The Fisher Hypothesis within the Framework of Long-Run Covariability: The Case of the United Kingdom

Yağmur TOKATLIOĞLU (Ankara Hacı Bayram Veli Üniversitesi, Ankara, Türkiye)
Sosyoekonomi
1 0
Yıl: 2023 Cilt: 31 Sayı: 57 Sayfa Aralığı: 195 - 205 Metin Dili: İngilizce DOI: 10.17233/sosyoekonomi.2023.03.10 İndeks Tarihi: 21-08-2023

The Fisher Hypothesis within the Framework of Long-Run Covariability: The Case of the United Kingdom

Öz:
This paper aims to present the long-run covariability between inflation and the interest rate of the United Kingdom by using a new method developed by Müller and Watson (2018) that eliminates the low-frequency problems. In this study, the validity of the Fisher hypothesis is investigated under structural break periods for the UK's economy. The analysis is carried out with monthly inflation and interest rate for six periods: Full sample (1920:1-2019:12), interwar years (1920:1-1939:8), fixed exchange rate (1952:1-1973:2), Post War II (1952:1-1992:9) and two different inflation targeting periods (1992:10-2008:8 and 1992:10-2019:12). The empirical finding suggests that the Fisher hypothesis holds for the United Kingdom in the long-run.
Anahtar Kelime: Fisher Hypothesis Long-Run Covariability United Kingdom

Uzun Dönemli Ortak Değişkenlik Çerçevesinde Fisher Hipotezi: İngiltere Örneği

Öz:
Bu çalışmanın amacı, literatürde Müller ve Watson (2018) tarafından geliştirilen ve düşük frekanslı serilerin tahmin problemine çözüm getiren yeni bir yöntem olan uzun dönemli ortak değişkenlik ile İngiltere'nin enflasyon ve faiz oranı arasındaki ilişkiyi ortaya koymaktır. Bu çalışmada, İngiltere ekonomisi için kritik dönemler ele alınarak Fisher hipotezinin geçerliliği araştırılmış ve aylık enflasyon ve faiz oranı ilişkisi tüm dönem (1920:1-2019:12), savaş yılları arası dönem (1920:1-1939:8), sabit kur yılları (1952:1-1973:2), II. Dünya Savaşı sonrası dönem (1952:1-1992:9), birinci ve ikinci enflasyon hedeflemesi (1992:10-2008:8 ve 1992:10-2019:12) olmak üzere altı farklı döneme ayrılarak incelenmiştir. Fisher hipotezinin İngiltere için uzun dönemde geçerli olduğu sonucuna ulaşılmıştır.
Anahtar Kelime: Fisher Hipotezi Uzun Dönemli Ortak Değişkenlik İngiltere

Belge Türü: Makale Makale Türü: Araştırma Makalesi Erişim Türü: Erişime Açık
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APA TOKATLIOGLU Y (2023). The Fisher Hypothesis within the Framework of Long-Run Covariability: The Case of the United Kingdom. , 195 - 205. 10.17233/sosyoekonomi.2023.03.10
Chicago TOKATLIOGLU YAGMUR The Fisher Hypothesis within the Framework of Long-Run Covariability: The Case of the United Kingdom. (2023): 195 - 205. 10.17233/sosyoekonomi.2023.03.10
MLA TOKATLIOGLU YAGMUR The Fisher Hypothesis within the Framework of Long-Run Covariability: The Case of the United Kingdom. , 2023, ss.195 - 205. 10.17233/sosyoekonomi.2023.03.10
AMA TOKATLIOGLU Y The Fisher Hypothesis within the Framework of Long-Run Covariability: The Case of the United Kingdom. . 2023; 195 - 205. 10.17233/sosyoekonomi.2023.03.10
Vancouver TOKATLIOGLU Y The Fisher Hypothesis within the Framework of Long-Run Covariability: The Case of the United Kingdom. . 2023; 195 - 205. 10.17233/sosyoekonomi.2023.03.10
IEEE TOKATLIOGLU Y "The Fisher Hypothesis within the Framework of Long-Run Covariability: The Case of the United Kingdom." , ss.195 - 205, 2023. 10.17233/sosyoekonomi.2023.03.10
ISNAD TOKATLIOGLU, YAGMUR. "The Fisher Hypothesis within the Framework of Long-Run Covariability: The Case of the United Kingdom". (2023), 195-205. https://doi.org/10.17233/sosyoekonomi.2023.03.10
APA TOKATLIOGLU Y (2023). The Fisher Hypothesis within the Framework of Long-Run Covariability: The Case of the United Kingdom. Sosyoekonomi, 31(57), 195 - 205. 10.17233/sosyoekonomi.2023.03.10
Chicago TOKATLIOGLU YAGMUR The Fisher Hypothesis within the Framework of Long-Run Covariability: The Case of the United Kingdom. Sosyoekonomi 31, no.57 (2023): 195 - 205. 10.17233/sosyoekonomi.2023.03.10
MLA TOKATLIOGLU YAGMUR The Fisher Hypothesis within the Framework of Long-Run Covariability: The Case of the United Kingdom. Sosyoekonomi, vol.31, no.57, 2023, ss.195 - 205. 10.17233/sosyoekonomi.2023.03.10
AMA TOKATLIOGLU Y The Fisher Hypothesis within the Framework of Long-Run Covariability: The Case of the United Kingdom. Sosyoekonomi. 2023; 31(57): 195 - 205. 10.17233/sosyoekonomi.2023.03.10
Vancouver TOKATLIOGLU Y The Fisher Hypothesis within the Framework of Long-Run Covariability: The Case of the United Kingdom. Sosyoekonomi. 2023; 31(57): 195 - 205. 10.17233/sosyoekonomi.2023.03.10
IEEE TOKATLIOGLU Y "The Fisher Hypothesis within the Framework of Long-Run Covariability: The Case of the United Kingdom." Sosyoekonomi, 31, ss.195 - 205, 2023. 10.17233/sosyoekonomi.2023.03.10
ISNAD TOKATLIOGLU, YAGMUR. "The Fisher Hypothesis within the Framework of Long-Run Covariability: The Case of the United Kingdom". Sosyoekonomi 31/57 (2023), 195-205. https://doi.org/10.17233/sosyoekonomi.2023.03.10
Sayfa Oluşturulma Tarihi
25-04-2024 0:12

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