Testing the Fisher Effect in the Presence of Structural Change: A Case Study of the UK,1961-2001
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.
In order to set up a list of libraries that you have access to,
you must first login
or sign up.
Then set up a personal list of libraries from your profile page by
clicking on your user name at the top right of any screen.