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THE VALIDITY OF THE FISHER EFFECT FOR

$1,1)/$7,217$5*(7,1*&28175<
THE CASE OF TURKEY
The aim of this paper is to investigate the relationship between interest

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Autoregressive distributed lag (ARDL) and non-linear autoregressive dis-
tributed lag (NARDL) models were estimated for Turkish economy between
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ity of Fisher Effect both for short and long run. The results of NARDL models
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S. PINAR GÜREL: The Validity of the Fisher Effect for an Inflation Targeting Country: the Case of Turkey
698 EKONOMSKI PREGLED, 72 (5) 697-717 (2021)
1. INTRODUCTION
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2. THEORETICAL FRAMEWORK
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3. LITERATURE REVIEW
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4. EMPIRICAL ANALYSIS
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t t
xt- = Â i =1
Dxi- = Â i =1
min( Dxi , 0) (4.5)
2QWKHEDVLVRIWKHDERYHPHQWLRQHGIRUPXODWLRQWKHDV\PPHWULFHUURUFRU
UHFWLRQPRGHOFDQEHZULWWHQDVIROORZV
( b i + Dx + t -i + b i - Dx - t -i ) + e t
p -1 q -1
Dyt = d 0 + s yt -1 + J + x + t -1 + J - x - t -1 Â m Dy t - i +
i =1 i Â i =0
$GRSWLQJWKLVPRGHODSSURDFKIRUWKH)LVKHUPRGHODVVKRZQLQ6KLQet al.
(2011), Pesaran and Shin (1999) and Pesaran et al.WKHQRQOLQHDU$5'/
PRGHOWDNHVWKHIROORZLQJIRUP
Dinterest ratet = d 0 + s interestt -1 + J +inflationt -1 + J -inflationt -1

