Is the Fisher effect non-linear? some evidence for Spain, 1963-2002
AbstractIn this paper the role of non-linearities in the relationship between nominal interest rates and inflation is examined, in order to shed some additional light on the mostly unfavourable evidence on the presence of a full Fisher effect. The analysis is applied to the case of Spain for the period 1963-2002, which allows previous results on the subject to be re-examined and extended. The empirical methodology makes use of recent developments on threshold cointegration, so that cointegration between a pair of variables should be expected only once a certain threshold was reached.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Financial Economics.
Volume (Year): 15 (2005)
Issue (Month): 12 ()
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Other versions of this item:
- Óscar Bajo Rubio & Carmen Díaz Roldán & Vicente Esteve, 2004. "Is the Fisher Effect Nonlinear? Some Evidence for Spain, 1963-2002," Economic Working Papers at Centro de Estudios Andaluces E2004/05, Centro de Estudios Andaluces.
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
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- O Bajo-Rubio & C Diaz-Roldan & V Esteve, 2010.
"Testing the Fisher effect in the presence of structural change: A case study of the UK, 1966-2007,"
Economic Issues Journal Articles,
Economic Issues, vol. 15(2), pages 1-16, September.
- Oscar Bajo-Rubio & Carmen Díaz-Roldán & Vicente Esteve, 2003. "Testing the Fisher Effect in the Presence of Structural Change: A Case Study of the UK,1961-2001," Economic Working Papers at Centro de Estudios Andaluces E2003_22, Centro de Estudios Andaluces.
- 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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