IDEAS home Printed from https://ideas.repec.org/a/rnp/ecopol/ep1417.html
   My bibliography  Save this article

Formation of long-term rate of return: Fisher effect in the markets of public debt of developing countries

Author

Listed:
  • Rodionova, Alena

    () (National Research Institute Higher School of Economics)

Abstract

The presented paper is devoted to the study of the long-term effect on domestic Fischer government securities markets of the BRIC countries (Brazil, Russia, India and China) in the period from 2003 to 2012. With the help of the relevant econometric tools (mainly methodology ARDL-bounds test) simulated a long-term trajectory of the dynamics of return, formed on the basis of the convergence of inflationary expectations. The results of the empirical estimates suggest the absence of a full Fisher effect in all countries of the BRIC, with a positive correlation was found with a nominal yield of inflation expectations in the long term in Russia, China and the short-term segment of the yield curve in Brazil.

Suggested Citation

  • Rodionova, Alena, 2014. "Formation of long-term rate of return: Fisher effect in the markets of public debt of developing countries," Economic Policy, Russian Presidential Academy of National Economy and Public Administration, pages 116-139.
  • Handle: RePEc:rnp:ecopol:ep1417
    as

    Download full text from publisher

    File URL: ftp://w82.ranepa.ru/rnp/ecopol/ep1417.pdf
    Download Restriction: no

    References listed on IDEAS

    as
    1. repec:wsi:serxxx:v:48:y:2003:i:02:n:s0217590803000682 is not listed on IDEAS
    2. Hakan Berument & Nildag Basak Ceylan & Hasan Olgun, 2007. "Inflation uncertainty and interest rates: is the Fisher relation universal?," Applied Economics, Taylor & Francis Journals, vol. 39(1), pages 53-68.
    3. Hakan Berument & Mohamed Mehdi Jelassi, 2002. "The Fisher hypothesis: a multi-country analysis," Applied Economics, Taylor & Francis Journals, vol. 34(13), pages 1645-1655.
    4. Dua, Pami & Pandit, B. L., 2002. "Interest rate determination in India: domestic and external factors," Journal of Policy Modeling, Elsevier, vol. 24(9), pages 853-875, December.
    5. Saadet Kirbas Kasman & Adnan Kasman & Evrim Turgutlu, 2005. "Fisher Hypothesis Revisited: A Fractional Cointegration Analysis," Discussion Paper Series 05/04, Dokuz Eyl├╝l University, Faculty of Business, Department of Economics, revised 23 Nov 2005.
    6. N R Bhanumurthy & Shashi Agarwal, 2003. "Interest - Rate Price Nexus in India," Indian Economic Review, Department of Economics, Delhi School of Economics, vol. 38(2), pages 189-203, July.
    7. James Payne & Bradley Ewing, 1997. "Evidence from lesser developed countries on the Fisher hypothesis: a cointegration analysis," Applied Economics Letters, Taylor & Francis Journals, vol. 4(11), pages 683-687.
    8. Ky-Hyang Yuhn, 1996. "Is the Fisher effect robust? Further evidence," Applied Economics Letters, Taylor & Francis Journals, vol. 3(1), pages 41-44.
    9. Francisco Carneiro & Jose Angelo & C. A. Divino & Carlos Rocha, 2002. "Revisiting the Fisher hypothesis for the cases of Argentina, Brazil and Mexico," Applied Economics Letters, Taylor & Francis Journals, vol. 9(2), pages 95-98.
    10. M. -H. Liu & D. Margaritis & A. Tourani-Rad, 2009. "Monetary policy and interest rate rigidity in China," Applied Financial Economics, Taylor & Francis Journals, vol. 19(8), pages 647-657.
    11. Shabbir Ahmad, 2010. "The long-run Fisher effect in developing economies," Studies in Economics and Finance, Emerald Group Publishing, vol. 27(4), pages 268-275, October.
    12. Paresh Kumar Narayan, 2005. "The saving and investment nexus for China: evidence from cointegration tests," Applied Economics, Taylor & Francis Journals, vol. 37(17), pages 1979-1990.
    13. Rapach, David E, 2003. " International Evidence on the Long-Run Impact of Inflation," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 35(1), pages 23-48, February.
    14. Hall, Alastair R, 1994. "Testing for a Unit Root in Time Series with Pretest Data-Based Model Selection," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(4), pages 461-470, October.
    15. Yash P. Mehra, 1994. "An error-correction model of the long-term bond rate," Economic Quarterly, Federal Reserve Bank of Richmond, issue Fall, pages 49-68.
    16. Robert Mundell, 1963. "Inflation and Real Interest," Journal of Political Economy, University of Chicago Press, vol. 71, pages 280-280.
    Full references (including those not matched with items on IDEAS)

    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:rnp:ecopol:ep1417. 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: (RANEPA maintainer). General contact details of provider: http://edirc.repec.org/data/aneeeru.html .

    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 CitEc recognized a reference but did not link an item in RePEc 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 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.