Panopoulou, Ekaterini and Pantelidis, Theologos (2016) The Fisher effect in the presence of time-varying coefficients. Computational Statistics and Data Analysis, 100. pp. 495-511. DOI https://doi.org/10.1016/j.csda.2014.08.015
Panopoulou, Ekaterini and Pantelidis, Theologos (2016) The Fisher effect in the presence of time-varying coefficients. Computational Statistics and Data Analysis, 100. pp. 495-511. DOI https://doi.org/10.1016/j.csda.2014.08.015
Panopoulou, Ekaterini and Pantelidis, Theologos (2016) The Fisher effect in the presence of time-varying coefficients. Computational Statistics and Data Analysis, 100. pp. 495-511. DOI https://doi.org/10.1016/j.csda.2014.08.015
Abstract
A resolution of the Fisher effect puzzle in terms of statistical inference is attempted. Motivation stems from empirical evidence of time-varying coefficients in the data generating process of both the interest rates and inflation rates for 19 OECD countries. These time-varying dynamics crucially affect the behaviour of all the co-integration estimators considered, especially in small samples. When employing simulated critical values instead of asymptotic ones, the results provide ample evidence supporting the existence of a long-run Fisher effect in which interest rates move one-to-one with inflation rates in all countries under scrutiny except for Ireland and Switzerland.
Item Type: | Article |
---|---|
Uncontrolled Keywords: | Co-integration estimators; Fisher effect; Monte Carlo simulations; Time-varying coefficients |
Divisions: | Faculty of Social Sciences Faculty of Social Sciences > Essex Business School |
SWORD Depositor: | Unnamed user with email elements@essex.ac.uk |
Depositing User: | Unnamed user with email elements@essex.ac.uk |
Date Deposited: | 03 Feb 2020 12:54 |
Last Modified: | 30 Oct 2024 20:32 |
URI: | http://repository.essex.ac.uk/id/eprint/26048 |
Available files
Filename: fisher_accepted.pdf