Evaluating the relationship between dividend rates and inflation in the context of the Fisher Hypothesis

This study, aims to test the validity of the Fisher Hypothesis in Turkey on the basis of the causation relationship and to examine the relationship between share of profits and inflation in the context of the Fisher hypothesis. The study, covering monthly data for the period 2004: 01-2021: 02, explored the relationship between inflation rates (CPI) and weighted average interest rates applied to deposits opened TL and average dividend rates paid on participation accounts opened TL using econometric time series analysis. The ADF and also the Zivot-Andrews and Lee-Strazicich Unit Root Tests, which take into account structural breaks, as structural fractures were found to be present in the series, are implemented. The causation relationship between the series was analyzed with the Toda-Yamamoto and the Breitung-Candelon Frequency Area Causality Tests. The analysis found that the Fisher hypothesis was valid for Turkey during the period under review and that there was a one-way causation relationship from inflation to interest. According to the B-C causation test results, the long-term causation relationship from inflation to interest has been identified. This means that inflation has permanently affected interest over the long period. In the context of the Fisher hypothesis, the analysis of the relationship between inflation and the dividend resulted in a one-way causation relationship from inflation to the dividend. According to the B-C causation test, the causation relationship was identified in both the long and short period from inflation to dividend. This means that inflation affects the dividend, both permanently and temporarily.