Preliminary version. Please do not quote without permission. DO TAX IMPLICATIONS CHANGE THE FISHER EFFECT FOR THE TURKİSH ECONOMY?

Transcription

1 Prliminar vrsion. Plas do no quo wihou prmission. DO AX IMPLIAIONS HANGE HE FISHER EFFE FOR HE URKİSH EONOMY? Knan Lopcu, Nuran oşkun, Sülman Dğirmn Absrac his sud invsigas h validi of h convnional and ax-adjusd Fishr ffcs using im sris mhods such as ARDL Bound s, and Grgor-Hansn coingraion s. o compar h ffcs of h convnional and ax-adjusd on, i uss wo diffrn im sris daa for inrs ras: ) inrs ras adjusd for axs, and ) inrs ras no adjusd for axs, along wih diffrn im sris frqunc. For quarrl laion ra, daa s covrs ovr h priod from 99: hrough :8. For annual laion ra, daa s covrs ovr h priod from 99: hrough :. Boh G-H and ARDL Bound ss suppor h convnional and ax-adjusd Fishr ffc. Howvr, h magniud of h cofficin for ax adjusd Fishr ffc nds o dclin in h rsuls of Bound s, and dos no chang conrar o h liraur for h G-H s. Inroducion h xisnc of h Fishr ffc in a counr is imporan in dciding whhr implmnd conomic policis ar susainabl. Whn a counr xprincs dviaions from is argd laion ra du o shocks o h ssm, h nominal inrs ra could b a significan insrumn for laion arging, givn h coingraion bwn h nominal inrs ra and laion. hus, for counris lik urk, which aims a pric sabili, h nominal inrs ra is a significan insrumn for long-run laion arging. In h las dcads, h mpirical validi of h Fishr ffc has bn rsudid xnsivl in h liraur, mosl du o h dvlopmn of im sris mhods daling wih non-saionar daa. Rsarchrs now hav various coingraion (Engl-Grangr, Johansn) and VAR chniqus in hir hands o s h long-run rlaionship bwn individuall non-saionar sris. Howvr, ponial shorcomings of hs sudis ar ) ha hs chniqus rquir ha individual sris b non-saionar; and ) mos of hs Çukurova Univrsi, Dparmn of Economrics, mail: klopcu@cu.du.r Mrsin Univrsi, Dparmn of Economics, mail: ncoskun@mrsin.du.r Mrsin Univrsi, Dparmn of Economics, mail: sulmandgirmn@gmail.com

2 sudis s h xisnc of a convnional Fishr ffc rahr han a ax-adjusd Fishr ffc. h purpos of his sud, hn, is o s if h convnional and ax-adjusd Fishr ffcs ar valid for urk, on of h mos dnamic conomis in h classificaion of dvloping counris. his sud also aims o conribu o h currn liraur b including ax adapaion in h nominal inrs ra for a dvloping counr cas. h sud uss wo diffrn im sris daa for inrs ras: ) inrs ras adjusd for axs, and ) inrs ras no adjusd for axs. im sris mhods such as ARDL bounds s of Psaran, Shin and Smih () and coingraion ss wih srucural brak ar usd o drmin if consisn rsuls for h xisnc of h Fishr ffc can b rachd. In conclusion, for h pos financial libralizaion ra in urk whn ax adapaion has bn spciall implmnd, dclins in h laion ra ar associad wih dclins in h nominal inrs ra. hrfor, in conras o h findings for dvlopd counris (s Akin & o, ), his sud is cauiousl opimisic for finding suppor in favor of boh ps of Fishr ffcs in urk: h convnional and h ax-adjusd Fishr ffc. horical Framwork and Liraur Rviw Fishr (9) hpohsizd ha nominal inrs ra was qual o h sum of boh h ral inrs ra and h xpcd laion ra. H claimd ha nominal inrs ra is comprisd of h ral inrs ra and h xpcd laion of h sam priod. Addiionall, h Fishr ffc assrs ha hr is a linar rlaionship bwn h nominal inrs ra and h xpcd laion, and assums ha h ral inrs ra dos no chang in h long run. If h ral inrs ra is no affcd b monar imbalancs ha affc laion in h long rm, his will caus a rlaionship bwn laion and h nominal inrs ra, lading o h likl xisnc of coingraion bwn h nominal inrs ra and laion. For sing Fishr ffc, which w usd in h rsarch is similar modl wih Harrison (); in ral in E ( ) Using h raional xpcaions modl o sima laion xpcaions; E ( ) - Whr E ( ) = = According o h raional xpcaions modl, his prdicion rror mus b uncorrlad wih h all h variabls in h ormaion s a h im of h prdicion. Fishr quaion and our modl is hn;

