Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/171910
Authors: 
Clemente, Jesús
Gadea, María Dolores
Montañés, Antonio
Reyes, Marcelo
Year of Publication: 
2017
Citation: 
[Journal:] Econometrics [ISSN:] 2225-1146 [Volume:] 5 [Year:] 2017 [Issue:] 1 [Pages:] 1-17
Abstract: 
This study reconsiders the common unit root/co-integration approach to test for the Fisher effect for the economies of the G7 countries. We first show that nominal interest and inflation rates are better represented as I(0) variables. Later, we use the Bai-Perron procedure to show the existence of structural changes in the Fisher equation. After considering these breaks, we find very limited evidence of a total Fisher effect as the transmission coefficient of the expected inflation rates to nominal interest rates is very different than one.
Subjects: 
unit roots
structural breaks
interest rates
inflation
Fisher effect
JEL: 
C22
E43
Persistent Identifier of the first edition: 
Creative Commons License: 
http://creativecommons.org/licenses/by/4.0/
Document Type: 
Article

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