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The fisher relationship in Nigeria

Author

Listed:
  • Borja Balparda

    (University of Navarra)

  • Guglielmo Maria Caporale

    (Brunel University London
    CESifo
    DIW Berlin)

  • Luis Alberiko Gil-Alana

    (University of Navarra)

Abstract

This paper examines the Fisher relationship in the case of Nigeria by carrying out standard unit root tests and applying fractional integration techniques to 1-month, 3-month, 6-month and 12-month deposit rates and inflation. The evidence indicates that this relationship only holds for very short-term (1-month) interest rates, and therefore only these nominal rates are a useful predictor of the inflation rate. For other short-term rates the lack of a Fisher effect suggests that they could be used as a monetary policy tool.

Suggested Citation

  • Borja Balparda & Guglielmo Maria Caporale & Luis Alberiko Gil-Alana, 2017. "The fisher relationship in Nigeria," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 41(2), pages 343-353, April.
    • Handle: RePEc:spr:jecfin:v:41:y:2017:i:2:d:10.1007_s12197-016-9355-9
    DOI: 10.1007/s12197-016-9355-9
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    More about this item

    Keywords

    Fisher effect; Unit root tests; Fractional integration;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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