3 in ral in Mor gnral his quaion should wrin as fallows for dvloping counris; ( i ) ( r )( ) i r r Bsids, r rm is mor imporan for h dvloping counris which ar suffring from high laion ra. Fishr (9) xamind h rlaionship bwn nominal inrs ras and h ra of laion for h U.S and h U.K. Using annual daa ovr h priod for h US, and 8 94 priod for h U.K. hough Fishr (9) assrs ha nominal inrs and laion should affc on anohr vnl, h fails a prsning h dirc rlaion whil showing i mpiricall. his rsul lads o som dviaions from h Fishr ffc. Mundll (96) aribus Fishr s mpirical rsuls o h laionis procss and b assring ha laionis procss affcs walh ffc in a diminishing wa. Mundll (96) and obin (965) sa ha nominal inrs ras should adjus lss han on o on rlaion du o laion prssurs on h ral inrs ra. Darb (975) and Fldsin (976), argu ha nominal inrs ra would adjus mor han on for on ( /( ) ) o xpcd laion du o h ffc of ax. Shom, Smih and Pinkron (988) argu ha risk avrs invsors nd a prmium o compnsa hm for an risks. armichal and Sbbing (98) assum ha nominal inrs ras on financial asss can b considrd consan ovr im and ha h ral inrs ra movs invrsl wih laion. Afr all, Engsd (996) findings suppors h ax-adjusd Fishr ffc in h sud which is conducd for OED counris. rowdr and Hoffman (996) findings also suppor ax-adjusd Fishr ffc in hir sud don for Amrica. arr, Psando and Smih (976) could no find an vidnc ha suppor ax-adjusd Fishr ffc for anada. Akins and o () found vidnc for h convnional Fishr ffc in h US and anada, bu rjcd h ax-adjusd Fishr ffc for anada and providd mixd rsuls for h US. Evans and Lwis (995) and Mishkin (99) mplo Engl and Grangr s (987) bivaria coingraion s. Nvrhlss, Mishkin s (99) rsuls do no suppor h Fishr hpohsis, Evans and Lwis (995) rsuls suppor h Fishr hpohsis onl whn rgim shifs in h xpcd laion procss ar akn ino accoun. Sinc 994, urk has bn appling nominal inrs incoms on incom ax. h xaminaion of Darb-Fldsin ffc is imporan in rms of polic proposals in h vn of ax applicaion on nominal inrs

4 incoms, b h rason of going for laion arging wih h policis in counris whos main aim is shor rm inrs ras. For urk, urgulu (4), Kasrili (994), Kasman and h ohrs (6) hav obaind h vidnc which suppor h prsnc of Fishr ffc in larg majori of counris, including urk; Şimşk and Kadılar (6), Kös and h ohrs () hav obaind h findings which suppor h prsnc of Fishr ffc in urk. All mniond sudis for urk cas, h xcludd ax adjusmn procdur, which ld us diffr his sud. Daa his sud xamins h validi of Fishr Effc in urk ovr h priod from 99: hrough :. wo diffrn im sris ar usd for nominal inrs ras: i) Inrs ras adjusd for axs ii) Inrs ras no adjusd for axs h quarrl laion ra is masurd as h monh o monh prcn changs in h consumr pric indx muliplid b 4. h annual laion is masurd as h arl changs muliplid b. urk sars o implmn rvnu ax o inrs incoms from 994: up o h prsn. ax ras obaind from h dcisions of ouncil of Minisr. Doubl axaion and ax immuniis ar ruld ou. ax adjusd daa onl givs us an approxima ida. abl : Daa Variabls Dfiniion Sourc Priod Quarrl laion ra. (APR) IFS 99:-:8 in Quarrl nominal inrs ra. (APR) IFS 99:-:8 in ax adjusd quarrl nominal inrs ra. IFS 99:-:8 (APR) İnf Annual laion ra. (APR) IFS 99:-: in Annual nominal inrs ra. (APR) IFS 99:-: in ax adjusd annual nominal inrs ra. (APR) IFS 99:-: ax ax ras for quarrl dposi rvnu. ouncil of 99:-:8 ( ) Minisr Dcisions ax ax ras for annual dposi rvnu. ouncil of 99:-:

5 ( ) Minisr Dcisions Figur: INF IN IN Figur : INF IN IN According o h graphs, dclins in h laion ra ar associad wih dclins in h nominal inrs ra.

