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Fisher effect in nonlinear STAR framework: some evidence from Asia

Author

Listed:
  • Shabbir Ahmad

    () (University of Nizwa, Oman)

Abstract

This study tests the presence of the long run Fisher effect in eight Asian economies. Using monthly data and a variety of interest rates, the paper employs a recent nonlinear methodology to capture the long run relationship between the nominal interest rate and the inflation rate. The estimation results on the basis of the new methodology are encouraging and indicate the validity of Fisher effect in almost all the examined economies.

Suggested Citation

  • Shabbir Ahmad, 2010. "Fisher effect in nonlinear STAR framework: some evidence from Asia," Economics Bulletin, AccessEcon, vol. 30(4), pages 2558-2566.
  • Handle: RePEc:ebl:ecbull:eb-10-00418
    as

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    File URL: http://www.accessecon.com/Pubs/EB/2010/Volume30/EB-10-V30-I4-P235.pdf
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    References listed on IDEAS

    as
    1. Ramon Maria-Dolores, 2005. "Monetary Policy Rules In Accession Countries to EU: Is the Taylor rule a pattern?," Economics Bulletin, AccessEcon, vol. 5(7), pages 1-16.
    2. Ruge-Murcia, Francisco J., 2003. "Does the Barro-Gordon model explain the behavior of US inflation? A reexamination of the empirical evidence," Journal of Monetary Economics, Elsevier, pages 1375-1390.
    3. repec:ebl:ecbull:v:5:y:2007:i:3:p:1-11 is not listed on IDEAS
    4. repec:ebl:ecbull:v:5:y:2005:i:7:p:1-16 is not listed on IDEAS
    5. Juan Paez-Farrell, 2007. "Understanding monetary policy in Central European countries using Taylor-type rules: the case of the Visegrad four," Economics Bulletin, AccessEcon, vol. 5(3), pages 1-11.
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    Cited by:

    1. Andrew Phiri & Peter Lusanga, 2011. "Can asymmetries account for the empirical failure of the Fisher effect in South Africa?," Economics Bulletin, AccessEcon, vol. 31(3), pages 1968-1979.

    More about this item

    Keywords

    Non-linearity; Unit Roots; Cointegration; ADF;

    JEL classification:

    • F0 - International Economics - - General
    • E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates

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