Cointegration analysis of the inverted Fisher effect: evidence from Belgium, France and Germany

Choudhry, T.

doi:10.1080/758518506

Cited by 9 publications

(4 citation statements)

References 8 publications

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“…Çalışmada yapılan regresyon analizi sonucunda, beklenen enflasyon oranları ve reel faiz oranları değişkenleri arasında negatif yönlü bir ilişkinin var olduğu tespit edilmiştir. Choudhry (1997), Fransa, Almanya ve Belçika ekonomisinde 1955:Q1-1994:Q4 dönemine ait verileri kullanarak Fisher etkisini sınamıştır. Çalışmada, faiz oranları için; kısa dönemde, Fransa ve Almanya için bankalar arası gecelik faiz verileri, Belçika için hazine bonosu faiz verileri; uzun dönemde ise her üç ülke için de devlet tahvili faiz verileri kullanılmış ve enflasyon oranları için; her üç ülke için de yıllıklandırılmış 3'er aylık TÜFE verileri kullanılmıştır.…”

Section: Literatür Taramasıunclassified

Fisher Etkisinin Türkiye Örnekleminde Değerlendirilmesi

Polat¹

2020

Anemon Muş Alparslan Üniversitesi Sosyal Bilimler Dergisi

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Bu çalışmada; Türkiye'de nominal faiz oranlarının enflasyona olan etkisi, 2004:M01-2019:M08 dönemi TÜFE, ÜFE, tüketici kredileri faiz oranı ve ticari kredilerin faiz oranı verileri kullanılarak araştırılmıştır. Uzun dönem analizi sonucunda; Türkiye'de 2004-2019 döneminde tüketici kredilerinin faizlerindeki %1'lik artışın tüketici enflasyonunu %0.33, ticari kredilerin faizlerindeki %1'lik artışın üretici fiyatları enflasyonunu %0.59 artırdığı tespit edilmiştir. Kısa dönem analizi sonucunda; enflasyonun bir dönem gecikmeli değerlerinin pozitif ve istatistiksel olarak anlamlı olması, Türkiye'deki enflasyonda yapısal bir durumun söz konusu olduğunu göstermektedir. Çalışmanın sonucunda, TÜFE'den tüketici kredileri faiz oranlarına doğru tek yönlü, ÜFE ile ticari kredilerin faiz oranları arasında iki yönlü nedensellik ilişkisi tespit edilmiştir. Ayrıca, tüketici kredilerinin faiz oranları ile ticari kredilerin faiz oranları arasında da iki yönlü güçlü nedensellik ilişkileri tespit edilmiştir.

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Section: Literatür Taramasıunclassified

Fisher Etkisinin Türkiye Örnekleminde Değerlendirilmesi

Polat¹

2020

Anemon Muş Alparslan Üniversitesi Sosyal Bilimler Dergisi

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“…In other words, while nominal interest rates could not be adapted for inflationary changes, real interest rates interact with inflation rate in the negative direction. Thus, in classical Fisher equation, monetary policy changes would not affect nominal interest rates and the trend would be a stable process (Choudhry, 1997).…”

Section: Introductionmentioning

confidence: 99%

Dynamics of the Relationship between Inflation and Interest Rates: Testing For the Fisher Hypothesis with Structural Break(S) and Parameter Stability

Abasız,

Akbarelıeve,

Bulut

2024

JEFMS

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In the present study, the Fisher hypothesis that considers a one-to-one and unidirectional relationship between inflation and interest rates was tested using a quarterly frequency dataset for E-7 countries. Due to the fact that parameter constancy was not established in the study, Arai & Kurozumu and Kejriwal test techniques were used and it was found that Fisher effect was valid in weak and strong forms for country groups excluding Russia. At the same time, due to the fact that coefficient indicator modulus observed in slope parameters after structural changes had negative values, contractionary monetary policies in these economies where inflation targeting strategies were implemented resulted in weakening of the relationship between inflation and interest rate variables.

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“…A significant amount of research has been conducted in developed countries and emerging economies to prove and establish this hypothesis: among the most recent papers are those by Mishkin (1992), Crowder and Hoffman (1996), Fahmy and Kandil (2003), Junttila (2001), Muscatelli and Spinelli (2000), Esteve et al (2003), Choudhry (1997), Yuhn (1996), Lardic and Mignon (2003), Dutt and Ghosh (1995), Hawtrey (1997), Koustas and Serletis (1999) and Mishkin and Simon (1995), Garcia (1993), Miyagawa and Morita (2003), Carneiro et al (2002), Lee et al (1998), Phylaktis and Blake (1993), Jorgensen and Terra (2003), Atkins and Serletis (2002), Ghazali and Ramlee (2003), Wesso (2000), Laatsch and Klien (2002), Tillmann (2004) and Sheefeni (2013).…”

Section: Introductionmentioning

confidence: 99%

ARDL Bounds Testing Approach to Cointegration: A Re-Examination of Augmented Fisher Hypothesis in an Open Economy

Alimi

2014

5009

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This paper investigated the relationship between expected inflation and nominal interest rates in Nigeria and the extent to which the Fisher effect hypothesis holds, for the period 1970-2012. We attempted to advance the field by testing the traditional closed-economy Fisher hypothesis and an augmented Fisher hypothesis by incorporating the foreign interest rate and nominal effective exchange rate variable in the context of a small open developing economy, such as, Nigeria. We applied ARDL bound testing, vector error correction (VECM) and stability of the functions was also tested by CUSUM and CUSUMSQ. We found that full Fisher hypothesis does not hold but there is a Fisher effect in the case of Nigeria over the period under study. In the context of an open economy, the study showed that aside expected inflation, the international variables - foreign interest and nominal effective exchange rates - contain information that predict the nominal interest rate and it also suggested a feed-back mechanism between nominal interest rate and foreign interest rate. Finally, CUSUM test confirms the long-run relationships between the variables and also shows the stability of the coefficients.

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Cointegration analysis of the inverted Fisher effect: evidence from Belgium, France and Germany

Abstract: This paper investigates the inverted Fisher effect in Belgium, France and Germany during 1955-94 using the cointegration method. Cointegration tests of two different null hypotheses, cointegration and no cointegration, are applied. Little support is found for the inverted Fisher effect.

Cited by 9 publications

References 8 publications

Fisher Etkisinin Türkiye Örnekleminde Değerlendirilmesi

Fisher Etkisinin Türkiye Örnekleminde Değerlendirilmesi

Dynamics of the Relationship between Inflation and Interest Rates: Testing For the Fisher Hypothesis with Structural Break(S) and Parameter Stability

ARDL Bounds Testing Approach to Cointegration: A Re-Examination of Augmented Fisher Hypothesis in an Open Economy

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