6 Mhodolog h mpirical validi of h Fishr ffc has bn rsudid xnsivl in h liraur. Firsl, in his sud w invsiga h ordr of ingraion of h sris. Economiss now hav various coingraion (Engl-Grangr, Johansn) and VAR chniqus in hir hands o s h long-run rlaionship bwn individuall non-saionar sris. Howvr, sill on of hs chniqus shorcomings is rquiring ha individual sris b non-saionar. hrfor, using ARDL boun s o drmin long run rlaionships for h Fishr ffc provids an advanag du o h fac ha h sris do no rquir h assumpion ha nominal inrs ra and laion ar a h sam lvl. On h ohr hand, du o h daa srucur G-H congraion ss which allow for h possibili of rgim shifs is usd. ADF and KPSS Uni Roo s Null hpohsis of KPSS s sas ha h sris is saionar; howvr his is opposi o ADF s sinc is null hpohsis sas ha h sris has a uni roo. ADF s includs boh h daa gnraing procss and h slcion of appropria lag lngh. In his sud, w us -s o choos h appropria lag lngh. For h -s, lags ar rducd from unil finding a significan -valu for h lag. I is spcifid b Nw- Ws Bandwidh criria for KPSS. For h ADF s, w sar h mos xndd modl which includs rnd and drif. hn, w s onl for drif; and finall for non. In his sud for KPSS, w s h modl including rnd and drif. Zivo-Andrws Uni Roo s (ZA) Zivo and Andrws (ZA) s is basd on Prron s procdur for sing uni roo wih an xognous srucural brak. ADF sing srag usd b Prron. His s s null hpohsis sas ha sris has a uni roo wih drif and an xognous srucural brak vrsus alrnaiv hpohsis assuming ha h sris is saionar abou a drminisic im rnd wih an xognous chang in h rnd funcion a a im lik B (< B < for { } ). Zivo and Andrws (99) considr h null hpohsis ha h sris { } is ingrad wihou an xognous srucural brak, and h viw h slcion of poin, for h dumm variabls in Prron s rgrssions. hus, h main diffrnc of ZA s from Pron s s is ha his null hpohss ak h brak fracion o b xognous. h alrnaiv hpohsis sipulas ha h { } can b rprsnd b a rnd saionar procss wih a onim brak in h rnd occurring a an unknown poin in im B, DU(λ),

7 D*(λ) ar dumm variabls. Firs on rprsns h chang in h lvl of h sris; scond on is h chang in h slop of h rnd funcion. Modl A prmis on im chang in h lvl of h sris: k j j A j A B A A A A c D D DU * ) ( Modl B prmis on im chang in h slop of h rnd funcion occurring a im B: k j j B j B B B B c D * ) ( Modl combins h changs in h lvl and h slop of h rnd funcion of h sris. k j j j B c D D DU * ) ( DU(λ), D*(λ) ar dumm variabls. Firs on rprsns h chang in h lvl of h sris; h scond on rprsns h chang in h slop of h rnd funcion. ohrwis, B, - B, ) ( * D ohrwis,, B, - B, ) ( * D ARDL Bound s Approach Psaran, Shin and Smih () dvlopd h bound s approach o dc long run rlaionships rgardlss h sris ar boh I() or boh I(). h mos imporan advanag of using his s o drmin long run rlaionships for h Fishr ffc is ha h sris do no rquir h assumpion ha nominal inrs ra and laion ar a h sam lvl. h appropria lags chos wih using VAR mhod and drmind wih AI, SI or HQ criria. Lags should no hav an auocorrlaion problm. Blow is h long run rlaionship quaion: m i i m i i X Y X Y Y 4 Du o h fac ha h variabls in h ssm can b I() or I(), disribuion of F- saisics is non-sandard. Abov h uppr bound, h null hpohsis of no lvl ffc is rjcd. oncluding h long run rlaionship is xis hn h lags allowd o b diffrn. According o ARDL approach following quaion can us o s h long run rlaionship. m i m i i i X Y Y

