Structural Breaks, In‡ation and Interest Rates: Evidence for the G7 countries
نویسندگان
چکیده
Empirical research has often found that nominal interest and in‡ation rates to be non-stationary. Thus, the analysis of the Fisher effect has been commonly based on cointegration/unit roots techniques. However, we should consider that a potentially serious ‡aw in previous studies is the failure to allow for structural breaks in these variables. Thus, the use of unit roots tests that take into account the presence of breaks in the trend, we can prove that these variables are better characterized as being trend break stationary than integrated. ON the basis of these ...ndings, the conclusion on the Fisher e¤ect should be revised, in that it is necessary to ...nd alternative method for the analysis of this hypothesis that take into account the correct time properties of the series. 2 JEL Codes: C22; E43 2
منابع مشابه
Structural Breaks, Inflation and Interest Rates: Evidence for the G7 countries∗
This paper challenges the commonly used unit root/cointegration approach for testing the Fisher effect for the economies of the G7 countries. We first prove that nominal interest and inflation rate can be better represented as being broken trend stationary variables. Later, we use the Bai-Perron procedure to show the existence of structural changes in the Fisher equation. When these characteris...
متن کاملPurchasing Power Parity Hypothesis In OIC Countries: Evidence From Panel Unit Root Tests With Heterogeneous Structural Breaks
متن کامل
Which OIC countries are catching up? Time Series Evidences with Multiple Structural Breaks
Abstract In this paper, income per capita convergence hypothesis is tested in selected OIC countries. For this purpose, we use the time series model and univariate KPSS stationary test with multiple structural breaks (Carrion-i-Silvestre et al. (2005)) over the period 1950-2008. The results show that most OIC countries could not catch up toward USA. Although because of some positive term of tra...
متن کاملThe Fisher hypothesis: a multi-country analysis
This paper tests whether the Fisher hypothesis holds for a sample of 26 countries by assessing the long run relationship between nominal interest rates and in ̄ation rates taking into consideration the short run dynamics of interest rates. The empirical evidence supports the hypothesis that there is a one-to-one relationship between the interest rate and in ̄ation for more than half of the countr...
متن کاملIncome Convergence toward USA: New Evidences for Latin and South American Countries
Abstract In this paper we test two versions of convergence hypothesis namely deterministic or conditional convergence and stochastic or catching up hypothesis using Carrion-i-Silvestre et al. (2005) stationary test. The results show Latin and South American countries (LSA) catching up process toward the USA failed in 1980s and somewhat in 1990s. But in 2000s most of them could lie in converge...
متن کامل