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S. PINAR GÜREL: The Validity of the Fisher Effect for an Inflation Targeting Country: the Case of Turkey
698 EKONOMSKI PREGLED, 72 (5) 697-717 (2021)
1. INTRODUCTION
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4.1. Data
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Table 1:
DATA DESCRIPTION
Symbol Variable
Short term interest rates
1month PRQWKZHLJKWHGDYHUDJHGHSRVLWUDWH
3months PRQWKZHLJKWHGDYHUDJHGHSRVLWUDWH
PRQWKV PRQWKZHLJKWHGDYHUDJHGHSRVLWUDWH
&%SROLF\ &HQWUDO%DQNRIWKH5HSXEOLFRI7XUNH\SROLF\UDWH
&%GLVFRXQW &HQWUDO%DQNRIWKH5HSXEOLFRI7XUNH\GLVFRXQWUDWH
Mid- term interest rates
\HDUGHSR \HDUZHLJKWHGDYHUDJHGHSRVLWUDWH
\HDUERQG \HDUPDWXULW\JRYHUQPHQWERQG
Long-term interest rates
\HDUVERQG \HDUVPDWXULW\JRYHUQPHQWERQG
\HDUVERQG \HDUVPDWXULW\JRYHUQPHQWERQG
\HDUVERQG \HDUVPDWXULW\JRYHUQPHQWERQG
Inf &RQVXPHU3ULFH,QGH[
6RXUFH&HQWUDO%DQNRI7KH5HSXEOLFRI7XUNH\&%57,QWHUQDWLRQDO)LQDQFLDO6WDWLVWFLV,)6
S. PINAR GÜREL: The Validity of the Fisher Effect for an Inflation Targeting Country: the Case of Turkey
EKONOMSKI PREGLED, 72 (5) 697-717 (2021) 705
Table 2:
DESCRIPTIVE STATISTICS
7DEOHUHSRUWVWKHPLQLPXPPD[LPXPYDOXHVDQGÀUVWIRXUVDPSOHPR
PHQWVRIWKHLQWHUHVWUDWHVDQGLQÁDWLRQ7KHPHDQRIWKHLQWHUHVWUDWHVOLHVEHWZHHQ
DQGDQG&HQWUDO%DQNGLVFRXQWUDWH&%GLVFRXQWKDVWKHODUJHVWORQJ
UXQPHDQRYHUDOOLQWHUHVWUDWHVZKLOH&HQWUDO%DQNSROLF\UDWH&%SROLF\
KDV WKH VPDOOHVW VDPSOH ORQJUXQ PHDQ &%GLVFRXQW KDV DOVR WKH ODUJHVW
VDPSOHVWDQGDUGGHYLDWLRQZKLOHWKHORQJHVWLQWHUHVWUDWH\HDUVERQGKDVWKH
VPDOOHVWVDPSOHVWDQGDUGGHYLDWLRQDVH[SHFWHG
7KHÀUVWVWHSLQWKHDQDO\VLVZDVWRSHUIRUPWKHXQLWURRWWHVWVWRGHWHUPLQH
WKHRUGHURILQWHJUDWLRQRIWKHYDULDEOHV)RUWKLVSXUSRVHWKHFRQYHQWLRQDO$XJ
PHQWHG'LFNH\²)XOOHU$')DQG3KLOOLSVDQG3HUURQ33WHVWVZHUHXWLOLVHG7D
EOH)XUWKHUPRUHWKH=LYRW²$QGUHZVXQLWURRWWHVWZLWKVWUXFWXUDOEUHDNV
ZDV DOVR DSSOLHG WR DGGUHVV WKH LVVXH RI SRVVLEOH VWUXFWXUDO EUHDNV LQ WKH VHULHV
S. PINAR GÜREL: The Validity of the Fisher Effect for an Inflation Targeting Country: the Case of Turkey
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LJQRULQJWKHH[LVWHQFHRIVWUXFWXUDOEUHDNVFRXOGOHDGXVWRIDOVHDFFHSWDQFH
RIXQLWURRWV7KH$')DQG33WHVWVODFNHGSRZHULQWKHSUHVHQFHRIVWUXFWXUDO
EUHDNVLQWKHVHULHV7KHVWUXFWXUDOEUHDNXQLWURRWWHVWVDOORZHGXVWRÀQGVWDWLRQ
DULW\LQWLPHVHULHVLQWKHFDVHRIWKHH[LVWHQFHRIVWUXFWXUDOEUHDNV7KHWHVWUHVXOWV
RI=LYRW²$QGUHZVDUHUHSRUWHGLQ7DEOH=LYRW²$QGUHZVSURSRVHGWKUHHGLIIHU
HQWPRGHOV0RGHO$DOORZVIRUDRQHWLPHVWUXFWXUDOFKDQJHLQWKHPHDQRIWKH
VHULHV0RGHO%DOORZVIRUDFKDQJHLQWKHVORSHRIWKHWUHQGIXQFWLRQDQG0RGHO
&DOORZVDFKDQJHERWKLQWKHPHDQDQGWKHVORSHRIWKHWUHQG1XVDLU,Q
WKHVWXG\IROORZLQJ6HQ0RGHO&ZDVDSSOLHG1.
Table 3:
ADF PP
Variables
Level First diff. Level First diff.
