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The Fisher effect in the presence of time-varying coefficients

Panopoulou, Ekaterini and Pantelidis, Theologos (2016) 'The Fisher effect in the presence of time-varying coefficients.' Computational Statistics and Data Analysis, 100. 495 - 511. ISSN 0167-9473

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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
Divisions: Faculty of Social Sciences > Essex Business School
Faculty of Social Sciences > Essex Business School > Essex Finance Centre
Depositing User: Elements
Date Deposited: 03 Feb 2020 12:54
Last Modified: 18 Jun 2020 21:15
URI: http://repository.essex.ac.uk/id/eprint/26048

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