p -1 q -1
+Â i =1
mi interestt -1 + Â i =0 b i + Dinflation + t -1 (4.7)
q -1
+Â i =0
b i - Dinflation - t -1 + e t .
,WWKHQGHFRPSRVHVWKHYHFWRURIUHJUHVVRUVLQWRLWVSRVLWLYHDQGQHJDWLYHSDU
WLDOVXPV+HQFHWKH1$5'/PRGHOHQDEOHVWRH[DPLQHWKHYDOLGLW\RIWKH)LVKHU
(IIHFWLQLQIDQGLQIïVHSDUDWHO\
4.1. Data
7KLV VWXG\ XVHV PRQWKO\ GDWD FRYHULQJ WKH SHULRG IURP -DQXDU\ WR
0DUFK7KHSHULRGFRLQFLGHVZLWK7XUNH\·VDGRSWLRQRIWKHLQÁDWLRQWDUJHWLQJ
PRQHWDU\SROLF\IUDPHZRUN7KHH[SHFWHGLQÁDWLRQVHULHVLVFDSWXUHGE\H[SRVW
REVHUYHGLQÁDWLRQUDWHVDQGFDOFXODWHGDV\HDURQ\HDUSHUFHQWDJHFKDQJHLQWKH
&RQVXPHU3ULFH,QGH[&3,6HYHUDOQRPLQDOLQWHUHVWUDWHVZKLFKUHSUHVHQWVKRUW
LQWHUPHGLDWH DQG ORQJWHUPV DUH XVHG WR WHVW DQG FRPSDUH WKH YDOLGLW\ RI WKH
)LVKHU(IIHFW9DULRXVW\SHVRIVKRUWWHUPLQWHUHVWUDWHVDUHFDSWXUHGE\XVLQJRQH
WKUHHDQGVL[PRQWKVGHSRVLWLQWHUHVWUDWHVDQGDOVRE\WKH&HQWUDO%DQNSROLF\UDWH
DQG&%57GLVFRXQWUDWHV6RÀYHGLIIHUHQWW\SHVRIVKRUWWHUPLQWHUHVWUDWHVDUH
XVHGWRFRPSDUHWKHHIIHFWRILQÁDWLRQRQLQWHUHVWUDWH,QWHUPHGLDWHRUPLGWHUP
WHUP LV FDSWXUHG E\ XVLQJ RQH \HDU GHSRVLW LQWHUHVW UDWHV DQG RQH \HDU PDWXULW\
JRYHUQPHQWERQGVDQG\HDUVPDWXULW\JRYHUQPHQWERQGVDUHXVHGWRSUR[\
ORQJWHUPQRPLQDOLQWHUHVWUDWHV7KHGHSRVLWUDWHVDUHZHLJKWHGDYHUDJHLQWHUHVW
UDWHVIRUGHSRVLWVLQ7XUNLVKOLUDDQGWKH\UHÁHFWWKHPDUNHWLQWHUHVWUDWHV7KHVH
ULHVDUHREWDLQHGIURPWKH&%57DQG,QWHUQDWLRQDO)LQDQFLDO6WDWLVWLFV,)6$OO
WKHGDWDDUHLQOHYHOIRUP'HWDLOVRQWKHGDWDXVHGLQWKHDQDO\VLVDQGGHVFULSWLYH
VWDWLVWLFVDUHVXPPDULVHGLQ7DEOHVDQGUHVSHFWLYHO\
Table 1:
DATA DESCRIPTION
Symbol Variable
Short term interest rates
1month PRQWKZHLJKWHGDYHUDJHGHSRVLWUDWH
3months PRQWKZHLJKWHGDYHUDJHGHSRVLWUDWH
PRQWKV PRQWKZHLJKWHGDYHUDJHGHSRVLWUDWH
&%SROLF\ &HQWUDO%DQNRIWKH5HSXEOLFRI7XUNH\SROLF\UDWH
&%GLVFRXQW &HQWUDO%DQNRIWKH5HSXEOLFRI7XUNH\GLVFRXQWUDWH
Mid- term interest rates
\HDUGHSR \HDUZHLJKWHGDYHUDJHGHSRVLWUDWH
\HDUERQG \HDUPDWXULW\JRYHUQPHQWERQG
Long-term interest rates
\HDUVERQG \HDUVPDWXULW\JRYHUQPHQWERQG
Inf &RQVXPHU3ULFH,QGH[
6RXUFH&HQWUDO%DQNRI7KH5HSXEOLFRI7XUNH\&%57,QWHUQDWLRQDO)LQDQFLDO6WDWLVWFLV,)6
Table 2:
DESCRIPTIVE STATISTICS
Interest Rates Mean Min Max Std Dev Skewness .XUWRVLV