Short term interest rates
1 month deposit
0.07
3 months deposit
PRQWKVGHSRVLW
0.758
&%SROLF\
0.188
&%GLVFRXQW
Mid-term interest rates
\HDUGHSRV 0.873
1.005
\HDUERQG
Long-term interest rates
\HDUVERQG
\HDUVERQG
\HDUVERQG
,QÁDWLRQ 0.553
1RWH
DQG
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1
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FRQÀUPWKHDVVXPSWLRQVIRUWKH$5'/DQG1$5'/PRGHOV
Table 4:
=,927$1'5(:621(%5($.6758&785$/81,752277(67
%RXQGVWHVWVZHUHFRQGXFWHGWRUHYHDOZKHWKHUWKHVHULHVDUHFRLQWHJUDWHG
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DQGQRQOLQHDUPRGHOVDUHUHSRUWHGLQ7DEOHDQG7DEOHUHVSHFWLYHO\%DVHGRQ
WKHOLQHDU$5'/UHVXOWVVKRZQLQ7DEOHLQWKHVKRUWWHUPLQWHUHVWUDWHVWKHHYL
GHQFHLQIDYRXURIFRLQWHJUDWLRQLVTXLWHVWURQJFRLQWHJUDWLRQLVUHMHFWHGIRURQO\
ORQJWHUPLQWHUHVWUDWHVDQGLQFRQFOXVLYHIRU0RGHO+RZHYHULQ0RGHOWKH
HUURUFRUUHFWLRQWHUPLVVLJQLÀFDQWDQGKDVDQHJDWLYHYDOXHZKLFKLQGLFDWHVWKDW
GHSHQGHQWYDULDEOHFRQYHUJHVWRORQJUXQHTXLOLEULXP6KRUWWHUPLQWHUHVWUDWHVDUH
FRLQWHJUDWHGZLWKLQÁDWLRQUDWHLQOLQHDU$5'/PRGHOV*RYHUQPHQWERQGVZLWK
GLIIHUHQWPDWXULWLHVDUHQRWFRLQWHJUDWHGZLWKLQÁDWLRQIRUV\PPHWULF$5'/PRG
HOV,WLVLQWHUHVWLQJWKDWRQHDQGÀYH\HDUJRYHUQPHQWERQGVDUHQRWFRLQWHJUDWHG
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QRWVLJQLÀFDQW7KHUHIRUHÀQGLQJVUHODWHGZLWK¶QRFRLQWHJUDWLRQ·PRGHOVDUHQRW
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Table 5:
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VHQWHG LQ 7DEOHV DQG UHVSHFWLYHO\ 7KH ORQJ UXQ UHVXOWV EDVHG RQ WKH OLQHDU
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SRVLWLYHVLJQZKLOHRWKHUVKDYHDQHJDWLYHVLJQ7KHVHÀQGLQJVPD\VXJJHVWWKDW
QRQOLQHDU$5'/VKRXOGEHHPSOR\HG5HVLGXDOGLDJQRVWLFVDUHUHSRUWHGEHORZLQ
7DEOHVDQG%UHXVFK²*RGIUH\VHULDOFRUUHODWLRQ/DJUDQJHPXOWLSOLHU/0WHVW
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S. PINAR GÜREL: The Validity of the Fisher Effect for an Inflation Targeting Country: the Case of Turkey
710 EKONOMSKI PREGLED, 72 (5) 697-717 (2021)
Table 7:
Table 8:
7KH WHVW UHVXOWV RI WKH 1$5'/ PRGHO LQ 7DEOH LQGLFDWH D VWURQJ )LVKHU
(IIHFW LQ WKH ORQJ UXQ H[FHSW IRU \HDU JRYHUQPHQW ERQGV 7KH UHVXOWV VXJJHVW
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JRYHUQPHQWERQG0RGHOUHVSHFWLYHO\2QWKHFRQWUDU\LWLVLQWHUHVWLQJWKDWLQ
0RGHOGHFUHDVHLQLQÁDWLRQKDYHQRVLJQLÀFDQWLPSDFWZKHUHDVDQLQFUHDVHLQ
LQÁDWLRQWHQGVWRLQFUHDVHLQWHUHVWUDWHVLQWKHORQJUXQ'HFUHDVHLQLQÁDWLRQLV
VLJQLÀFDQWIRUPLGDQGORQJWHUPLQWHUHVWUDWHV7KH)LVKHU(IIHFWWKXVKROGVRQO\
S. PINAR GÜREL: The Validity of the Fisher Effect for an Inflation Targeting Country: the Case of Turkey
712 EKONOMSKI PREGLED, 72 (5) 697-717 (2021)
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VKRUWUXQLQWHUHVWUDWHV,QUHODWLRQWRPLGWHUPUDWHVWKHUHVXOWVVXJJHVWWKDWLQ
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CONCLUSIONS
7KH)LVKHU(IIHFWVWDWHVWKDWQRPLQDOLQWHUHVWUDWHVUHDFWWRFKDQJHVLQLQÁD
WLRQE\RQHWRRQHVRDVWROHDYHUHDOLQWHUHVWUDWHVXQFKDQJHG*\OIDVRQ7RPDVVRQ
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S. PINAR GÜREL: The Validity of the Fisher Effect for an Inflation Targeting Country: the Case of Turkey
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REFERENCES
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of Applied Econometrics'RLMDH
=LYRW( ':.$QGUHZV)XUWKHU(YLGHQFHRQWKH*UHDW&UDVK
WKH2LO3ULFH6KRFNDQGWKH8QLW5RRW+\SRWKHVLVJournal of Business and
(FRQRPLF6WDWLVWLFV10 (3), 251–270. Doi: 10.2307/1391541
9$/-$1267),6+(5292*8ÿ,1.$=$=(0/-8.2-$&,/-$,1)/$&,-8
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