The Fisher Hypothesis within the Framework of Long-Run Covariability: The Case of the United Kingdom

Authors : Yağmur TOKATLIOĞLU

Pages : 195-205

Doi:10.17233/sosyoekonomi.2023.03.10

View : 112 | Download : 199

Publication Date : 2023-07-26

Article Type : Research Paper

Abstract :This paper aims to present the long-run covariability between inflation and the interest rate of the United Kingdom by using a new method developed by Müller and Watson insert ignore into journalissuearticles values(2018); that eliminates the low-frequency problems. In this study, the validity of the Fisher hypothesis is investigated under structural break periods for the UK\`s economy. The analysis is carried out with monthly inflation and interest rate for six periods: Full sample insert ignore into journalissuearticles values(1920:1-2019:12);, interwar years insert ignore into journalissuearticles values(1920:1-1939:8);, fixed exchange rate insert ignore into journalissuearticles values(1952:1-1973:2);, Post War II insert ignore into journalissuearticles values(1952:1-1992:9); and two different inflation targeting periods insert ignore into journalissuearticles values(1992:10-2008:8 and 1992:10-2019:12);. The empirical finding suggests that the Fisher hypothesis holds for the United Kingdom in the long-run.
Keywords : Fisher Hipotezi, Uzun Dönemli Ortak Değişkenlik, İngiltere

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