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An analysis of the long-run relationship between inflation and interest rates in turkey within the framework of Fisher Hypothesis

Türkiye’de enflasyon ve faiz oranları arasındaki uzun dönemli ilişkinin Fisher Hipotezi çerçevesinde incelenmesi

Özgür Koçbulut(TOKAT GAZİOSMANPAŞA ÜNİVERSİTESİ, TURHAL MESLEK YÜKSEKOKULU, YÖNETİM VE ORGANİZASYON BÖLÜMÜ)0000-0003-3092-8400
Fatma Çalışkan(TOKAT GAZİOSMANPAŞA ÜNİVERSİTESİ)0009-0009-7251-4979
Pages
404–432
Publication Date
2025-12-31
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AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

Accordingly, in determining interest rates in Turkey, an approach consistent with the objective of price stability should be adopted; inflation targeting and the safeguarding of financial stability should be prioritized over real interest rate targeting; and transparency, coordination, and data-driven management strategies should be implemented in a holistic manner to enhance the effectiveness of monetary policies.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:This study aims to test the relationship between inflation and nominal interest rates within the framework of Fisher’s (1930) hypothesis by using monthly data for the period 2003–2023 for the Turkish economy.
📊
Key Findings & Data:Unlike previous studies in the literature, the analysis takes into account individual and commercial loan interest rates, as well as consumer and producer price indices.
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Conclusion & Impact:Accordingly, in determining interest rates in Turkey, an approach consistent with the objective of price stability should be adopted; inflation targeting and the safeguarding of financial stability should be prioritized over real interest rate targeting; and transparency, coordination, and data-driven management strategies should be implemented in a holistic manner to enhance the effectiveness of monetary policies.
🔬Design:Araştırma Makalesi
📍Scope:2003–2023 Verileri
⚙️Variables:Fisher Hipotezi · Enflasyon · Faiz Oranları

Abstract

This study aims to test the relationship between inflation and nominal interest rates within the framework of Fisher’s (1930) hypothesis by using monthly data for the period 2003–2023 for the Turkish economy. Unlike previous studies in the literature, the analysis takes into account individual and commercial loan interest rates, as well as consumer and producer price indices. To determine the long-run relationship between the variables, the ARDL (Autoregressive Distributed Lag) cointegration test is employed, and the robustness of the results is further verified through the Toda-Yamamoto causality test. The empirical findings support the validity of the Fisher hypothesis in Turkey, revealing that changes in inflation rates exert a direct and persistent effect on nominal interest rates. This indicates that the relationship between inflation and interest rates should be regarded not only as a short-term phenomenon but also as a long-term one. Moreover, it is understood that the Central Bank of the Republic of Turkey should take into account not only realized inflation but also expected inflation in the implementation of its monetary policy. Accordingly, in determining interest rates in Turkey, an approach consistent with the objective of price stability should be adopted; inflation targeting and the safeguarding of financial stability should be prioritized over real interest rate targeting; and transparency, coordination, and data-driven management strategies should be implemented in a holistic manner to enhance the effectiveness of monetary policies.

Özet

Bu çalışma, Türkiye ekonomisi için 2003-2023 dönemi aylık verilerini kullanarak enflasyon ve nominal faiz oranları arasındaki ilişkinin Fisher (1930) hipotezi çerçevesinde test edilmesini amaçlamaktadır. Literatürdeki önceki çalışmalardan farklı olarak, analizde bireysel ve ticari kredi faiz oranları ile tüketici ve üretici fiyat endeksleri dikkate alınmıştır. Değişkenler arasındaki uzun dönemli ilişkiyi belirlemek için ARDL (Autoregressive Distributed Lag) eşbütünleşme testi uygulanmış ve elde edilen sonuçların sağlamlığı Toda-Yamamoto nedensellik testi ile kontrol edilmiştir. Analiz bulguları, Türkiye’de Fisher hipotezinin geçerliliğini desteklemekte ve enflasyon oranlarındaki değişimlerin nominal faiz oranları üzerinde doğrudan ve kalıcı bir etkisi olduğunu ortaya koymaktadır. Bu durum, enflasyon ve faiz oranları arasındaki ilişkinin yalnızca kısa vadeli değil, uzun vadeli bir olgu olarak değerlendirilmesi gerektiğini göstermektedir. Ayrıca, Türkiye Cumhuriyet Merkez Bankası’nın para politikası uygulamalarında yalnızca gerçekleşen enflasyonu değil, beklenen enflasyonu da dikkate alması gerektiği anlaşılmaktadır. Buna göre, Türkiye’de faiz oranlarının belirlenmesinde fiyat istikrarı hedefiyle uyumlu bir yaklaşım benimsenmeli, reel faiz hedeflemesi yerine enflasyon hedeflemesi ve finansal istikrarın sağlanması önceliklendirilmeli, para politikalarının etkinliğini artırmak için şeffaflık, koordinasyon ve veri odaklı yönetim stratejileri bütüncül bir şekilde uygulanmalıdır.

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Cite This Article

Koçbulut, Ö., Çalışkan, F. (2025). An analysis of the long-run relationship between inflation and interest rates in turkey within the framework of Fisher Hypothesis. Kayseri Üniversitesi Sosyal Bilimler Dergisi, Cilt: 7 Sayı: 2, 404–432. https://doi.org/10.51177/kayusosder.1700047

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