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Is the Fisher effect non-linear? some evidence for Spain, 1963-2002

  • Oscar Bajo-Rubio
  • Carmen Diaz-Roldan
  • Vicente Esteve

In this paper the role of non-linearities in the relationship between nominal interest rates and inflation is examined, in order to shed some additional light on the mostly unfavourable evidence on the presence of a full Fisher effect. The analysis is applied to the case of Spain for the period 1963-2002, which allows previous results on the subject to be re-examined and extended. The empirical methodology makes use of recent developments on threshold cointegration, so that cointegration between a pair of variables should be expected only once a certain threshold was reached.

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Article provided by Taylor & Francis Journals in its journal Applied Financial Economics.

Volume (Year): 15 (2005)
Issue (Month): 12 ()
Pages: 849-854

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Handle: RePEc:taf:apfiec:v:15:y:2005:i:12:p:849-854
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