English, Article, Journal or magazine article edition: Is the Fisher Effect Nonlinear? Some Evidence for Spain, 1963-2002 Óscar Bajo Rubio; Carmen Díaz Roldán; Vicente Esteve

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Bookmark: http://trove.nla.gov.au/version/160753
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Is the Fisher Effect Nonlinear? Some Evidence for Spain, 1963-2002
Author
  • Óscar Bajo Rubio
  • Carmen Díaz Roldán
  • Vicente Esteve
Physical Description
  • preprint
Notes
  • In this paper we examine the role of nonlinearities in the relationship between nominal interest rates and inflation, in order to shed some additional light on the mostly unfavorable evidence on the presence of a full Fisher effect. The analysis is applied to the case of Spain for the period 1963-2002, which allows us to re-examine and extend previous results on the subject. The empirical methodology makes use of recent developments on threshold cointegration, so that cointegration between a pair of variables should be expected once a certain threshold was reached.
  • Interest rate, Fisher effect, Threshold cointegration, nonlinearity.
  • RePEc:cea:doctra:e2004_05
Language
  • English
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