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Testing the Fisher effect in the presence of structural change: A case study of the UK, 1966-2007

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  • O Bajo-Rubio
  • C Diaz-Roldan
  • V Esteve

Abstract

In this paper, we provide an empirical test of the Fisher effect using cointegration techniques, where the existence of instabilities in the cointegrating or long-run relationship is explicitly tested. The analysis is applied to the UK, a country that has been subject to potentially strong regime shifts, for the period 1966-2007. To this end, we apply some recent econometric techniques aimed to detect eventual structural changes, allowing the instability to occur at an unknown date.

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Bibliographic Info

Article provided by Economic Issues in its journal Economic Issues.

Volume (Year): 15 (2010)
Issue (Month): 2 (September)
Pages: 1-16

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Handle: RePEc:eis:articl:210bajo

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  12. Oscar Bajo & Vicente Esteve, 1998. "¿Existe un efecto Fisher en el largo plazo? Evidencia para la economía española, 1962-1996," Documentos de Trabajo - Lan Gaiak Departamento de Economía - Universidad Pública de Navarra 9810, Departamento de Economía - Universidad Pública de Navarra.
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Cited by:
  1. Muse, Bernard & Alimi, R. Santos, 2012. "Testing an Augmented Fisher Hypothesis for a Small Open Economy: The Case of Nigeria," MPRA Paper 44987, University Library of Munich, Germany.
  2. H.a. Mitchell-innes & M.j. Aziakpono & A.p. Faure, 2007. "Inflation Targeting And The Fisher Effect In South Africa: An Empirical Investigation," South African Journal of Economics, Economic Society of South Africa, vol. 75(4), pages 693-707, December.
  3. Awomuse, Bernard O. & Alimi, Santos R., 2012. "The Relationship between Nominal Interest Rates and Inflation: New Evidence and Implication for Nigeria," MPRA Paper 49684, University Library of Munich, Germany.

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