Fisher effect in nonlinear STAR framework: some evidence from Asia
AbstractThis study tests the presence of the long run Fisher effect in eight Asian economies. Using monthly data and a variety of interest rates, the paper employs a recent nonlinear methodology to capture the long run relationship between the nominal interest rate and the inflation rate. The estimation results on the basis of the new methodology are encouraging and indicate the validity of Fisher effect in almost all the examined economies.
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Bibliographic InfoArticle provided by AccessEcon in its journal Economics Bulletin.
Volume (Year): 30 (2010)
Issue (Month): 4 ()
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Non-linearity; Unit Roots; Cointegration; ADF;
Find related papers by JEL classification:
- F0 - International Economics - - General
- E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates
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- Andrew Phiri & Peter Lusanga, 2011. "Can asymmetries account for the empirical failure of the Fisher effect in South Africa?," Economics Bulletin, AccessEcon, vol. 31(3), pages 1968-1979.
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