Can asymmetries account for the empirical failure of the Fisher effect in South Africa?
This paper investigates whether unobserved asymmetries can account for irregularities in the Fisher effect for the exclusive case of South Africa. This objective is attained by investigating unit roots within a threshold auto-regressive (TAR) models and estimating a threshold vector error correction (TVEC) models for the data. The empirical analysis depicts significant long-run Fisher effects whereas such effects are deficient with regards to the short-run. These results improve on those obtained in preceding studies for South Africa, in the sense of being closely emulated with the original hypothesis as presented by Fisher (1907).
Volume (Year): 31 (2011)
Issue (Month): 3 ()
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