Structural Breaks, Inflation and Interest Rates: Evidence for the G7 countries∗
نویسندگان
چکیده
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 characteristics are taken into account the Fisher hypothesis is not strongly supported for these economies, although we can offer limited evidence in favor of this hypothesis for the US, the French and the Japanese economies. • JEL Codes: C22; E43 •
منابع مشابه
The Impact of Exchange Rate Volatility and Inflationary Regimes on the Consumer Price Index in Organization of Islamic Countries (Panel FMOLS Co-integration Approach)
Aguerre, R.B., Fuertes, A. M. and Phylaktis, K. (2012), "Exchange Rate Pass-through into Import Prices Revisited", Journal of International Money, 31: 818-844. Bailliu, J. & Fujii, E. (2004). "Exchange Rate Pass-Through and the Inflation Environment in Industrialized Countries: An Empirical Investigation", Bank of Canada Working Paper No. 21. Carlsson, M., Lyhagen, J., and Österholm, P. (2007)...
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