1 month 11.28 5.29 4.27 0.81 2.41
3 months 25.37 4.19 2.82
PRQWKV 25.12 4.01 0.88 3.03
CBpolicy 9.29 1.5 22.5 5.29 0.79 2.55
CBdiscount 8.75 27 0.50 1.87
Mid- term interest rates
1 yeardepo 12.55 7.53 23.24 3.75 2.21
1yearbond 12.35 27.1 5.14 0.94 2.72
3yearsbond 5.35 3.90
5yearsbond 12.11 25.94 4.24 3.07
10yearsbond 10.43 21.39 2.79
Inf 3.98 25.24 3.22 2.44 11.53
6RXUFHRZQFRPSXWDWLRQV
7DEOHUHSRUWVWKHPLQLPXPPD[LPXPYDOXHVDQGÀUVWIRXUVDPSOHPR
PHQWVRIWKHLQWHUHVWUDWHVDQGLQÁDWLRQ7KHPHDQRIWKHLQWHUHVWUDWHVOLHVEHWZHHQ
DQGDQG&HQWUDO%DQNGLVFRXQWUDWH&%GLVFRXQWKDVWKHODUJHVWORQJ
UXQPHDQRYHUDOOLQWHUHVWUDWHVZKLOH&HQWUDO%DQNSROLF\UDWH&%SROLF\
KDV WKH VPDOOHVW VDPSOH ORQJUXQ PHDQ &%GLVFRXQW KDV DOVR WKH ODUJHVW
VDPSOHVWDQGDUGGHYLDWLRQZKLOHWKHORQJHVWLQWHUHVWUDWH\HDUVERQGKDVWKH
VPDOOHVWVDPSOHVWDQGDUGGHYLDWLRQDVH[SHFWHG
4.2. Unit Root Tests
7KHÀUVWVWHSLQWKHDQDO\VLVZDVWRSHUIRUPWKHXQLWURRWWHVWVWRGHWHUPLQH
WKHRUGHURILQWHJUDWLRQRIWKHYDULDEOHV)RUWKLVSXUSRVHWKHFRQYHQWLRQDO$XJ
PHQWHG'LFNH\²)XOOHU$')DQG3KLOOLSVDQG3HUURQ33WHVWVZHUHXWLOLVHG7D
EOH)XUWKHUPRUHWKH=LYRW²$QGUHZVXQLWURRWWHVWZLWKVWUXFWXUDOEUHDNV
ZDV DOVR DSSOLHG WR DGGUHVV WKH LVVXH RI SRVVLEOH VWUXFWXUDO EUHDNV LQ WKH VHULHV
VLQFHWKHSHULRGFRYHUHGWKHÀQDQFLDOFULVLVRI²$FFRUGLQJWR3HUURQ
LJQRULQJWKHH[LVWHQFHRIVWUXFWXUDOEUHDNVFRXOGOHDGXVWRIDOVHDFFHSWDQFH
RIXQLWURRWV7KH$')DQG33WHVWVODFNHGSRZHULQWKHSUHVHQFHRIVWUXFWXUDO
EUHDNVLQWKHVHULHV7KHVWUXFWXUDOEUHDNXQLWURRWWHVWVDOORZHGXVWRÀQGVWDWLRQ
DULW\LQWLPHVHULHVLQWKHFDVHRIWKHH[LVWHQFHRIVWUXFWXUDOEUHDNV7KHWHVWUHVXOWV
RI=LYRW²$QGUHZVDUHUHSRUWHGLQ7DEOH=LYRW²$QGUHZVSURSRVHGWKUHHGLIIHU
HQWPRGHOV0RGHO$DOORZVIRUDRQHWLPHVWUXFWXUDOFKDQJHLQWKHPHDQRIWKH
VHULHV0RGHO%DOORZVIRUDFKDQJHLQWKHVORSHRIWKHWUHQGIXQFWLRQDQG0RGHO
&DOORZVDFKDQJHERWKLQWKHPHDQDQGWKHVORSHRIWKHWUHQG1XVDLU,Q
WKHVWXG\IROORZLQJ6HQ0RGHO&ZDVDSSOLHG1.
Table 3:
ADF AND PP UNIT ROOT TESTS
ADF PP
Variables
Level First diff. Level First diff.
1 month deposit 0.07
3 months deposit
PRQWKVGHSRVLW 0.758
&%SROLF\ 0.188
&%GLVFRXQW
Mid-term interest rates
\HDUGHSRV 0.873 1.005
\HDUERQG
\HDUVERQG
\HDUVERQG
\HDUVERQG
,QÁDWLRQ 0.553
1RWH DQG LQGLFDWHVLJQLÀFDQFHDWWKHDQGOHYHOUHVSHFWLYHO\&RQVWDQWDQG
OLQHDUWUHQGDUHLQFOXGHG
6RXUFH2XWSXWRI(YLHZVHFRQRPHWULFVRIWZDUH
0RGHO$DQG0RGHO%ZHUHDOVRDSSOLHGKRZHYHUWKHUHVXOWVZHUHWKHVDPHDVWKRVHRI
1
0RGHO&DOWKRXJKWKH\ZHUHQRWUHSRUWHG
7KHWHVWUHVXOWVLQ7DEOHLQGLFDWHWKDWDOOYDULDEOHVDUHQRWVWDWLRQDU\DWWKHLU
OHYHOV +RZHYHU WKH YDULDEOHV EHFRPH VWDWLRQDU\ DIWHU WKHLU ÀUVW GLIIHUHQWLDWLRQ
$FFRUGLQJ WR WKH VWUXFWXUDO EUHDN XQLW URRW WHVW UHSRUWHG LQ 7DEOH WKH UHVXOWV
VXSSRUW WKH UHVXOWV REWDLQHG IURP WKH XQLW URRW WHVWV ZLWKRXW VWUXFWXUDO EUHDNV
7KH$5'/DQG1$5'/PRGHOVUHTXLUHWKDWWKHVHULHVPXVWEHSXUHO\,SXUHO\
,RUFRLQWHJUDWHGDQGWKHGHSHQGHQWYDULDEOHKDVWREHXQLWURRWSURFHVV,
)ROORZLQJWKHVHDVVXPSWLRQVWRHQVXUHWRIXOÀOOWKHUHTXLUHPHQWVRIWKH$5'/
DQG1$5'/PRGHOVYDULRXVXQLWURRWWHVWVZHUHDSSOLHGDQGWKHREWDLQHGUHVXOWV
FRQÀUPWKHDVVXPSWLRQVIRUWKH$5'/DQG1$5'/PRGHOV
Table 4:
=,927$1'5(:621(%5($.6758&785$/81,752277(67
Variables Levels Model C Break- date