8 h rror corrcion rprsnaion of h ARDL modl can b shown as follows: Y m m Y i X i i i Grgor- Hansn oingraion s cm u In his s, Grgor and Hansn (996 a ) dvlopd GH s for coingraion which allows for h possibili of rgim shifs. h null hpohsis sas ha no coingraion is agains h alrnaiv hpohsis of coingraion in h prsnc of a possibl rgim shif. Srucural chang can b in svral forms. Grgor and Hansn dvlopd a mhod for sing coingraion undr h srucural chang of which four ar focusd in his sud (hr of hm ar discussd in h Grgor and Hansn 996(a); and on of hm is discussd in Grgor and Hansn 996(b)). h dumm variabl:, if, if n n,, Whr n is h numbr of obsrvaions and τ (,). iming of h chang poin (n* τ) is h ingr par of h dumm variabl. Modl : Sandard oingraion modl is dscribd b Engl and Grangr (987) as a usful sandard coingraion modl wih no srucural chang. his sandard s is rsidual basd as GH s. Howvr, in his sud Modl ruls ou sinc i has no srucural chang., =, n. Modl : Lvl Shif () modl allows a brak in h inrcp o dc coingraion rlaions., =, n. µ rprsns h inrcp bfor shif, and µ rprsns h chang in h inrcp a h im of h shif. Modl : Lvl shif wih rnd (/) has a rnd and i prmis a brak in h inrcp as h prvious modl., =, n. Modl 4: Rgim Shif Modl (/S) prmis a brak in h inrcp as wll as a rgim shif wih no rnd rm.

9 , =, n. In his cas µ and µ ar as in h modl ; α is h co-ingraing slop cofficins bfor h rgim shif, and α is h chang in h slop cofficins. Modl 5 : rnd and Rgim Shif Modl (//S) is h largs modl which allows a lvl shif as wll as a rnd shif wih rnd rm., =, n. In his cas Grgor and Hansn (996 b ) dfins µ, α, and β as h inrcp, slop cofficins and rnd cofficin rspcivl, and µ, α, β as h corrsponding changs afr h brak. Empirical Rsuls Uni Roo ss Rsuls: Null hpohsis of KPSS s sas ha h sris is saionar; howvr his is opposi o ADF s sinc is null hpohsis sas ha h sris has a uni roo. Mos common uni roo s is h ADF s whos powr is low, in h liraur. onclusion of h ADF and KPSS uni roo ss rsuls ar ha all h sris ingrad of ordr on (s abl ). abl : ADF and KPSS Uni Roo ss Sris ADF KPSS rnd&drif Drif Non rnd&drif Drif k k k k k in in in in riical Valus % %5 % (-.98) (-.4) (-.) (8.4) (6.) (5.6) (-.44) (-.87) (-.57) (6.47) (4.6) (.79) h ADF s is basd on h Dick Fullr rgrssion. k is h numbr of h laggd dpndd variabls, which is calculad b s rd and i is spcifid b Nw-Ws Bandwidh criria for KPSS. (-.58) (-.95) (-.6) (.6) (.46) (.9) (.79) (.46) (.47)

10 In cas of h srucural chang, ZA s is applid and h s rsuls ar prsnd in abl. abl : Zivo- Andrws Uni Roo s Sris Modl A Modl B Modl k s saisic B DU k s Prob. saisic B D k s Prob. saisic B DU D Prob. Prob. Inf in in Inf in in riical valus % %5 % 5.4) (4.8) (4.58) (4.9) (4.4) (4.) (5.57) (5.8) (4.8) k is h numbr of h lag which is drmind b s rducd from. B is h im of h brak poin. ZA uni roo s s null is ha h sris is in ingrad wihou an xognous srucural brak. A abl for bold lrs h null is rjcd. In ohr words alrnaiv hpohsis, h sris hav a saionar procss wih a onim brak, is accpd. oingraion s Rsuls: ARDL bound s rsuls ar displad a h abl 4-a, 4-b, 4-c, 4-d. alculaing F saisics ar abov h uppr bound. hr is no auocorrlaion problm for an slcd lags. abl 4-a : ARDL (4,) for in Rgrssor officin Sandard Error -Raio[Prob] [.] [.] 95% Lowr Bound 95% Uppr Bound 9% Lowr Bound 9% Uppr Bound F-saisic ARDL(4,4) 4.67 ARDL(4,4):Srial orrlaion:hsq() =.4[.44] F(,6) =.96946[.479]

