Advanced Search
MyIDEAS: Login

Structural Breaks, Inflation and Interest Rates: Evidence for the G7 countries


Author Info

  • Jesus Clemente

    (U. Zaragoza)

  • Antonio Montañes

    (U. Zaragoza)

  • Marcelo Reyes

    (U. Zaragoza)


This paper challenges the commonly used unit root/cointegration approach for testing the Fisher effect for the economies of the G7 countries. We first prove that nominal interest and inflation rate can be better represented as being broken trend stationary variables. Later, we use the Bai-Perron procedure to show the existence of structural changes in the Fisher equation. When these characteristics are taken into account the Fisher hypothesis we can only offer evidence in favor of this hypothesis for the US, the French and the Japanese economies.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL:
Download Restriction: no

Bibliographic Info

Paper provided by EconWPA in its series Econometrics with number 0401005.

as in new window
Length: 30 pages
Date of creation: 15 Jan 2004
Date of revision:
Handle: RePEc:wpa:wuwpem:0401005

Note: Type of Document - pdf; prepared on win98; pages: 30
Contact details of provider:
Web page:

Related research

Keywords: Unit Roots; Structural Breaks; Interest rates; Inflation; \ Fisher Effect;

Find related papers by JEL classification:

This paper has been announced in the following NEP Reports:


No references listed on IDEAS
You can help add them by filling out this form.


Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Maghyereh, A. & Al-Zoubi, H., 2006. "Does Fisher Effect Apply in Developing Countries: Evidence From a Nonlinear Cotrending Test applied to Argentina, Brazil, Malysia, Mexico, Korea and Turkey," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 6(2).


This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.


Access and download statistics


When requesting a correction, please mention this item's handle: RePEc:wpa:wuwpem:0401005. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (EconWPA).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.