English, Article, Journal or magazine article edition: Testing the Fisher Effect in the Presence of Structural Change: A Case Study of the UK,1961-2001 Oscar Bajo-Rubio; Carmen Díaz-Roldán; Vicente Esteve

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Bookmark: http://trove.nla.gov.au/version/160649
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Testing the Fisher Effect in the Presence of Structural Change: A Case Study of the UK,1961-2001
Author
  • Oscar Bajo-Rubio
  • Carmen Díaz-Roldán
  • Vicente Esteve
Physical Description
  • preprint
Notes
  • In this paper we provide an empirical test of the Fisher effect using cointegration techniques, where the existence of instabilities in the cointegrating or long-run relationships is explicitly tested. The analysis was applied to the UK, a country that has been subject to potentially stronger regime shifts than other countries over the last years, for the period 1961-2001. To this end, we apply some recent econometric techniques aimed to detect eventual structural changes, allowing the instability to occur at a unknown date. We supply a broad battery of tests in order to illustrate recent developments in the field, which might also be useful to applied econometricians.
  • Interest rate, Fisher effect, Structural breaks, Cointegration.
  • RePEc:cea:doctra:e2003_22
Language
  • English
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