EconPapers    
Economics at your fingertips  
 

Testing the neo-fisherian hypothesis in Brazil

André M. Marques and André R. Carvalho

The Quarterly Review of Economics and Finance, 2022, vol. 86, issue C, 407-419

Abstract: We investigate the short- and long-run effects of an increase in the nominal interest rate on price inflation during Brazil’s low and stable inflation regime. We estimate the long-run effect using cointegrating regression methods to deal with endogenous regressors and serially correlated errors. Based on monthly inflation and nominal interest rate from 1994 to 2019, the findings support the neo-Fisher effect. The results suggest that price setters might be learning from the Central Bank policy decisions that guide the future movements of the inflation rate. The endogeneity test revealed that the policy rate is weakly exogenous to the inflation rate. We conclude that, in the long run, a rise in the policy rate tends to produce higher inflation rates, as predicted by the neo-Fisher effect.

Keywords: Neo-Fisherian hypothesis; Cointegration; FM-OLS; D-OLS; Causality (search for similar items in EconPapers)
JEL-codes: C1 E4 E5 (search for similar items in EconPapers)
Date: 2022
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1062976922001004
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:quaeco:v:86:y:2022:i:c:p:407-419

DOI: 10.1016/j.qref.2022.08.012

Access Statistics for this article

The Quarterly Review of Economics and Finance is currently edited by R. J. Arnould and J. E. Finnerty

More articles in The Quarterly Review of Economics and Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu (repec@elsevier.com).

 
Page updated 2024-12-28
Handle: RePEc:eee:quaeco:v:86:y:2022:i:c:p:407-419