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Testing the Fisher Effect in the Presence of Structural Change: A Case Study of the UK,1961-2001

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Author Info
Oscar Bajo-Rubio () (Universidad de Castilla-La Mancha)
Carmen Díaz-Roldán () (Universidad de Castilla-La Mancha)
Vicente Esteve () (Universidad de Valencia)

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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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Publisher 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.;

Find related papers by JEL classification:
E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Determination of Interest Rates; Term Structure of Interest Rates
E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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This page was last updated on 2009-11-16.

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