IDEAS home Printed from https://ideas.repec.org/a/sdo/regaec/v25y2016i2_8.html
   My bibliography  Save this article

Interest Rates, Fisher Effect And Economic Development In Turkey, 1989-2011

Author

Listed:
  • Selahattin GURIS
  • Burak GURIS
  • Turgut UN

Abstract

This paper investigates the validity of the Fisher Hypothesis in Turkey covering the period 2003 – 2012. To test validity of Fisher Hypothesis, this paper uses an Autoregressive Distributed Lag test for threshold cointegration recently introduced in the literature by Li and Lee (2010). The empirical results which are obtained from this paper indicate that Fisher hypothesis is valid for Turkey, meaning nominal interest rates would be an important leading indicator for inflation.

Suggested Citation

  • Selahattin GURIS & Burak GURIS & Turgut UN, 2016. "Interest Rates, Fisher Effect And Economic Development In Turkey, 1989-2011," Revista Galega de Economía, University of Santiago de Compostela. Faculty of Economics and Business., vol. 25(2), pages 95-100.
    • Handle: RePEc:sdo:regaec:v:25:y:2016:i:2_8
    as

    Download full text from publisher

    File URL: https://revistas.usc.gal/index.php/rge/article/view/3740
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Tsangyao Chang, 2012. "Nonlinear adjustment to purchasing power parity in China," Applied Economics Letters, Taylor & Francis Journals, vol. 19(9), pages 843-848, June.
    2. Dimitris K. Christopoulos & Miguel A. Le√N-Ledesma, 2007. "A Long-Run Non-Linear Approach to the Fisher Effect," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(2-3), pages 543-559, March.
    3. Atkins, Frank J. & Coe, Patrick J., 2002. "An ARDL bounds test of the long-run Fisher effect in the United States and Canada," Journal of Macroeconomics, Elsevier, vol. 24(2), pages 255-266, June.
    4. Salah Nusair, 2008. "Testing for the Fisher hypothesis under regime shifts: an application to Asian countries," International Economic Journal, Taylor & Francis Journals, vol. 22(2), pages 273-284.
    5. Guochen Pan & Tsangyao Chang & D.P. Tang & Chia-Hao Lee, 2012. "Nonlinear adjustment to purchasing power parity in Latin American countries: the ADL test for threshold cointegration," Applied Economics Letters, Taylor & Francis Journals, vol. 19(9), pages 857-862, June.
    6. Peter Boswijk, H., 1994. "Testing for an unstable root in conditional and structural error correction models," Journal of Econometrics, Elsevier, vol. 63(1), pages 37-60, July.
    7. Siyue Liu & Tsangyao Chang & Chia-Hao Lee & Pei-I Chou, 2012. "Nonlinear adjustment to purchasing power parity: the ADL test for threshold cointegration," Applied Economics Letters, Taylor & Francis Journals, vol. 19(6), pages 569-573, April.
    8. Jing Li & Junsoo Lee, 2010. "ADL tests for threshold cointegration," Journal of Time Series Analysis, Wiley Blackwell, vol. 31(4), pages 241-254, July.
    9. Ekrem Gul & Sezgin Acikalin, 2008. "An examination of the Fisher Hypothesis: the case of Turkey," Applied Economics, Taylor & Francis Journals, vol. 40(24), pages 3227-3231.
    10. Yang-Cheng Ralph Lu & Tsangyao Chang & Chia-Hao Lee, 2012. "Nonlinear adjustment to purchasing power parity in transition countries: the ADL test for threshold cointegration," Applied Economics Letters, Taylor & Francis Journals, vol. 19(7), pages 629-633, May.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Burak Güriş & Yaşar Yaşgül, 2015. "Does the Fisher hypothesis hold for the G7 countries? Evidence from ADL threshold cointegration test," Quality & Quantity: International Journal of Methodology, Springer, vol. 49(6), pages 2549-2557, November.
    2. Hüseyin Şen & Ayşe Kaya & Savaş Kaptan & Metehan Cömert, 2019. "Interest rates, inflation, and exchange rates in fragile EMEs: A fresh look at the long-run interrelationships," Working Papers halshs-02095652, HAL.
    3. Aziza Syzdykova, 2018. "The Relationship between the Oil Price Shocks and the Stock Markets: The Example of Commonwealth of Independent States Countries," International Journal of Energy Economics and Policy, Econjournals, vol. 8(6), pages 161-166.
