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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
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    File URL: http://www.accessecon.com/Pubs/EB/2010/Volume30/EB-10-V30-I4-P235.pdf
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    Citations

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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.
    2. Andrew Phiri & Lutho Mbekeni, 2021. "Fisher’s hypothesis, survey-based expectations and asymmetric adjustments: Empirical evidence from South Africa," International Economics and Economic Policy, Springer, vol. 18(4), pages 825-846, October.
    3. Somayeh Madadpour & Mohsen Asgari, 2019. "The puzzling relationship between stocks return and inflation: a review article," International Review of Economics, Springer;Happiness Economics and Interpersonal Relations (HEIRS), vol. 66(2), pages 115-145, June.

    More about this item

    Keywords

    Non-linearity; Unit Roots; Cointegration; ADF;
    All these keywords.

    JEL classification:

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

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