Does Fisher Effect Apply in Developing Countries: Evidence From a Nonlinear Cotrending Test applied to Argentina, Brazil, Malysia, Mexico, Korea and Turkey

A. Maghyereh and Haitham A. Al-Zoubi ()

Applied Econometrics and International Development, 2006, vol. 6, issue 2

Abstract: This study is aimed mainly to examine the possible existence of a relationship between the nominal interest rate and the inflation rate in developing countries (Argentina, Brazil, Malaysia, Mexico, Korea and Turkey) coming up from a common nonlinear trend between both series. Evidence is first presented that the null hypothesis of unit root with drift (constant or linear trend) has been rejected in favor of nonlinear trend stationarity. The paper also found a robust nonlinear cotrending relationship between the interest rate and the inflation rate and the hypothesis of full Fisher effect is accepted.

Keywords: Fisher effect; nonlinear cotrending; inflation; interest rate; developing countrie (search for similar items in EconPapers)
JEL-codes: E4 C21 C22 (search for similar items in EconPapers)
Date: 2006
View list of references

Downloads: (external link)
http://www.usc.es/~economet/journals1/aeid/aeid623.pdf
Access restricted to subscribers and Pay Per View access through SSRN. Free on line subscription for universities from low income countries. More information at http://www.usc.es/economet/info.htm

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: http://EconPapers.repec.org/RePEc:eaa:aeinde:v:6:y:2006:i:2_3

Ordering information: This journal article can be ordered from
http://www.usc.es/economet/info.htm

Access Statistics for this article

More articles in Applied Econometrics and International Development from Euro-American Association of Economic Development
Series data maintained by M. Carmen Guisan ().