1 month deposit rate 2009 M01
3 months deposit rate 2008 M12
PRQWKVGHSRVLWUDWH 2012 M12
&%3ROLF\UDWH 2010 M11
&%'LVFRXQWUDWH 2017 M01
Mid-term interest rates
\HDUGHSRVLWUDWH 0
\HDUJRYHUQPHQWERQG 2008 M12
Long- term interest rates
\HDUVJRYHUQPHQWERQG 2012 M03
,QÁDWLRQUDWH 2017 M03
4.3. Bounds Testing
%RXQGVWHVWVZHUHFRQGXFWHGWRUHYHDOZKHWKHUWKHVHULHVDUHFRLQWHJUDWHG
7KLVZDVGRQHE\WHVWLQJWKHQXOOK\SRWKHVLVRI¶QRFRLQWHJUDWLRQ·DJDLQVWWKHDO
WHUQDWLYHRI¶FRLQWHJUDWLRQ·7KH)WHVWSURSRVHGE\3HVDUDQHWDOKDYHEHHQ
XWLOL]HG7KHRSWLPDOQXPEHURIODJVZDVVHOHFWHGE\WKH+DQQDQ²4XLQQFULWHULRQ
+4DVVXPLQJDPD[LPXPRIODJV7KHKHWHURVFHGDVWLFLW\DQGDXWRFRUUHODWLRQ
FRQVLVWHQW +$& VWDQGDUG HUURUV ZLWK WKH 1HZH\²:HVW HVWLPDWRU ZHUH XVHG WR
HQVXUHWKDWWKHPRGHOKDVUREXVWVWDQGDUGHUURUVLQWKHFDVHRIVHULDOFRUUHODWLRQ
7KH1HZH\²:HVWHVWLPDWRUFRUUHFWVWKHVWDQGDUGHUURUVRIWKHSDUDPHWHUVRWKDW
LWPLJKWUHDFKLWVUREXVWQHVVE\FDSWXULQJWKHSUREOHPRIDXWRFRUUHODWLRQDQGKHW
HURVFHGDVWLFLW\$]L] 7UL7KHWHVWUHVXOWVRIWKHERXQGVWHVWLQJIRUOLQHDU
DQGQRQOLQHDUPRGHOVDUHUHSRUWHGLQ7DEOHDQG7DEOHUHVSHFWLYHO\%DVHGRQ
WKHOLQHDU$5'/UHVXOWVVKRZQLQ7DEOHLQWKHVKRUWWHUPLQWHUHVWUDWHVWKHHYL
GHQFHLQIDYRXURIFRLQWHJUDWLRQLVTXLWHVWURQJFRLQWHJUDWLRQLVUHMHFWHGIRURQO\
ORQJWHUPLQWHUHVWUDWHVDQGLQFRQFOXVLYHIRU0RGHO+RZHYHULQ0RGHOWKH
HUURUFRUUHFWLRQWHUPLVVLJQLÀFDQWDQGKDVDQHJDWLYHYDOXHZKLFKLQGLFDWHVWKDW
GHSHQGHQWYDULDEOHFRQYHUJHVWRORQJUXQHTXLOLEULXP6KRUWWHUPLQWHUHVWUDWHVDUH
FRLQWHJUDWHGZLWKLQÁDWLRQUDWHLQOLQHDU$5'/PRGHOV*RYHUQPHQWERQGVZLWK
GLIIHUHQWPDWXULWLHVDUHQRWFRLQWHJUDWHGZLWKLQÁDWLRQIRUV\PPHWULF$5'/PRG
HOV,WLVLQWHUHVWLQJWKDWRQHDQGÀYH\HDUJRYHUQPHQWERQGVDUHQRWFRLQWHJUDWHG
ZLWKLQÁDWLRQLQV\PPHWULFPRGHOEXWFRLQWHJUDWHGUHODWLRQVKLSKDYHEHHQIRXQG
LQDV\PPHWULFPRGHO,QVRPHFDVHVERXQGVWHVWVEDVHGRQ1$5'/PRGHOVDUH
QRWVLJQLÀFDQW7KHUHIRUHÀQGLQJVUHODWHGZLWK¶QRFRLQWHJUDWLRQ·PRGHOVDUHQRW
JRLQJWREHLQWHUSUHWHG
Table 5:
BOUND TEST RESULTS FOR ARDL MODELS
,QWHUHVW5DWH6SHFLÀFDWLRQ )VWDWLVWLFV &RQFOXVLRQ

