Please use this identifier to cite or link to this item:
https://ruomo.lib.uom.gr/handle/7000/537
Title: | The Fisher effect in the presence of time-varying coefficients |
Authors: | Panopoulou, Ekaterini Pantelidis, Theologos |
Type: | Article |
Subjects: | FRASCATI::Social sciences::Economics and Business::Econometrics |
Keywords: | Cointegration Estimators; Fisher E¤ect Monte Carlo Simulations Time-varying Coefficients |
Issue Date: | 2016 |
Source: | Computational Statistics & Data Analysis |
Volume: | 100 |
First Page: | 495 |
Last Page: | 511 |
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 cointegration 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. |
URI: | https://doi.org/10.1016/j.csda.2014.08.015 https://ruomo.lib.uom.gr/handle/7000/537 |
ISSN: | 0167-9473 |
Other Identifiers: | 10.1016/j.csda.2014.08.015 |
Appears in Collections: | Department of Economics |
Files in This Item:
File | Description | Size | Format | |
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The Fisher Effect in the Presence of Time-Varying Coefficients.pdf | 318,88 kB | Adobe PDF | View/Open |
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