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Is the Fisher Effect Nonlinear? Some Evidence for Spain, 1963-2002



In this paper we examine the role of nonlinearities in the relationship between nominal interest rates and inflation, in order to shed some additional light on the mostly unfavorable 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 us to re-examine and extend previous results on the subject. The empirical methodology makes use of recent developments on threshold cointegration, so that cointegration between a pair of variables should be expected once a certain threshold was reached.

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  • Óscar Bajo Rubio & Carmen Díaz Roldán & Vicente Esteve, 2004. "Is the Fisher Effect Nonlinear? Some Evidence for Spain, 1963-2002," Economic Working Papers at Centro de Estudios Andaluces E2004/05, Centro de Estudios Andaluces.
  • Handle: RePEc:cea:doctra:e2004_05

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    Cited by:

    1. O Bajo-Rubio & C Diaz-Roldan & V Esteve, 2010. "Testing the Fisher effect in the presence of structural change: A case study of the UK, 1966-2007," Economic Issues Journal Articles, Economic Issues, vol. 15(2), pages 1-16, September.
    2. Andrew Phiri & Peter Lusanga, 2011. "Can asymmetries account for the empirical failure of the Fisher effect in South Africa?," Economics Bulletin, AccessEcon, vol. 31(3), pages 1968-1979.
    3. Navoda Edirisinghe & Selliah Sivarajasingham & John Nigel, 2015. "An Empirical Study of the Fisher Effect and the Dynamic Relationship between Inflation and Interest Rate in Sri Lanka," International Journal of Business and Social Research, MIR Center for Socio-Economic Research, vol. 5(1), pages 47-62, January.

    More about this item


    Interest rate; Fisher effect; Threshold cointegration; nonlinearity.;

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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