Sakarya University

Ana Başlıklar:

Ekonomi

Dergi:

Sakarya Üniversitesi İktisat Dergisi Vol.12 Issue 1, pp.83-109

Belge Tipi:

Makale

Yayın Tarihi:

3/2023

Belge Dili:

Türkçe

Document ID (Org No.):

2001286000

pISSN:

2147-0790

Anahtar kelimeler:

Özet:

 Inflation and interest rate, which are among the main macroeconomic variables, have started to come up again in the recent economic conjuncture. In an inflationary environment, the decision-making processes of economic decision-makers become difficult, speculative mobility increases, uncertainty and income distribution injustice increase. It was stated by Fisher 1930 that the nominal interest rate should be increased in order to maintain the falling real interest rate. Thus, it is argued that economic units will maintain their purchasing power. However, with the 2000s, the idea that the relationship between inflation and interest rate is towards inflation in the interest rate has been put forward. This view is called the Neo-Fisher hypothesis. It is argued that, especially in developed economies, since low interest rates cause low inflation, total demand will be revived with interest rate increases. Westerlund 2006, Westerlund and Edgerton 2008 panel cointegration tests were used in the empirical analysis using the 2002:Q1-2019:Q2 sample period data of selected developed and emerging economies. Empirical findings in the study using AMG and CCE cointegration estimators revealed that the Fisher hypothesis was valid in both country groups. Panel causality findings differ from country to country.

 Inflation and interest rate, which are among the main macroeconomic variables, have started to come up again in the recent economic conjuncture. In an inflationary environment, the decision-making processes of economic decision-makers become difficult, speculative mobility increases, uncertainty and income distribution injustice increase. It was stated by Fisher 1930 that the nominal interest rate should be increased in order to maintain the falling real interest rate. Thus, it is argued that economic units will maintain their purchasing power. However, with the 2000s, the idea that the relationship between inflation and interest rate is towards inflation in the interest rate has been put forward. This view is called the Neo-Fisher hypothesis. It is argued that, especially in developed economies, since low interest rates cause low inflation, total demand will be revived with interest rate increases. Westerlund 2006, Westerlund and Edgerton 2008 panel cointegration tests were used in the empirical analysis using the 2002:Q1-2019:Q2 sample period data of selected developed and emerging economies. Empirical findings in the study using AMG and CCE cointegration estimators revealed that the Fisher hypothesis was valid in both country groups. Panel causality findings differ from country to country.

 Inflation and interest rate, which are among the main macroeconomic variables, have started to come up again in the recent economic conjuncture. In an inflationary environment, the decision-making processes of economic decision-makers become difficult, speculative mobility increases, uncertainty and income distribution injustice increase. It was stated by Fisher 1930 that the nominal interest rate should be increased in order to maintain the falling real interest rate. Thus, it is argued that economic units will maintain their purchasing power. However, with the 2000s, the idea that the relationship between inflation and interest rate is towards inflation in the interest rate has been put forward. This view is called the Neo-Fisher hypothesis. It is argued that, especially in developed economies, since low interest rates cause low inflation, total demand will be revived with interest rate increases. Westerlund 2006, Westerlund and Edgerton 2008 panel cointegration tests were used in the empirical analysis using the 2002:Q1-2019:Q2 sample period data of selected developed and emerging economies. Empirical findings in the study using AMG and CCE cointegration estimators revealed that the Fisher hypothesis was valid in both country groups. Panel causality findings differ from country to country.

 Temel makroekonomik değişkenler arasında yer alan enflasyon ve faiz oranı, son dönem ekonomik konjonktürde yeniden gündeme gelmeye başlamıştır. Enflasyonist bir ortamda ekonomik karar birimlerinin karar alma süreçlerinin güç hale gelmesi, spekülatif hareketliliğin artması, belirsizlik ve gelir dağılımı adaletsizliğinin yükselmesi durumları meydana gelmektedir. Fisher 1930 tarafından düşen reel faiz oranının korunması için nominal faiz oranının artırılması gerektiği ifade edilmiştir. Böylece ekonomik birimlerin satın alma güçlerini koruyacağı ileri sürülmektedir. Ancak 2000li yıllar ile birlikte enflasyon ile faiz oranı ilişkisinin faiz oranından, enflasyona doğru olduğu fikri ortaya atılmıştır. Söz konusu görüş Neo-Fisher hipotezi olarak adlandırılmaktadır. Özellikle gelişmiş ekonomilerde, düşük faiz oranının, düşük enflasyona sebep olduğundan yola çıkılarak faiz oranı artışları ile toplam talebin canlanacağı ileri sürülmektedir. Bu çalışmada, enflasyon-faiz oranı ilişkisi Fisher ve Neo-Fisher hipotezleri kapsamında incelenmektedir. Seçilmiş gelişmiş ve gelişmekte olan ekonomilere ait 2002:Ç1-2019:Ç2 örneklem dönemi verileri kullanılarak yapılan ampirik analizde Westerlund 2006 ile Westerlund ve Edgerton 2008 panel eşbütünleşme testleri kullanılmıştır. AMG ve CCE eşbütünleşme tahmincilerinden yaralanılan çalışmada ampirik bulgular iki ülke grubunda da Fisher hipotezinin geçerli olduğunu ortaya koymuştur. Panel nedensellik bulguları ise ülkelere göre farklılık göstermektedir.

Makale detayları

PANEL ECONOMETRIC ANALYSIS OF FISHER AND NEO-FISHER EFFECTS OF INFLATION AND INTEREST RELATIONSHIP

Yazarlar:

Sefa Özbek | Seyhan Taş

Yayıncı:

Sakarya University

Ana Başlıklar:

Ekonomi

Dergi:

Sakarya Üniversitesi İktisat Dergisi Vol.12 Issue 1, pp.83-109

Belge Tipi:

Makale

Yayın Tarihi:

3/2023

Belge Dili:

Türkçe

Document ID (Org No.):

2001286000

pISSN:

2147-0790

Fisher Hypothesis

Neo-Fisher Hypothesis

Cross Section Dependency

Panel Data Analysis.

Fisher Hipotezi

Neo-Fisher Hipotezi

Yatay Kesit Bağımlılığı

Panel Veri Analizi.

Sayı

Makale detayları

Yazarlar: Sefa Özbek | Seyhan Taş

Yayıncı: Sakarya University

Ana Başlıklar: Ekonomi

Dergi: Sakarya Üniversitesi İktisat Dergisi Vol.12 Issue 1, pp.83-109

Belge Tipi: Makale

Yayın Tarihi: 3/2023

Belge Dili: Türkçe

Document ID (Org No.): 2001286000

pISSN: 2147-0790

Sayı

Yazarlar:

Sefa Özbek | Seyhan Taş

Yayıncı:

Sakarya University

Ana Başlıklar:

Ekonomi

Dergi:

Sakarya Üniversitesi İktisat Dergisi Vol.12 Issue 1, pp.83-109

Belge Tipi:

Makale

Yayın Tarihi:

3/2023

Belge Dili:

Türkçe

Document ID (Org No.):

2001286000

pISSN:

2147-0790