11 abl 4-b: ARDL(4,) for in Rgrssor officin Sandard Error -Raio[Prob] [.] [.] 95% Lowr Bound 95% Uppr Bound 9% Lowr Bound 9% Uppr Bound F-saisic ARDL(,).55 ARDL(,):Srial orrlaion:hsq() = [.69] F(,) =.6865[.7] abl 4-c: ARDL(5,) for in Rgrssor officin Sandard Error -Raio[Prob] in [.] [. 9] 95% Lowr Bound 95% Uppr Bound 9% Lowr Bound 9% Uppr Bound F-saisic ARDL(,) 7.84 ARDL(,):Srial orrlaion:hsq() =.8[.5] F(,) =.9655[.54] abl 4-d: ARDL(,) for in Rgrssor officin Sandard Error -Raio[Prob] in [.] [. ] 95% Lowr Bound 95% Uppr Bound 9% Lowr Bound 9% Uppr Bound

12 F-saisic ARDL(,) ARDL(,):Srial orrlaion:hsq() =.544[.568] F(,) =.84999[.599] For long run cofficin boh convnional and ax adjusd fishr ffcs ar valid for ARDL.. G-H s is usd for sing possibl srucural changs. h rlaionship is xis for all bold lr a abl 5. abl 5 :Grgor Hansn s Modl K ADF Brak Poin Z Brak Poin Z a Brak Poin (in,) -7.7*.658 (7) -6.57*.658 (7) -76.*.658 (7) / (in,) -7.4*.76 (54) -6.55*.76 (54) -74.5*.76 (54) /S (in,) -7.6*.576 (67) -8.4*.9 (5) -.47*.9 (5) //S (in,) -7.47*.47 () -7.9*.47 () -88.6*.47 () (in,) -7.55*.65 (69) -6.6*.669 (6) -77.8*.669 (6) / (in,) -7.47*.76(54) -6.5*. (5) -7.7*. (5) /S (in,) -7.7*.584 (9) -8.*.9 (5) -.5*.9 (5) //S (in,) -7.7*.476 () -6.96*.47 () -8.57*.47 () (in,) (49) (55) (55) / (in, ) 9-5.*.55 (59) (55) (55) /S (in, ) 9-5.7*.59 (8) (46) (46) //S (in, ) 9-5.7*.498 (5) (5) (5) (in, ) *.74 (79) (55) (55) / (in, ) 9-5.9*.5498 (64) (55) (55) /S (in, ) *.759 (8) (46) (46) //S (in, ) (5) (5) (5) / /S //S %/5/ %/5/ %/5/ %/5/ -5./-4.6/ /-4.99/ /-4.95/-4,68-6./-5.5/ /-4.6/ /-4.99/ /-4.95/-4,68-6./-5.5/ /-4.48/ /-47.96/ /-47.4/ /-58.58/-5. h null hpohsis is rjcd, whn calculad s saisic valus ar lss han h criical valus. ADF s rsuls showd ha, for h annual daa s for non-ax adjusd laion in h lvl shif () modl, h null hpohsis (i.., no coingraion) is no rjcd. In his rspc, h annual daa s for ax adjusd laion in rgard of h rjim and rnd shif modl (//S), h null hpohsis can no b rjcd. On h ohr hand, onl

13 for quarrl laion daa s h null hpohsis is rjcd according o h % criical valu of Phillips s Saisics. For significan brak poin using wih Ordinar Las Squars mhod (OLS), following modls ar simad. : in dumm E( ) / :in rnd dumm E( ) / S : in dumm dumme( ) / / S :in dummrnd rnd dumm E( ) 4dummE( ) 4 abl 6: Grgor Hansn Esimaion Modl officin Sandard Error GH- 4 (67) / S :in dumm dumm s Saisic Prob..6E-4 6.6E-4 5.5E- 6.45E-9 GH- 4 (5) / S :in dumm dumm E- 7.84E-.76E-.6E-5 GH- 4 (94) / S : in dumm GH- 4 (5) / S : in dumm GH- (59) / :in GH-5 (5) / / S :in dumm dumm dummrnd 5 GH- (79) dumm dumm rnd dumm rnd 4 : in dumm E E-7 6.9E-.85E-.6E-6 7.E-4.7E-.88E-6.E-6.4E-.5E-7.58E E-6 6.E-.99E E E- 5.4E-8.6E-47 GH E-9

