IDEAS home Printed from https://ideas.repec.org/a/eme/jfeppp/jfep-09-2018-0127.html
   My bibliography  Save this article

Testing fisher effect for the USA: application of nonlinear ARDL model

Author

Listed:
  • Serdar Ongan
  • Ismet Gocer

Abstract

Purpose - This paper aims to investigate the presence of the Fisher effect for the USA from a new methodological perspective differing it from all previous studies using the common linear representation of the Fisher equation. Design/methodology/approach - The nonlinear ARDL model, recently developed by Shinet al.(2014), is applied for the 10-year US Government bond rates over the period of 1985M1-2017M10. Findings - The empirical findings indicate that the US Federal Reserve (FED) is a more predominant arbiter in the determination of interest rates during periods of declining inflation rates than periods of rising inflation rates. This finding may allow the FED to apply more proactive and prudent monetary policy. Additionally, this study newly describes and introduces a different version of the partial Fisher effect and extends the Fisher equation to some degree in terms of the partial Fisher effect. Originality/value - To the best the authors’ knowledge, this method is applied for the first time in testing the Fisher effect for the USA.

Suggested Citation

  • Serdar Ongan & Ismet Gocer, 2019. "Testing fisher effect for the USA: application of nonlinear ARDL model," Journal of Financial Economic Policy, Emerald Group Publishing Limited, vol. 12(2), pages 293-304, December.
    • Handle: RePEc:eme:jfeppp:jfep-09-2018-0127
    DOI: 10.1108/JFEP-09-2018-0127
    as

    Download full text from publisher

    File URL: https://www.emerald.com/insight/content/doi/10.1108/JFEP-09-2018-0127/full/html?utm_source=repec&utm_medium=feed&utm_campaign=repec
    Download Restriction: Access to full text is restricted to subscribers
    File URL: https://www.emerald.com/insight/content/doi/10.1108/JFEP-09-2018-0127/full/pdf?utm_source=repec&utm_medium=feed&utm_campaign=repec
    Download Restriction: Access to full text is restricted to subscribers
    File URL: https://libkey.io/10.1108/JFEP-09-2018-0127?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

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


    Cited by:

    1. 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.

    More about this item

    Keywords

    Monetary policy; Macroeconomics and monetary economics; Money and interest rates; Fisher effect; Nonlinear and linear ARDL models; US treasury bonds; Asymmetry; Symmetry; E0; E40; E43; G12;
    All these keywords.

    JEL classification:

    • E0 - Macroeconomics and Monetary Economics - - General
    • E40 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - General
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eme:jfeppp:jfep-09-2018-0127. See general information about how to correct material in RePEc.

    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.

    We have no bibliographic references for this item. You can help adding them by using 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Emerald Support (email available below). General contact details of provider: .

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

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.