Short Term Interest Rate Models
Model 1: 1 month deposit rate 5.75** &RLQWHJUDWLRQ
Model 2: 3 months deposit rate &RLQWHJUDWLRQ
0RGHOPRQWKVGHSRVLWUDWH 14.33* &RLQWHJUDWLRQ
Model 4: CB policy rate &RLQWHJUDWLRQ
Model 5: CB discount rate ,QFRQFOXVLYH
Mid-term Interest Rate Models
0RGHO\HDUGHSRVLWUDWH 20.877* &RLQWHJUDWLRQ
Model 7: 1 year goverment bond 2.94 1RFRLQWHJUDWLRQ
Long- term Interest Rate Models
Model 8: 3 years goverment bond 2.87 1RFRLQWHJUDWLRQ
Model 9: 5 years government bond 3.05 1RFRLQWHJUDWLRQ
7DEOH
BOUND TEST RESULTS NARDL MODELS
,QWHUHVW5DWH6SHFLÀFDWLRQ )VWDWLVWLFV &RQFOXVLRQ

Short Term Interest Rate Models
Model 1: 1 month deposit rate 2.71 1RFRLQWHJUDWLRQ
Model 2: 3 months deposit rate 2.37 1R&RLQWHJUDWLRQ
0RGHOPRQWKVGHSRVLWUDWH 9.13* &RLQWHJUDWLRQ
Model 4: CB policy rate 1.93 1RFRLQWHJUDWLRQ
Model 5: CB discount rate 1RFRLQWHJUDWLRQ
Mid-term Interest Rate Models
0RGHO\HDUGHSRVLWUDWH 9.03* &RLQWHJUDWLRQ
Model 7: 1 year goverment bond 4.54* &RLQWHJUDWLRQ
Long- term Interest Rate Models
Model 8: 3 years goverment bond 1RFRLQWHJUDWLRQ
Model 9: 5 years government bond 5.70* &RLQWHJUDWLRQ
4.4. ARDL and NARDL Estimation Results
7KHVKRUWDQGORQJUXQDQDO\VHVRIWKH$5'/DQG1$5'/PRGHOVDUHSUH
VHQWHG LQ 7DEOHV DQG UHVSHFWLYHO\ 7KH ORQJ UXQ UHVXOWV EDVHG RQ WKH OLQHDU
$5'/PRGHO7DEOHVXSSRUWDVWURQJIXOO)LVKHU(IIHFWLQWKHORQJUXQIRUDOO
LQWHUHVWUDWHVVLQFHWKHLUHVWLPDWHGFRHIÀFLHQWVDUHVLJQLÀFDQWDQGJUHDWHUWKDQRQH
H[FHSWLQWKHFDVHRIWKH&HQWUDO%DQN·VGLVFRXQWUDWH0RGHO7KHFKDQJHVLQ
LQÁDWLRQKDYHDSRVLWLYHHIIHFWRQLQWHUHVWUDWHVLQWKHORQJUXQ$VUHJDUGVVKRUW
UXQUHVXOWVFKDQJHVLQLQÁDWLRQKDYHDVLJQLÀFDQWHIIHFWRQWKHLQWHUHVWUDWHVDOO
W\SHVIRUDOOPRGHOV+RZHYHUXQOLNHLQWKHFDVHRIWKHORQJUXQUHVXOWVWKHUHLV
DZHDNSDUWLDO)LVKHU(IIHFWIRUDOOPRGHOVLQWKHVKRUWUXQVLQFHWKHHVWLPDWHG
FRHIÀFLHQWV DUH VLJQLÀFDQWO\ SRVLWLYH DQG OHVV WKDQ RQH 7KH UHVXOWV RI WKH V\P
PHWULF $5'/ VSHFLÀFDWLRQ UHYHDOV D ZHDN )LVKHU (IIHFW LQ WKH VKRUW UXQ DQG D
VWURQJRQHLQWKHORQJUXQ2QWKHRWKHUKDQGODJJHGYDOXHVRILQWHUHVWUDWHVKDYH
DSX]]OLQJHIIHFWRQLWVHOIVLQFHWKHFRHIÀFLHQWVRIVRPHRIWKHODJJHGYDOXHVKDYH
SRVLWLYHVLJQZKLOHRWKHUVKDYHDQHJDWLYHVLJQ7KHVHÀQGLQJVPD\VXJJHVWWKDW
QRQOLQHDU$5'/VKRXOGEHHPSOR\HG5HVLGXDOGLDJQRVWLFVDUHUHSRUWHGEHORZLQ
7DEOHVDQG%UHXVFK²*RGIUH\VHULDOFRUUHODWLRQ/DJUDQJHPXOWLSOLHU/0WHVW
DQG$UFK/0WHVWVKDYHEHHQHPSOR\HG
Table 7:
RESULTS OF ESTIMATION: LINEAR MODEL
Model 1 Model 2 Model 3 Model 4 Model 5 Model 6

6KRUWUXQ

iW
[0.02]** [0.00]* [0.01]** [0.03]** [0.09]*** [0.00]*
0.08 0.110 0.074
LQIW
[0.01]** [0.00]* [0.00]* [0.00]* [0.00]* [0.00]*
0.454
¨LW
[0.00]* [0.00]* [0.00]* [0.00]*
0.029
¨LW
[0.11] [0.00]* >@ [0.73]
0.157 0.245
¨LW
[0.05]** [0.00]* [0.00]* >@
0.155 0.082
¨LW
[0.00]* [0.00]* [0.07]*** [0.33]
0.238 0.302
¨LW
[0.00]* [0.00]*

¨LW
[0.02]**

¨LW
[0.01]**
0.298 0.281 0.111 0.479 0.07
¨LQI
[0.00]* [0.00]* [0.00]* [0.00]* [0.00]* [0.00]*
0.281 0.204 0.097 0.08 0.242
'XPP\
[0.28] [0.01]** [0.21] [0.82] >@ [0.07]***

