Fisher effect in nonlinear STAR framework: some evidence from Asia

This study tests the presence of the long run Fisher effect in eight Asian economies. Using monthly data and a variety of interest rates, the paper employs a recent nonlinear methodology to capture the long run relationship between the nominal interest rate and the inflation rate. The estimation results on the basis of the new methodology are encouraging and indicate the validity of Fisher effect in almost all the examined economies.

MoreLess

Year of publication:	2010
Authors:	Ahmad, Shabbir
Published in:	Economics Bulletin. - AccessEcon, ISSN 1545-2921. - Vol. 30.2010, 4, p. 2558-2566
Publisher:	AccessEcon
Subject:	Non-linearity \| Unit Roots \| Cointegration \| ADF

More details

Extent:	application/pdf
Type of publication:	Article
Language:	English
Classification:	F0 - International Economics. General ; E4 - Money and Interest Rates
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008673533