14 (64) / : in GH- 4 (8) / S : in dumm dumm rnd dumm E E-7 4.6E- 6.5E-9..4E-5.85 According o h ARDL Bound s, abl 6 shows ha cofficins ar qui clos on for boh convnional and ax-adjusd Fishr ffc, spciall afr h brak. h ffc of a % incras in laion ra, causs % incras in h inrs ras bfor h brak. Howvr, afr h brak % incras in laion causs h ris of inrs ras 9 %. whn h sandard rrors ar akn ino considraion, h prsnc of Fishr ffc canno b rjcd for all daa s. onclusion: W sudid h convnional and non-convnional sl of h Fishr ffc for urk o humbl implica a polic for an incumbn govrnmn. Du o h ral inrs ra in dvlopd counris (i.., small opn conomis) is closr o h world inrs ra compard o undvlopd counris, Darb and Fldsin ffc should mosl xpc for dvlopd counris. For h dvloping counris which ar suffring from high laion ra, r rm is mor imporan rahr han h dvlopd counris. Mundll (96) and obin (965) mnion ha h laion would hav an ffc upon h ral monar sabili du o h fac ha - wih an incras in h anicipad laionh conomic agns prfr holding ohr rsourcs rahr han holding mon; and his siuaion would caus h nominal ras o b low insanl. Undr h circumsancs, scondl, i is known ha high laion ra and high inrs ra domina h daa s. Having rgard o Mundll-obin ffc for ax implicaions, h wlfar loss causd b h laionis procss also can b sn as an xplanaion ha h cofficins ar in ndnc o b lowr han on. In h sud, w usd following variabls: laion ra basd on PI, and wo diffrn dposi ras, ax adjusd and non-ax adjusd nominal inrs ras. ARDL bounds s and Grgor-Hansn coingraion s ar usd for sing h validi of convnional and ax adjusd Fishr ffcs. Boh G-H and ARDL Bound ss suppor h convnional and ax-adjusd Fishr ffcs. Bu h magniud of h cofficin for ax

15 adjusd Fishr ffc nds o dclin in Bound s and dos no chang conrar o h liraur for h G-H s. Firs of all, urk s ral inrs ra is abov h world inrs ra, hus h invsors can prfr o invs if ral inrs ras ar sill high o h rs of h world. According o h G-H coingraion s rsuls, ax implicaions on h nominal inrs ra dos no affc h saving and invsmn rlaionship. hrfor, public (ax) rvnus should obaind wih dirc axing insad of indirc axing causing an incras in laion. Afr all, dposi inrs ras dos no conain xcpional cass as ax immuniis and doubl axaion; h ar prfrrd b small invsors rahr han profssional invsors or big companis. hrfor, h rsuls should compar wih h ohr nominal inrs ras such as rasur bill ras. Rfrncs: Akins, F. and o, P.J. (). An ARDL bounds s of h long-run Fishr ffc in h Unid Sas and anada, Journal of Macroconomics, 4, : arr, J., Psado, J.E. and Smih, L.B. (976). ax ffcs, pric xpcaions and h nominal ra of inrs, Economic Inquir, 4, rowdr, W.J. (997). h long-run Fishr rlaion in anada, anadian Journal of Economics,, 4:4-4. rowdr, W.J. and Hoffman, D.L. (996). h Long-run rlaionship bwn nominal inrs ras and laion: h Fishr quaion rvisid, Journal of Mon, rdi, and Banking, 8, :-8. rowdr, W.J. and Wohar, M.E. (999). Ar ax ffcs imporan in h longrun Fishr rlaionship? Evidnc from h municipal bond mark, Journal of Financ, 54,:7-7. Dick, D. A. and W. A. Fullr. (979). Disribuion of h Esimaors for Auorgrssiv im Sris wih a Uni Roo. Journal of h Amrican Saisical Associaion, 74, Darb, M.R. (975). h financial and ax ffcs of monar polic on inrs ras, Economic Inquir,, : Engsd,. (996). Non-saionari and ax ffcs in h long-rm Fishr Hpohsis, Applid Economics, 8, 7:

