The Relationship Between Expected Inflation and Credit Rates in a Regime‐Switching Framework

This study investigates the regime‐dependent link between expected inflation and credit rates under classical Fisher and Neo‐Fisherian hypotheses. Using monthly commercial (TICKREDI) and consumer (TUKREDI) loan rates alongside 12-month inflation expectations (ETUFE) for 2013:M02–2024:M12, stationarity is confirmed via ADF and PP tests and nonlinearity via the BDS test. Two Markov‐switching models are estimated. In the Fisher framework, the ETUFE→TUKREDI coefficient is 1.085 (σ≈10.6%; average duration 17 months) in high-uncertainty regimes and 0.253 (σ≈3.1%; 15.6 months) in low-uncertainty regimes; for TICKREDI, coefficients are 0.894 (σ≈10.2%; 7.6 months) and 0.181 (σ≈2.5%; 11.6 months). Under Neo-Fisherian, commercial rates yield 0.657 (σ≈10.2%; 6 months) and 0.183 (σ≈2.7%; 28 months), while consumer rates are 0.619 (σ≈10.6%; 8.7 months) and 0.187 (σ≈2.9%; 37 months). Results demonstrate that both Fisher hypothesis intensify in high-uncertainty periods, underscoring the relevance of regime-switching analysis and regime-contingent policy design.