Please use this identifier to cite or link to this item: https://hdl.handle.net/11499/47543
Title: Asymmetric Fisher Effect in Inflation Targeting Emerging Markets: Evidence From Quantile Co-Integration
Authors: Nazlioglu, Saban
Gurel, SinemPinar
Gunes, Sevcan
Kilic, Emre
Keywords: Fisher Hypothesis
Inflation Targeting
Emerging Markets
Quantile Co-Integration
Publisher: Routledge Journals, Taylor & Francis Ltd
Abstract: We test Fisher hypothesis in 14 inflation targeting emerging countries by quantile co-integration approach allowing asymmetric behaviour of long-run co-integration relationship. While conventional co-integration methods do not support Fisher hypothesis for any country, quantile co-integration approach confirms Fisher hypothesis in nine countries with time-varying behaviour of Fisher coefficient. Our results thereby can shed light on Fisher puzzle in inflation targeting emerging markets and provide insightful implications. The findings suggest that inflation targeting in emerging markets would lead to an asymmetric adjustment, implying heterogeneous effects of negative and positive shocks. Monetary authorities, in particular, tend to increase short-term interest rates by a larger amount during high inflation period than low inflation period.
Description: Kilic, Emre/0000-0003-2900-5123; Nazlioglu, Saban/0000-0002-3607-3434
URI: https://doi.org/10.1080/13504851.2021.1967859
ISSN: 1350-4851
1466-4291
Appears in Collections:İktisadi ve İdari Bilimler Fakültesi Koleksiyonu
Scopus İndeksli Yayınlar Koleksiyonu / Scopus Indexed Publications Collection
WoS İndeksli Yayınlar Koleksiyonu / WoS Indexed Publications Collection

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