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Does the Fisher Effect Apply in Greece? A Cointegration Analysis




In this paper we tried to investigate if the Fisher effect (hypothesis) holds for the Greek economy using recent econometric techniques. The main result of this paper is that the nominal interest rate does not move together with the inflation rate over the long-run which means that the Fisher hypothesis can not be taken as a long-run equilibrium phenomenon in the case of Greece. The implication of this invalidity is that external factors play a direct role in the determination of the domestic nominal interest rate, something which is reasonable for an open economy, as is the Greek economy where there is extensive capital mobility.

Suggested Citation

  • Paleologos, John M. & Georgantelis, Spyros E., 1999. "Does the Fisher Effect Apply in Greece? A Cointegration Analysis," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 52(2), pages 229-243.
  • Handle: RePEc:ris:ecoint:0278

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    References listed on IDEAS

    1. Peter C. B. Phillips & Bruce E. Hansen, 1990. "Statistical Inference in Instrumental Variables Regression with I(1) Processes," Review of Economic Studies, Oxford University Press, vol. 57(1), pages 99-125.
    2. Phillips, P.C.B., 1986. "Understanding spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 33(3), pages 311-340, December.
    3. Lee, Joong-Koon, 1971. "Exports and the Propensity to Save in L.D.C.s," Economic Journal, Royal Economic Society, vol. 81(322), pages 341-351, June.
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    Cited by:

    1. Paleologos J. & Georgantelis S., 2002. "Testing the Degree of Openness of the Greek Capital Account: A Cointegration Analysis," European Research Studies Journal, European Research Studies Journal, vol. 0(3-4), pages 59-70, July-Dece.

    More about this item

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects


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