16 Fama, E.F. (975). Shor-rm Inrs ras as prdicors of laion, Amrican Economic Rviw, 65, :69-8. Fldsin, M. (976). Inflaion, incom ax and h ra of inrs: A horical analsis, Amrican Economic Rviw, 66, Fıshr, I. (9). h hor of Inrs. Nw York: Macmillan. Grgor, Alln W. and Bruc, E. Hansn. (996). Rsidual-basd ss for coingraion in modls wih rgim shifs, Journal of Economrics, 7,99 6. Grgor, AllnW., JamsM.Nason and David G. Wa. (994). sing for srucural braks in coingrad rlaionships, Journal of Economrics, 7, no. : 4. Harrison, M. (). Valuing h Fuur: h social discoun ra in cos-bnfi analsis, Ausrailian Govrnmn Producivi ommission. Kasman, S. Kasman, A. urgulu, E. (6). Fishr hpohsis rvisid: a fracional coingraion analsis, Emrging Marks Financ rad, 4, Kös, N., Emirmahmuoğlu, F. Akso, S. (). h inrs ra- laion rlaionship undr laion arging rgim: h cas of urk, Journal of Asian Economics, 84,. Ksrili, M. (994). Polic Rgim hangs and sing for h Fishr and UIP Hpohss: h urkish Evidnc, h nral Bank of h Rpublic of urk, 94. Mishkin, F.S. (99). Is h Fishr ffc for ral? A rxaminaion of h rlaionship bwn laion and inrs ras, Journal of Monar Economics,, Mishkin, F.S. (). Inflaion arging in mrging mark counris, Amrican Economic Rwiw, 9,5-9. Mundll, R. (96). Inflaion and ral inrs. Journal of Poliical Econom. 7,8-8. MB. (6). ürki umhurii Mrkz Bankası Bilançosu Açıklamalar, Rasolar v Para Poliikası Yansımaları. MB, Ankara. Prron, Pirr. (989). h gra crash, h oil pric shock, and h uni roo hpohsis. Economrica 57, 6 4. Psaran, M. H., Shin, Y. v Smih, R. J. (), Bound sing Approachs o h Analsis of Long-Run Rlaionships, Journal of Applid Economrics, 6, obin, J. (965). Mon and conomic growh, Economrica,, obin, J. (949). axs, Saving, and Inflaion, h Amrican Economic Rviw, 9, 6.

17 urgulu, E. (4). Fishr Hipozinin uarlılığının si: Parçalı Durağanlık v Parçalı Koingrason Analizi, D.E.İ.İ.B.F Drgisi,9, : Şimşk, M. and Kadılar,. (6)., Fishr Ekisinin ürki Vrilri il si, Doğuş Ünivrsisi Drgisi, 7, 99-. Zivo E. and Andrws D. W. K. (99). Furhr Evidnc on h Gra rash, h Oil-Pric Shock, and h Uni-Roo Hpohsis, Journal of Businss & Economic Saisics,,, 5-7. Appndics: abl 7 : Grgor Hansn Esimaion Modl officin Sandard Error GH- (7) : in dumm GH- (54) / :in GH- 4 * (67) / S :in dumm dumm rnd dumm s Saisic Prob. 5.7E-6.8E- 4.88E-4 6.4E-8.5E-4.59E-7 5.5E-.6E-4 6.6E-4 5.5E- 6.45E-9 GH- 4 * (5) / S :in dumm dumm E- 7.84E-.76E-.6E-5 GH-5 () / / S :in dummrnd dumm 5 dumm rnd E E-.68E-7.7E E-5 abl 8 : Grgor Hansn Esimaion Modl officin Sandard Error GH- (69) : in dumm s Saisic Prob..8E-57.67E- 5.7E-6 GH E-6 (6) E-6 : in dumm E- GH E-45

18 (54) rnd dumm in : / E-.7E- 6.E- abl 9 : Grgor Hansn Esimaion Modl officin Sandard Error s Saisic Prob. GH- * (59) rnd dumm :in / E-6.4E-.5E-7.58E- GH- 4 (8) dumm dumm S, :in / E- 8.58E-4.68E- 4.64E-7 GH-5 (5) dumm dummrnd rnd dumm S 5 4 :in / / E-6 6.E-.99E E-4.77 abl : Grgor Hansn Esimaion Modl officin Sandard Error s Saisic Prob. GH- * (79) dumm in : E- 5.4E-8.6E-47 GH- * (64) rnd dumm in : / E-9.96E E-7 4.6E- GH- 4 * (8) dumm dumm S in : / E-9..4E-5.85