Structural breaks, inflation and interest rates: evidence from the G7 countries
This study reconsiders the common unit root/co-integration approach to test for the Fisher effect for the economies of the G7 countries. We first show that nominal interest and inflation rates are better represented as I(0) variables. Later, we use the Bai–Perron procedure to show the existence of s...
| Autores: | , , , |
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| Tipo de documento: | artigo |
| Estado: | Versão publicada |
| Data de publicação: | 2017 |
| País: | España |
| Recursos: | Universidad de Zaragoza |
| Repositório: | Zaguán. Repositorio Digital de la Universidad de Zaragoza |
| OAI Identifier: | oai:zaguan.unizar.es:60443 |
| Acesso em linha: | http://zaguan.unizar.es/record/60443 |
| Access Level: | Acceso aberto |
| Resumo: | This study reconsiders the common unit root/co-integration approach to test for the Fisher effect for the economies of the G7 countries. We first show that nominal interest and inflation rates are better represented as I(0) variables. Later, we use the Bai–Perron procedure to show the existence of structural changes in the Fisher equation. After considering these breaks, we find very limited evidence of a total Fisher effect as the transmission coefficient of the expected inflation rates to nominal interest rates is very different than one. |
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