Publicação
Testing for the validity of the fisher effect in the presence of structural breaks
| Resumo: | The Fisher effect proposes a one-for-one relationship between the nominal interest rate and inflation in the long run. If both these indicators are integrated of order one, I(1), it is expected that they are cointegrated such that the residuals - i.e., the real interest rate - are covariance stationary. This effect is often presumed to be valid in theoretical models. We tested the validity of the Fisher effect using a vector error correction model (VECM) to estimate this cointegration relationship in several countries. |
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| Autores principais: | Simão, Luís Leão Morgado Quartin |
| Assunto: | Fisher effect VECM Cointegration |
| Ano: | 2025 |
| País: | Portugal |
| Tipo de documento: | dissertação de mestrado |
| Tipo de acesso: | acesso embargado |
| Instituição associada: | Universidade Nova de Lisboa |
| Idioma: | inglês |
| Origem: | Repositório Institucional da UNL |
| Resumo: | The Fisher effect proposes a one-for-one relationship between the nominal interest rate and inflation in the long run. If both these indicators are integrated of order one, I(1), it is expected that they are cointegrated such that the residuals - i.e., the real interest rate - are covariance stationary. This effect is often presumed to be valid in theoretical models. We tested the validity of the Fisher effect using a vector error correction model (VECM) to estimate this cointegration relationship in several countries. |
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