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

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

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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...

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Bibliographic Details
Main Author: Ibrahim Arısoy
Format: Article
Language:English
Published: EconJournals 2013-06-01
Series:International Journal of Economics and Financial Issues
Subjects:
fisher effect
cointegration
regime shift
time-varying parameters
kalman filter
Online Access:https://dergipark.org.tr/tr/pub/ijefi/issue/31957/351924?publisher=http-www-cag-edu-tr-ilhan-ozturk
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record_format Article
spelling doaj-80f1cd324a5b4706962fb4d52ab3297e2020-11-25T01:44:26ZengEconJournalsInternational Journal of Economics and Financial Issues2146-41382013-06-01324965021032Testing for the Fisher Hypothesis under Regime Shifts in Turkey: New Evidence from Time-Varying ParametersIbrahim ArısoyThis 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.https://dergipark.org.tr/tr/pub/ijefi/issue/31957/351924?publisher=http-www-cag-edu-tr-ilhan-ozturkfisher effect cointegration regime shift time-varying parameters kalman filter
collection DOAJ
language English
format Article
sources DOAJ
author Ibrahim Arısoy
spellingShingle Ibrahim Arısoy
Testing for the Fisher Hypothesis under Regime Shifts in Turkey: New Evidence from Time-Varying Parameters
International Journal of Economics and Financial Issues
fisher effect
cointegration
regime shift
time-varying parameters
kalman filter
author_facet Ibrahim Arısoy
author_sort Ibrahim Arısoy
title Testing for the Fisher Hypothesis under Regime Shifts in Turkey: New Evidence from Time-Varying Parameters
title_short Testing for the Fisher Hypothesis under Regime Shifts in Turkey: New Evidence from Time-Varying Parameters
title_full Testing for the Fisher Hypothesis under Regime Shifts in Turkey: New Evidence from Time-Varying Parameters
title_fullStr Testing for the Fisher Hypothesis under Regime Shifts in Turkey: New Evidence from Time-Varying Parameters
title_full_unstemmed Testing for the Fisher Hypothesis under Regime Shifts in Turkey: New Evidence from Time-Varying Parameters
title_sort testing for the fisher hypothesis under regime shifts in turkey: new evidence from time-varying parameters
publisher EconJournals
series International Journal of Economics and Financial Issues
issn 2146-4138
publishDate 2013-06-01
description 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.
topic fisher effect
cointegration
regime shift
time-varying parameters
kalman filter
url https://dergipark.org.tr/tr/pub/ijefi/issue/31957/351924?publisher=http-www-cag-edu-tr-ilhan-ozturk
work_keys_str_mv AT ibrahimarısoy testingforthefisherhypothesisunderregimeshiftsinturkeynewevidencefromtimevaryingparameters
_version_ 1725028702512742400

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