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The Fisher effect in the presence of time-varying coefficients

Panopoulou, Ekaterini, Pantelidis, Theologos (2014) The Fisher effect in the presence of time-varying coefficients. Computational Statistics & Data Analysis, 100 . pp. 495-511. ISSN 0167-9473. (doi:10.1016/j.csda.2014.08.015)

Abstract

A resolution of the Fisher effect puzzle in terms of statistical inference is attempted. Motivation stems from empirical evidence of time-varying coefficients in the data generating process of both the interest rates and inflation rates for 19 OECD countries. These time-varying dynamics crucially affect the behaviour of all the co-integration estimators considered, especially in small samples. When employing simulated critical values instead of asymptotic ones, the results provide ample evidence supporting the existence of a long-run Fisher effect in which interest rates move one-to-one with inflation rates in all countries under scrutiny except for Ireland and Switzerland.

Item Type: Article
DOI/Identification number: 10.1016/j.csda.2014.08.015
Uncontrolled keywords: Co-integration estimators; Fisher effect; Monte Carlo simulations; Time-varying coefficients
Subjects: H Social Sciences > HG Finance
Divisions: Faculties > Social Sciences > Kent Business School
Depositing User: Ekaterini Panopoulou
Date Deposited: 19 Sep 2014 19:50 UTC
Last Modified: 29 May 2019 13:06 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/43024 (The current URI for this page, for reference purposes)
Panopoulou, Ekaterini: https://orcid.org/0000-0001-5080-9965
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