Constant
>@ [0.47] [0.14] [0.00]* [0.329] [0.01]**

ECTW
[0.00]* [0.00]* [0.01]** [0.00]* [0.00]* [0.00]*
/RQJ5XQ Model 1 Model 2 Model 3 Model 4 Model 5 Model 6
2.52 1.71 2.30 2.87 3.01 2.42
,QI
[0.04]** [0.01]** [0.01]* [0.01]** [0.12] [0.00]*
$GM5VTXDUH 0.98 0.98 0.99 0.35 0.97 0.99
11.197 29.047 11.503 8.029
LM (2)
[0.405] [0.512] [0.00] >@ [0.782] [0.102]
10.489 11.848 1.381 0.797 31.489
ArcH (2)
>@ [0.573] [0.457] [0.999] [1.00] [0.005]
Table 8:
RESULTS OF ESTIMATION: NONLINEAR MODEL
Model 3 Model 6 Model 7 Model 9

6KRUWUXQ
iW >@ >@ >@
>@
úQISRVW 0.047 [0.02]** >@ >@
0.11 [0.01]**
úQIQHJW 0.05 [0.02]** >@ >@
0.098 [0.08]***
¨LW >@ 0.459 [0.00]* >@
0.132 [0.10]
¨LW >@ >@ >@
>@
¨LW >@ >@ >@
0.00 [0.91]
¨LW >@ 0.081 [0.34]
¨LW 0.303 [0.00]*
¨LW >@
¨LW >@
¨LW >@
¨LQI²SRV 0.124 [0.00]* 0.752 [0.00]* >@ 0.829 [0.00}*
¨LQI²SRV 0.228 [0.00]* 0.238 [0.11]
¨LQI²QHJ
'XPP\ 0.209 [0.20] 0.231 [0.08]*** 0.871 [0.09]*** 1.591 [0.00]*
C 0.302 [0.14] >@ 0.930 [0.12] >@
ECTW >@ >@ >@ >@
/RQJ5XQ Model 3 Model 6 Model 7 Model 9
,QISRV 2.04 [0.08]*** 2.15 [0.00]* 1.34 [0.00]* 0.80 [0.10]
úQIQHJ 2.01 [0.10] 2.20 [0.00]* 1.49 [0.00]* 0.91 [0.07]***
$GM5VTXDUH 0.99 0.99 0.95 0.49
LM (2) 24.302 [0.01] >@ >@ 13.337 [0.345]
ARCH (2) 12.903 [0.115] >@ 17.775 [0.122] 30.217 [0.057]
7KH WHVW UHVXOWV RI WKH 1$5'/ PRGHO LQ 7DEOH LQGLFDWH D VWURQJ )LVKHU
(IIHFW LQ WKH ORQJ UXQ H[FHSW IRU \HDU JRYHUQPHQW ERQGV 7KH UHVXOWV VXJJHVW
WKDWDRQHXQLWLQFUHDVHLQLQÁDWLRQFDXVHVDQGXQLWLQFUHDVHVLQD
VL[PRQWKGHSRVLWUDWH0RGHORQH\HDUGHSRVLWUDWH0RGHODQGRQH\HDU
