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Reconsiderando o efeito Fisher: uma análise de cointegração entre taxas de juros e inflação [Rethinking the Fisher Effect: a co-integration analysis between interest rates and inflation]

Author

Listed:
  • Francisco G. Carneiro

    (Universidade Católica de Brasília)

  • José Ângelo C. A. Divino

    (Universidade Católica de Brasília)

  • Carlos Henrique Rocha

    (Universidade Católica de Brasília)

Abstract

This paper investigates the validity of the Fisher effect hypothesis that it is the interest rate which moves to adjust to the anticipated changes in the rate of inflation. The analysis is carried out with monthly data for the period 1980-97 for three countries with recent histories of chronic high inflation: Argentina, Brazil, and Mexico. A co-integration analysis has provided evidence of a stable long-run equilibrium relationship between nominal interest rates and the inflation rate for the cases of Argentina and Brazil only.

Suggested Citation

  • Francisco G. Carneiro & José Ângelo C. A. Divino & Carlos Henrique Rocha, 2003. "Reconsiderando o efeito Fisher: uma análise de cointegração entre taxas de juros e inflação [Rethinking the Fisher Effect: a co-integration analysis between interest rates and inflation]," Nova Economia, Economics Department, Universidade Federal de Minas Gerais (Brazil), vol. 13(1), pages 81-100, January-J.
    • Handle: RePEc:nov:artigo:v:13:y:2003:i:1:p:81-100
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    Citations

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    Cited by:

    1. Rene Coppe Pimentel & Taufiq Choudhry, 2014. "Stock Returns Under High Inflation and Interest Rates: Evidence from the Brazilian Market," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 50(1), pages 71-92, January.

    More about this item

    Keywords

    inflation; interest rate; monetary policy;
    All these keywords.

    JEL classification:

    • O42 - Economic Development, Innovation, Technological Change, and Growth - - Economic Growth and Aggregate Productivity - - - Monetary Growth Models
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation

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