Can asymmetries account for the empirical failure of the Fisher effect in South Africa?
AbstractThis paper investigates whether unobserved asymmetries can account for irregularities in the Fisher effect for the exclusive case of South Africa. This objective is attained by investigating unit roots within a threshold auto-regressive (TAR) models and estimating a threshold vector error correction (TVEC) models for the data. The empirical analysis depicts significant long-run Fisher effects whereas such effects are deficient with regards to the short-run. These results improve on those obtained in preceding studies for South Africa, in the sense of being closely emulated with the original hypothesis as presented by Fisher (1907).
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Bibliographic InfoArticle provided by AccessEcon in its journal Economics Bulletin.
Volume (Year): 31 (2011)
Issue (Month): 3 ()
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South Africa; Fisher effect; Inflation; Interest Rates; Threshold Co-integration;
Find related papers by JEL classification:
- E0 - Macroeconomics and Monetary Economics - - General
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
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