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

Listed author(s):
  • Rodionova, Alena

    ()

    (National Research Institute Higher School of Economics)

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    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.

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    File URL: ftp://w82.ranepa.ru/rnp/ecopol/ep1417.pdf
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    Article provided by Russian Presidential Academy of National Economy and Public Administration in its journal Economic Policy.

    Volume (Year): (2014)
    Issue (Month): ()
    Pages: 116-139

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    Handle: RePEc:rnp:ecopol:ep1417
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    1. 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.
    2. Ky-Hyang Yuhn, 1996. "Is the Fisher effect robust? Further evidence," Applied Economics Letters, Taylor & Francis Journals, vol. 3(1), pages 41-44.
    3. 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.
    4. 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.
    5. 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.
    6. 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.
    7. 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.
    8. Hakan Berument & Mohamed Mehdi Jelassi, 2002. "The Fisher hypothesis: a multi-country analysis," Applied Economics, Taylor & Francis Journals, vol. 34(13), pages 1645-1655.
    9. 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.
    10. 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.
    11. Robert Mundell, 1963. "Inflation and Real Interest," Journal of Political Economy, University of Chicago Press, vol. 71, pages 280-280.
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