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¿Existe un efecto Fisher en el largo plazo? Evidencia para la economía española, 1962-1996

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Abstract

In this paper we provide an empirical test of the long-run Fisher effect for the Spanish case, using quarterly data for the period 1962-1996. To this end, we make use of some new techniques on unit roots and cointegration, where the presence of possible structural changes in the trend of the series is explicitly considered. The results indicate the existence of a partial Fisher effect in the long-run, with a transmission to the nominal interest rate of roughly one third for each point increase in the inflation rate.

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File URL: ftp://ftp.econ.unavarra.es/pub/DocumentosTrab/DT9810.PDF
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Bibliographic Info

Paper provided by Departamento de Economía - Universidad Pública de Navarra in its series Documentos de Trabajo - Lan Gaiak Departamento de Economía - Universidad Pública de Navarra with number 9810.

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Length: 23 pages
Date of creation: 1998
Date of revision:
Publication status: Published in Revista Española de Economía, vol.15., 1998, pp. 149-166
Handle: RePEc:nav:ecupna:9810

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Related research

Keywords: interest rates; inflation; long-run Fisher effect; cointegration.;

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Cited by:
  1. 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.

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