JRYHUQPHQWERQG0RGHOUHVSHFWLYHO\2QWKHFRQWUDU\LWLVLQWHUHVWLQJWKDWLQ
0RGHOGHFUHDVHLQLQÁDWLRQKDYHQRVLJQLÀFDQWLPSDFWZKHUHDVDQLQFUHDVHLQ
LQÁDWLRQWHQGVWRLQFUHDVHLQWHUHVWUDWHVLQWKHORQJUXQ'HFUHDVHLQLQÁDWLRQLV
VLJQLÀFDQWIRUPLGDQGORQJWHUPLQWHUHVWUDWHV7KH)LVKHU(IIHFWWKXVKROGVRQO\
ZKHQLQÁDWLRQULVHVEXWWKHUHLVQRVLJQLÀFDQWUHVXOWZKLOHLQÁDWLRQGHFUHDVHVIRU
VKRUWUXQLQWHUHVWUDWHV,QUHODWLRQWRPLGWHUPUDWHVWKHUHVXOWVVXJJHVWWKDWLQ
FUHDVHLQLQÁDWLRQOHDGWRLQFUHDVHVLQLQWHUHVWUDWHVDQGGHFUHDVHLQLQÁDWLRQOHDG
WRGHFUHDVHLQLQWHUHVWUDWHV)XUWKHUDFFRUGLQJWRWKHUHVXOWVFRQFHUQLQJWKHVKRUW
UXQLQFUHDVHLQLQÁDWLRQFDXVHVLQFUHDVHLQDOOW\SHVRILQWHUHVWUDWHVDQGGHFUHDVH
LQLQÁDWLRQFDXVHVGHFUHDVHLQLQWHUHVWUDWHVDVVXJJHVWHGE\WKH)LVKHU(IIHFW
CONCLUSIONS
7KH)LVKHU(IIHFWVWDWHVWKDWQRPLQDOLQWHUHVWUDWHVUHDFWWRFKDQJHVLQLQÁD
WLRQE\RQHWRRQHVRDVWROHDYHUHDOLQWHUHVWUDWHVXQFKDQJHG*\OIDVRQ7RPDVVRQ
=RHJD7KXVWKHLPSDFWRILQÁDWLRQRQQRPLQDOLQWHUHVWUDWHVKDVEHHQ
LQYHVWLJDWHG E\ PDQ\ UHVHDUFKHUV %XW VWLOO HPSLULFDO HYLGHQFH LV QRW IDYRUDEOH
IRUWKHYDOLGLW\RIWKH)LVKHU(IIHFWDQGWKHH[LVWLQJOLWHUDWXUHKDVLQFRQFOXVLYHRU
PL[HGUHVXOWV
,QWKLVSDSHUWKHYDOLGLW\RIWKH)LVKHU(IIHFWZDVLQYHVWLJDWHGWKURXJKDFDVH
VWXG\RQ7XUNH\E\H[DPLQLQJERWKV\PPHWULFDQGSRVVLEOHDV\PPHWULFHIIHFWV
RILQÁDWLRQRQYDULRXVW\SHVRIQRPLQDOLQWHUHVWUDWHV$FFRUGLQJWRWKHHPSLULFDO
ÀQGLQJVWKHOLQHDU$5'/PRGHOUHYHDOVDZHDN)LVKHU(IIHFWLQWKHVKRUWUXQDQG
DVWURQJRQHLQWKHORQJUXQ,QDV\PPHWULF$5'/PRGHOVDVWURQJ)LVKHUHIIHFW
KDVEHHQKROGLQWKHORQJUXQH[FHSWLQWKHFDVHRI\HDUJRYHUQPHQWERQGV,Q
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697

