¿Existe un efecto Fisher en el largo plazo? Evidencia para la economía española, 1962-1996

Oscar Bajo-Rubio () and Vicente Esteve ()

No 9810, Documentos de Trabajo - Lan Gaiak Departamento de Economía - Universidad Pública de Navarra from Departamento de Economía - Universidad Pública de Navarra

Abstract: In this paper we provide an empirical test of the long-run Fisher effect for the Spanish case, using quarterly data for the period 1962-1996. To this end, we make use of some new techniques on unit roots and cointegration, where the presence of possible structural changes in the trend of the series is explicitly considered. The results indicate the existence of a partial Fisher effect in the long-run, with a transmission to the nominal interest rate of roughly one third for each point increase in the inflation rate.

Keywords: interest rates; inflation; long-run Fisher effect; cointegration. (search for similar items in EconPapers)
JEL-codes: E31 E43 (search for similar items in EconPapers)
Date: 1998
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Published in Revista Española de Economía, vol.15., 1998, pp. 149-166

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