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...
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| Format: | Article |
| Language: | English |
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EconJournals
2013-04-01
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| Series: | International Journal of Economics and Financial Issues |
| Online Access: | http://www.econjournals.com/index.php/ijefi/article/view/455/pdf |
| Summary: | 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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| ISSN: | 2146-4138 2146-4138 |