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Testing the Fisher effect in the presence of structural change: A case study of the UK, 1966-2007

  • O Bajo-Rubio
  • C Diaz-Roldan
  • V Esteve

In this paper, we provide an empirical test of the Fisher effect using cointegration techniques, where the existence of instabilities in the cointegrating or long-run relationship is explicitly tested. The analysis is applied to the UK, a country that has been subject to potentially strong regime shifts, for the period 1966-2007. To this end, we apply some recent econometric techniques aimed to detect eventual structural changes, allowing the instability to occur at an unknown date.

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Article provided by Economic Issues in its journal Economic Issues.

Volume (Year): 15 (2010)
Issue (Month): 2 (September)
Pages: 1-16

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Handle: RePEc:eis:articl:210bajo
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