THE VALIDITY OF THE FISHER EFFECT FOR

The aim of this paper is to investigate the relationship between interest

where a 0 denotes the real interest rate, and a1GHQRWHVWKH)LVKHUFRHIÀFLHQWDQG

it = a 0 + a1p t + etp (2.2)

$IWHU)LVKHU·V  VHPLQDOSDSHUPDQ\UHVHDUFKHUVWHVWHGKLVK\SRWKHVLV

xt = x0 + xt+ + xt- (4.3)

where b + and b -DUHWKHORQJUXQSDUDPHWHUVDVVRFLDWHGZLWKxt+ and xt-. The de

Dinterest ratet = d 0 + s interestt -1 + J +inflationt -1 + J -inflationt -1

Interest Rates Mean Min Max Std Dev Skewness .XUWRVLV

4.2. Unit Root Tests

ADF AND PP UNIT ROOT TESTS

Variables Levels Model C Break- date

4.3. Bounds Testing

BOUND TEST RESULTS FOR ARDL MODELS

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BOUND TEST RESULTS NARDL MODELS

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4.4. ARDL and NARDL Estimation Results

RESULTS OF ESTIMATION: LINEAR MODEL

Model 1 Model 2 Model 3 Model 4 Model 5 Model 6

RESULTS OF ESTIMATION: NONLINEAR MODEL

Model 3 Model 6 Model 7 Model 9

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