Since 2014
The Fisher Effect Using Differences in The Deterministic Term
The International Journal of Latest Trends in Finance and Economic Sciences
View Archive Info| Field | Value | |
| Title |
The Fisher Effect Using Differences in The Deterministic Term
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| Creator |
Bosupeng, Mpho; Finance Graduate, University of Botswana Boitshoko Extension 10, Gaborone, Botswana |
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| Subject |
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Fisher effect, nominal interest rates, inflation, cointegration, deterministic term. |
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| Description |
The Fisher effect posits that nominal interest rates move one for one with inflation. This hypothesis has become an important concept in Financial Economics and has become the mainstay of inflation and interest rate targeting. Previous studies used cointegration tests particularly the Johansen cointegration test and the Johansen and Juselius cointegration methods to determine long run affiliations between nominal interest rates and inflation. The glitch is: the recent cointegration methodology proposed by Saikkonen and Ltkepohl has not been applied in the investigation of cointegrating vectors between nominal interest rates and inflation. Following Saikkonen & Ltkepohl, this study estimates deterministic terms of the time series under investigation and then proceeds with the cointegration process. The study tests for the Fisher effect for 20 selected countries and examines interest rates and inflation figures for the period 1982 to 2013 as provided by the World Bank and the International Monetary Fund (IMF). Conformingly, the results of the Saikkonen & Ltkepohl cointegration test show that the Fisher effect holds in all countries under examination. Comparatively, the Johansen cointegration procedure evidenced that the Fisher effect holds in all economies except the US, Bhutan, South Africa, Chile, Switzerland and Australia.
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| Publisher |
International Journal of Latest Trends in Finance and Economic Sciences
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| Contributor |
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| Date |
2016-06-02
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| Type |
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| Format |
application/pdf
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| Identifier |
http://ojs.excelingtech.co.uk/index.php/IJLTFES/article/view/Mpho
10.2047/ijltfesvol5iss4-1031-1040 |
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| Source |
International Journal of Latest Trends in Finance and Economic Sciences; Vol 5, No 4 (2015): December; 1031-1040
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| Language |
en
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| Rights |
The copyright of the contribution is transferred to IJLTFES in case of acceptance. The copyright transfer covers the exclusive right to reproduce and distribute the contribution, including reprints, translations, photographic reproductions, microform, electronic form, or any other reproductions of similar nature. The Author may publish his/her contribution on his/her personal Web page provided that he/she creates a link to the mentioned volume of IJLTFES. The Author may not publish his/her contribution anywhere else without the prior written permission of the publisher unless it has been changed substantially. The Author warrants that his/her contribution is original, except for such excerpts from copyrighted works as may be included with the permission of the copyright holder and author thereof, that it contains no libellous statements, and does not infringe on any copyright, trademark, patent, statutory right, or propriety right of others. The Author also agrees for and accepts responsibility for releasing this material on behalf of any and all co-authors.
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