IDEAS home Printed from
   My bibliography  Save this article

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


  • Jens Weidmann


[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.

Suggested Citation

  • Jens Weidmann, 1999. "Modèles à seuil et relation de Fisher : une application à l'économie allemande," Économie et Prévision, Programme National Persée, vol. 140(4), pages 35-44.
  • Handle: RePEc:prs:ecoprv:ecop_0249-4744_1999_num_140_4_5973
    Note: DOI:10.3406/ecop.1999.5973

    Download full text from publisher

    File URL:
    Download Restriction: no

    File URL:
    Download Restriction: no

    References listed on IDEAS

    1. Bradley, Michael G. & Lumpkin, Stephen A., 1992. "The Treasury Yield Curve as a Cointegrated System," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 27(03), pages 449-463, September.
    2. John C. Cox & Jonathan E. Ingersoll Jr. & Stephen A. Ross, 2005. "A Theory Of The Term Structure Of Interest Rates," World Scientific Book Chapters,in: Theory Of Valuation, chapter 5, pages 129-164 World Scientific Publishing Co. Pte. Ltd..
    3. Shiller, Robert J. & Huston McCulloch, J., 1990. "The term structure of interest rates," Handbook of Monetary Economics,in: B. M. Friedman & F. H. Hahn (ed.), Handbook of Monetary Economics, edition 1, volume 1, chapter 13, pages 627-722 Elsevier.
    4. Gerlach, Stefan & Smets, Frank, 1997. "The term structure of Euro-rates: some evidence in support of the expectations hypothesis," Journal of International Money and Finance, Elsevier, vol. 16(2), pages 305-321, April.
    5. Chan, K C, et al, 1992. " An Empirical Comparison of Alternative Models of the Short-Term Interest Rate," Journal of Finance, American Finance Association, vol. 47(3), pages 1209-1227, July.
    6. Arshanapalli, Bala & Doukas, John, 1994. "Common stochastic trends in a system of Eurocurrency rates," Journal of Banking & Finance, Elsevier, vol. 18(6), pages 1047-1061, December.
    7. Lucas, Robert E, Jr, 1978. "Asset Prices in an Exchange Economy," Econometrica, Econometric Society, vol. 46(6), pages 1429-1445, November.
    8. Epstein, Larry G & Zin, Stanley E, 1989. "Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework," Econometrica, Econometric Society, vol. 57(4), pages 937-969, July.
    9. John Y. Campbell & Robert J. Shiller, 1991. "Yield Spreads and Interest Rate Movements: A Bird's Eye View," Review of Economic Studies, Oxford University Press, vol. 58(3), pages 495-514.
    10. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-1580, November.
    11. Fama, Eugene F & Bliss, Robert R, 1987. "The Information in Long-Maturity Forward Rates," American Economic Review, American Economic Association, vol. 77(4), pages 680-692, September.
    12. Sheikh, Aamir M, 1993. "The Behavior of Volatility Expectations and Their Effects on Expected Returns," The Journal of Business, University of Chicago Press, vol. 66(1), pages 93-116, January.
    13. Stambaugh, Robert F., 1988. "The information in forward rates : Implications for models of the term structure," Journal of Financial Economics, Elsevier, vol. 21(1), pages 41-70, May.
    14. Engsted, Tom & Tanggaard, Carsten, 1994. "Cointegration and the US term structure," Journal of Banking & Finance, Elsevier, vol. 18(1), pages 167-181, January.
    Full references (including those not matched with items on IDEAS)

    More about this item


    Access and download statistics


    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: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). General contact details of provider: .

    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 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.

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

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.