Testing for the Fisher Hypothesis under Regime Shifts in Turkey: New Evidence from Time-Varying Parameters

This paper examines the validity of Fisher hypothesis in Turkey for the time period 1987Q1-2010Q3. For this purpose, we employ cointegration test with a structural break as well as time varying parameters approach (TVP) that takes into account the effects of regime or policy changes on the relation between interest rate and inflation rate. The empirical results show that weak form of the Fisher hypothesis holds in Turkish economy.

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Year of publication:	2013
Authors:	Arisoy, Ibrahim
Published in:	International Journal of Economics and Financial Issues. - Econjournals. - Vol. 3.2013, 2, p. 496-502
Publisher:	Econjournals
Subject:	: Fisher Effect \| Cointegration \| Regime Shift \| Time-Varying Parameters \| Kalman Filter

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Extent:	application/pdf text/html
Type of publication:	Article
Classification:	C12 - Hypothesis Testing ; E40 - Money and Interest Rates. General ; E50 - Monetary Policy, Central Banking and the Supply of Money and Credit. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010703461