IDEAS home Printed from
MyIDEAS: Log in (now much improved!) to save this article

Modèles à seuil et relation de Fisher : une application à l'économie allemande

Listed author(s):
  • Jens Weidmann
Registered author(s):

    [eng] Threshold Models and the Fisher Effect : an Application to the German Economy by Jens Weidmann This paper reassesses the long-run relation between nominal interest rates and inflation using German data. It shows that the empirical rejection of the strict Fisher effect in previous studies can be attributed to the time-series behaviour of inflation and interest rates not accounted for by standard non-stationary models. It is argued that the stochastic process governing the bivariate system of inflation and interest rates depends on the level of the variables and should be modelled as a threshold cointégration model. This model can be given an economic interpretation in terms of the behaviour of a central bank adopting the opportunistic approach of disinflation. The full Fisher effect, even in its tax-adjusted form, cannot be rejected when a threshold model is estimated. The threshold cointégration model not only explains the downward bias of the coefficient estimates, but also the time-period and country sensitivity observed in previous studies. [fre] Modèles à seuil et relation de Fisher : une application à l'économie allemande par Jens Weidmann Cet article reprend l'analyse de la relation de Fisher dans le cadre de l'économie allemande. L'étude permet d'attribuer le rejet de cette hypothèse aux propriétés des séries de taux d'intérêt nominaux et de taux d'inflation, non prises en compte dans les modèles traditionnels. Ces deux variables sont expliquées par un modèle de cointégration à seuil dans lequel apparaissent les niveaux du taux d'inflation et du taux d'intérêt. Ce modèle a une interprétation économique que l'on peut retrouver dans le comportement d'une banque centrale adoptant une approche dite " opportuniste " de la désinflation. Il permet d'accepter l'hypothèse de Fisher (au sens strict ou corrigée des effets de fiscalité). Il permet également d'expliquer la sous-estimation des coefficients ainsi que la sensibilité des résultats aux pays et aux périodes constatée dans les études antérieures.

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

    File URL:
    Download Restriction: no

    File URL:
    Download Restriction: no

    Article provided by Programme National Persée in its journal Économie & prévision.

    Volume (Year): 140 (1999)
    Issue (Month): 4 ()
    Pages: 35-44

    in new window

    Handle: RePEc:prs:ecoprv:ecop_0249-4744_1999_num_140_4_5973
    Note: DOI:10.3406/ecop.1999.5973
    Contact details of provider: Web page:

    No references listed on IDEAS
    You can help add them by filling out this form.

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:prs:ecoprv:ecop_0249-4744_1999_num_140_4_5973. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Equipe PERSEE)

    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.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with 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 profile, as there may be some citations waiting for confirmation.

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

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.