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Is the Fisher Effect Nonlinear? Some Evidence for Spain, 1963-2002

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Author Info
Óscar Bajo Rubio () (U. 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 examine the role of nonlinearities in the relationship between nominal interest rates and inflation, in order to shed some additional light on the mostly unfavorable 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 us to re-examine and extend previous results on the subject. The empirical methodology makes use of recent developments on threshold cointegration, so that cointegration between a pair of variables should be expected once a certain threshold was reached.

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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 E2004/05.

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Length: 26 pages
Date of creation: 2004
Date of revision:
Handle: RePEc:cea:doctra:e2004_05

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Related research
Keywords: Interest rate; Fisher effect; Threshold cointegration; nonlinearity.;

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 2009-12-12.

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