Testing the Fisher Hypothesis Under Mixed Frequency Data Sampling: The Case of Turkiye

SAMUT S., YAMAK R.

MALIYE DERGISI, sa.184, ss.1-19, 2023 (ESCI) identifier

  • Yayın Türü: Makale / Tam Makale
  • Basım Tarihi: 2023
  • Dergi Adı: MALIYE DERGISI
  • Derginin Tarandığı İndeksler: Emerging Sources Citation Index (ESCI)
  • Sayfa Sayıları: ss.1-19
  • Karadeniz Teknik Üniversitesi Adresli: Evet

Özet

According to the Fisher hypothesis, there is a long-run relationship between nominal interest rates and the expected inflation rate. There are many studies in the literature investigating the validity of the Fisher hypothesis for different economies. However, it is observed that none of the variables of nominal interest or inflation rate are used at their original frequencies in any of these studies. In this study, the validity of the Fisher effect was investigated for the Turkish economy by using the original frequencies of both the interest and inflation series. In the findings of the study, it has been determined that the partial Fisher effect is valid in the Turkish economy by using the restricted reverse MIDAS (Reverse Restricted MIDAS, "RR-MIDAS") model. In addition, according to the findings, it was understood that the existence of the Fisher effect in the Turkish economy was more pronounced in the last weeks of the monthly period.