Fi̇sher Hi̇potezi̇'ni̇n Panel Veri̇ Anali̇zi̇ İle Test Edi̇lmesi̇: Oecd Ülkeleri̇ Uygulamasi

Küçükaksoy, İsmail; Akalin, Güray

doi:10.17065/huniibf.303303

Cited by 25 publications

(4 citation statements)

References 26 publications

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“…The CADF test developed by Pesaran (2007) was developed from a cross-sectional point of view, the data analyses under horizontal cross-sectional dependence give reliable results, while both T>N and de N>T. Another feature of this test is that it is a heterogeneous test. The Pesaran CADF panel unit root test is based on the model given below (Küçükaksoy and Akalin, 2017). In case there is no correlation, the panel data model is like in Formula 4.…”

Section: Homogeneity Testmentioning

confidence: 99%

Use of Accounting-Based Models for Measurement of Financial Performance: Comparison of Altman Z'' and Mfa Score

GÖKTÜRK¹,

YALÇINKAYA²

2023

ФКДПТП

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The aim of this study is to try to identify the presence of a relationship between index results of the Altman Z'' Score and MFA Score Models and the market values of the firms and to determine which model is more effective among these models. In a comparison of the two models, which is the study subject, the service sector was specially chosen. The main reason for preferring the service sector is that Altman Z'' Score Model was formed by firstly modifying the original Altman Z'' Score Model for the firms in the USA (United States of America) Service Sector. However, later, it was identified and recommended that this model was also valid for the firms of developing countries, MFA Score Model is a model developed specifically for Turkey. It was desired to identify that it can be measured not only the financial failures of the firms of interest but also their possible achievements in the future and to compare both models. Thus, for middle and long-term investors, investment support information based on more scientific fundamentals will be introduced. In addition, a dataset which will support the decision processes of in-firm stakeholders other than investors will be reached. In order to be able to reach the aims of interest, BIST in the service sector was used in the study. In the study, panel time series co-integration data were used and, as a result, it was understood that Altman Z'' –Score Model made an effect of 36.3% to the firm value for a lagging of one period, while MFA Model made an effect of 51.9% to the firm value for a lagging of one period. According to this, it was identified that MFA model data were more effective in the prediction of firm value.

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Section: Homogeneity Testmentioning

confidence: 99%

Use of Accounting-Based Models for Measurement of Financial Performance: Comparison of Altman Z'' and Mfa Score

GÖKTÜRK¹,

YALÇINKAYA²

2023

ФКДПТП

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“…The findings show that long-term interest rates are affected by monetary policy and the weak version of Fisher effect is weakly valid. Küçükaksoy and Akalın (2017) tested the validity of the Fisher hypothesis for OECD countries using dynamic panel data analysis for the period of 1995:Q1-2014:Q4. They provide evidence in favor of the Fisher hypothesis.…”

Section: Testing the Validity Of Fisher Hypothesis In Oecd Countriesmentioning

confidence: 99%

Fi̇sher Hi̇potezi̇ni̇n Geçerli̇li̇ği̇ni̇n Oecd Ülkeleri̇ İçi̇n Sinanmasi

Coşkun¹

2020

Cankiri Karatekin Universitesi Iktisadi Ve Idari Bilimler Fakultesi Dergisi

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Bu çalışmada Fisher hipotezinin geçerliliği 15 OECD ve Avrupa Birliği (19 ülke) ülkesi için 2002-2017 aralığı esas alınarak sınanmıştır. Nominal faiz oranı ve tüketici fiyat endeksi ile hesaplanan beklenen enflasyon oranı serilerinin durağanlığı yatay kesit bağımlılığı dikkate alan Bai ve Ng ( 2004) birim kök testi ile sınanmıştır. Daha sonra seriler arasındaki eşbütünleşme ilişkisi Westerlund ( 2008) tarafından önerilen test ile araştırılmıştır. Analiz sonuçlarına göre ele alınan dönem ve ülkeler için serilerin eşbütünleşik olduğu sonucuna ulaşılmıştır. Son olarak beklenen enflasyon ve nominal faiz oranı arasındaki ilişki AMG (Augmented Mean Group) tahmincisi ile test edilmiştir. Elde edilen sonuçlara göre birden daha düşük bir katsayı elde edildiğinden zayıf Fisher hipotezininin geçerli olduğunu sonucuna ulaşılmıştır.