    4. Hiroshi Ono, 2014. "The government expenditure-economic growth relation in Japan: an analysis by using the ADL test for threshold cointegration," Applied Economics, Taylor & Francis Journals, vol. 46(28), pages 3523-3531, October.
    5. Mehmet Fatih Tra? & Esra Ball? & Çiler Sigeze, 2016. "Testing for Purchasing Power Parity for Selected CIS Countries Using the Sieve Bootstrap," Proceedings of International Academic Conferences 3506095, International Institute of Social and Economic Sciences.
    6. Bekő Jani & Boršič Darja, 2018. "Testing the Purchasing Power Parity Hypothesis: Case of ASEAN Economies," Naše gospodarstvo/Our economy, Sciendo, vol. 64(4), pages 74-85, December.
    7. Muhammed TIRAŞOĞLU, 2018. "Fisher Hipotezinin MINT Ülkeleri İçin İncelenmesi: Eşik Değerli Adl Eşbütünleşme Testi Yaklaşımı," EKOIST Journal of Econometrics and Statistics, Istanbul University, Faculty of Economics, vol. 14(28), pages 31-43, December.
    8. Andrew Phiri, 2017. "Nonlinear adjustment effects in the purchasing power parity," Journal of Economics and Econometrics, Economics and Econometrics Society, vol. 60(2), pages 14-38.
    9. Soon, Siew-Voon & Baharumshah, Ahmad Zubaidi & Mohamad Shariff, Nurul Sima, 2017. "The persistence in real interest rates: Does it solve the intertemporal consumption behavior puzzle?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 50(C), pages 36-51.
    10. Sunal, Onur, 2022. "The efficiency of primary sovereign bond markets in Turkey: The so-called Fisher puzzle reconsidered," Economic Analysis and Policy, Elsevier, vol. 73(C), pages 255-261.
    11. Tsangyao Chang & Chia-hao Lee & Pei-I Chou, 2011. "Purchasing power parity in G-7 countries: Further evidence based on ADL test for threshold cointegration," Economics Bulletin, AccessEcon, vol. 31(2), pages 1172-1182.
    12. Panopoulou, Ekaterini & Pantelidis, Theologos, 2016. "The Fisher effect in the presence of time-varying coefficients," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 495-511.
    13. Somayeh Madadpour & Mohsen Asgari, 2019. "The puzzling relationship between stocks return and inflation: a review article," International Review of Economics, Springer;Happiness Economics and Interpersonal Relations (HEIRS), vol. 66(2), pages 115-145, June.
    14. E. N. Gyamfi & E. F. Appiah, 2019. "Further evidence on the validity of purchasing power parity in selected African countries," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 43(2), pages 330-343, April.
    15. Jing Li, 2017. "System-Equation ADL Test for Threshold Cointegration with an Application to the Term Structure of Interest Rates," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 79(1), pages 1-24, February.
    16. Bahmani-Oskooee, Mohsen & Chang, Tsangyao & Yang, Ming-Hsien & Yang, Hong-Lǜe, 2016. "Revisiting real interest rate parity in BRICS countries using ADL test for threshold cointegration," Economic Analysis and Policy, Elsevier, vol. 51(C), pages 86-89.
    17. Boršič Darja & Bekő Jani, 2018. "Purchasing power parity in ASEAN+3: an application of panel unit root tests," Croatian Review of Economic, Business and Social Statistics, Sciendo, vol. 4(1), pages 42-52, June.
    18. Lee Hyejin & Lee Junsoo & Im Kyungso, 2015. "More powerful cointegration tests with non-normal errors," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 19(4), pages 397-413, September.
    19. Giorgio Canarella & Luis A. Gil-Alana & Rangan Gupta & Stephen M. Miller, 2020. "The Behavior of Real Interest Rates: New Evidence from a ``Suprasecular" Perspective," Working Papers 202093, University of Pretoria, Department of Economics.
    20. Kai-Hua WANG & Chi-Wei SU & Hsu-Ling CHANG & Ji MA & Cristina IOVU, 2017. "Purchasing Power Parity In China: An Empirical Investigation Based On Bootstrap Rollingwindow Test," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 166-181, December.

    More about this item

    Keywords

    ADL threshold cointegration test; Fisher hypothesis.;

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:sdo:regaec:v:25:y:2016:i:2_8. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Marisa Chas-Amil (email available below). General contact details of provider: https://edirc.repec.org/data/feusces.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.