- Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi
- Cilt: 47 Sayı: 3
- The Relationship Between Expected Inflation and Credit Rates in a Regime‐Switching Framework
The Relationship Between Expected Inflation and Credit Rates in a Regime‐Switching Framework
Authors : Havva Koç
Pages : 396-418
Doi:10.14780/muiibd.1715721
View : 114 | Download : 245
Publication Date : 2025-12-28
Article Type : Research Paper
Abstract :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.Keywords : Beklenen Enflasyon, Kredi Faizleri, Fisher Hipotezi, Neo-Fisherian Hipotez.
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