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“…The existing literature working on Fisher hypothesis in Turkey, Aksoy and Kutan (2003); Turgutlu (2004); Kadılar and Şimşek (2006); Gül and Açıkalın, (2008); İncekara et al ( 2012) Köse et al (2012); Mercan (2013); Omay et al (2016); Küçükaksoy and Akalın (2017) obtained findings supporting the Fisher hypothesis, Çakmak et al (2002); Yılancı (2009); Bayat, (2011) obtained that interest rates are unaffected by inflation. In addition, studies in which the Neo-Fisher effect is tested for the Turkish economy, Tayyar (2019) for the period 2002:1-2014:5 by using Toda-Yamamoto causality analysis and Sümer (2020) for the period 2010:5-2019:12 by…”

mentioning

confidence: 99%

Interest Rate and Inflation: Is there a Fisher or Neo-Fisher Effect? Evidence from Turkey

OLGUN

2022

Yönetim Bilimleri Dergisi

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In this study, we empirically analyze the relationship between the interest rate and inflation within the content of the Fisher and Neo-Fisher effect for Turkey. Considering the recent elevated discussion of inflation and interest rate, our paper re-examines this relationship using an extended sample covering recent dates to address these discussions. We employ a time-varying robust causality approach, accounting for structural breaks, helping us to analyze the degree of relation between Turkey’s inflation rate and interest rate over the monthly period 2012-2021 of our research. Our main results point out a bidirectional causal relationship in the existence of the Fisher and Neo-Fisher effect in terms of the variables in the corresponding period in Turkey. However, after 2018 the Neo-Fisher effect has become more significant in Turkey. Bu çalışmada, Türkiye için Fisher ve Neo-Fisher etkisi kapsamında faiz oranı ve enflasyon arasındaki ilişki ampirik olarak analiz edilmiştir. Enflasyon ve faiz oranlarıyla ilgili son zamanlarda yükselen tartışma göz önünde bulundurulduğunda, makalemizde bu tartışmaları ele almak için yakın tarihleri kapsayan genişletilmiş bir örneklem kullanılmış, bu ilişki yeniden incelenmiştir. Araştırmada 2012-2021 dönemi aylık periyodlar için, Türkiye'nin enflasyon oranı ile faiz oranı arasındaki ilişkinin derecesini analiz etmemize yardımcı olan, yapısal kırılmaları hesaba katan, zamana göre değişen güçlü bir nedensellik yaklaşımı kullanılmıştır. Temel sonuçlarımız, Türkiye'de ilgili dönemdeki değişkenler açısından Fisher ve Neo-Fisher etkisinin varlığında çift yönlü bir nedensellik ilişkisine işaret etmektedir. Ancak 2018 yılından sonra Türkiye'de Neo-Fisher etkisi daha belirgin hale gelmiştir.

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Fi̇sher Hi̇potezi̇'ni̇n Panel Veri̇ Anali̇zi̇ İle Test Edi̇lmesi̇: Oecd Ülkeleri̇ Uygulamasi

Cited by 25 publications

References 26 publications

Use of Accounting-Based Models for Measurement of Financial Performance: Comparison of Altman Z'' and Mfa Score

Use of Accounting-Based Models for Measurement of Financial Performance: Comparison of Altman Z'' and Mfa Score

Fi̇sher Hi̇potezi̇ni̇n Geçerli̇li̇ği̇ni̇n Oecd Ülkeleri̇ İçi̇n Sinanmasi

Interest Rate and Inflation: Is there a Fisher or Neo-Fisher Effect? Evidence from Turkey

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