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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 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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File URL: http://www2.fundacion-centra.org/pdfs/E200322.pdf
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Bibliographic Info

Paper provided by Centro de Estudios Andaluces in its series Economic Working Papers at Centro de Estudios Andaluces with number E2003_22.

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Length: 34 pages
Date of creation: 2003
Date of revision:
Handle: RePEc:cea:doctra:e2003_22

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Related research

Keywords: Interest rate; Fisher effect; Structural breaks; Cointegration.;

Other versions of this item:

Find related papers by JEL classification:

• 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

This paper has been announced in the following NEP Reports:

• NEP-ALL-2003-05-15 (All new papers)
• NEP-MAC-2003-05-15 (Macroeconomics)

References

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1. 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.
2. 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.
   
   • 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.
3. Edward Nelson, 2000. "UK monetary policy 1972-97: a guide using Taylor rules," Bank of England working papers 120, Bank of England.
   
   • Nelson, Edward, 2001. "UK Monetary Policy 1972-97: A Guide Using Taylor Rules," CEPR Discussion Papers 2931, C.E.P.R. Discussion Papers.
4. 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.

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Cited by:

1. 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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