Testing the Fisher Effect in the Presence of Structural Change: A Case Study of the UK,1961-2001
AbstractIn 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 relationships is explicitly tested. The analysis was applied to the UK, a country that has been subject to potentially stronger regime shifts than other countries over the last years, for the period 1961-2001. To this end, we apply some recent econometric techniques aimed to detect eventual structural changes, allowing the instability to occur at a unknown date. We supply a broad battery of tests in order to illustrate recent developments in the field, which might also be useful to applied econometricians.
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Bibliographic InfoPaper provided by Centro de Estudios Andaluces in its series Economic Working Papers at Centro de Estudios Andaluces with number E2003_22.
Length: 34 pages
Date of creation: 2003
Date of revision:
Interest rate; Fisher effect; Structural breaks; Cointegration.;
Other versions of this item:
- 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.
- 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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- Óscar Bajo Rubio & Carmen Díaz Roldán & Vicente Esteve, 2004.
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- Oscar Bajo-Rubio & Carmen Diaz-Roldan & Vicente Esteve, 2005. "Is the Fisher effect non-linear? some evidence for Spain, 1963-2002," Applied Financial Economics, Taylor and Francis Journals, vol. 15(12), pages 849-854.
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- Shin, Yongcheol, 1994. "A Residual-Based Test of the Null of Cointegration Against the Alternative of No Cointegration," Econometric Theory, Cambridge University Press, vol. 10(01), pages 91-115, March.
- 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.
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