6533b7d1fe1ef96bd125d516
RESEARCH PRODUCT
Is the Fisher effect non-linear? some evidence for Spain, 1963–2002
Vicente EsteveCarmen Díaz-roldánOscar Bajo-rubiosubject
Nominal interest rateInflationEconomics and EconometricsNonlinear systemCointegrationOrder (exchange)media_common.quotation_subjectEconometricsEconomicsFisher hypothesisInternational Fisher effectFinancemedia_commondescription
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.
| year | journal | country | edition | language |
|---|---|---|---|---|
| 2005-08-01 | Applied Financial Economics |