Christopoulos, Dimitris K, Leon-Ledesma, Miguel A. (2007) A long-run non-linear approach to the Fisher effect. Journal of Money Credit and Banking, 39 (2-3). pp. 543-559. ISSN 0022-2879. (doi:10.1111/j.0022-2879.2007.00035.x) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:2159)
The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided. | |
Official URL: http://dx.doi.org/10.1111/j.0022-2879.2007.00035.x |
Abstract
We argue that the empirical failure of the Fisher effect found in the literature may be due to the existence of non-linearities in the long-run relationship between interest rates and inflation. We present evidence that, for the U.S. during the 1960–2004 period, the Fisher relation presents important non-linearities. We model the long-run non-linear relationship and find that an ESTR model for the pre-Volcker era and an LSTR model for the post-Volcker era are able to control for non-linearities and constitute long-run co-integration vectors. Monte Carlo evidence produces support for the hypothesis that non-linearities may also be responsible for the less than proportional coefficients of inflation usually found in the linear specifications.
Item Type: | Article |
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DOI/Identification number: | 10.1111/j.0022-2879.2007.00035.x |
Uncontrolled keywords: | Fisher effect, non-linearities, co-integration. |
Subjects: | H Social Sciences > HB Economic Theory |
Divisions: | Divisions > Division of Human and Social Sciences > School of Economics |
Depositing User: | Louise Dorman |
Date Deposited: | 19 Dec 2007 19:31 UTC |
Last Modified: | 16 Nov 2021 09:40 UTC |
Resource URI: | https://kar.kent.ac.uk/id/eprint/2159 (The current URI for this page, for reference purposes) |
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