Some Empirical Evidence on Models of the Fisher Relation: Post-Data Comparison

Jae-Young Kim and Woong Yong Park

No HIAS-E-68, Discussion paper series from Hitotsubashi Institute for Advanced Study, Hitotsubashi University

Abstract: The Fisher relation, describing a one-for-one relation between the nominal interest rate and the expected inflation, underlies many important results in economics and finance. Although it is a conceptually simple relation, the Fisher relation has more or less complicated with mixed results. There are several alternative models proposed in the empirical literature for the Fisher relation that have different implications. We evaluate those alternative models for the Fisher relation based on a post-data model determination method. Our results for data from the U.S. Japan and Korea show that models with both regimes/periods, a regime with nonstationary fluctuations and the other with stationary fluctuations, fit data best for the Fisher relation.

Keywords: Fisher relation; nonlinear behavior; post-data model determination (search for similar items in EconPapers)
JEL-codes: C1 C22 C5 (search for similar items in EconPapers)
Pages: 21 pages
Date: 2018-04
New Economics Papers: this item is included in nep-ets and nep-mon
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Persistent link: https://EconPapers.repec.org/RePEc:hit:hiasdp:hias-e-68

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