Re-Visiting Fisher Effect for Fragile Five Economies

Tayfur Bayat · Selim Kayhan · İzzet Taşar

15 citations0/0 files storedJournal of Central Banking Theory and Practice

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Monetary Policy and Economic Impact Economic Theory and Policy Market Dynamics and Volatility

Abstract

Abstract In this study, we aim to investigate the relationship between interest rate and inflation rate in the context of the Fisher effect hypothesis for Fragile five economies. In this regard, we employ recently developed panel co-integration and panel causality test methods. The bi-directional causal relation between interest rate and inflation rate exists only in Brazil and Indonesia. On the other hand, there is no causation linkage in India. Results imply that Fisher effect exists only in Brazil and Indonesia.

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References

1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*2007A simple panel unit root test in the presence of cross‐section dependence 2004General Diagnostic Tests for Cross Section Dependence in Panels 2007Testing for Error Correction in Panel Data*2007Testing slope homogeneity in large panels 2008A bias-adjusted LM test of error cross-section independence 2003Minimum Lagrange Multiplier Unit Root Test with Two Structural Breaks 2004Minimum LM Unit Root Test with One Structural Break

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