Fisher effect in nonlinear STAR framework: some evidence from Asia

Shabbir Ahmad ()
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Shabbir Ahmad: University of Nizwa, Oman

Economics Bulletin, 2010, vol. 30, issue 4, 2558-2566

Abstract: This study tests the presence of the long run Fisher effect in eight Asian economies. Using monthly data and a variety of interest rates, the paper employs a recent nonlinear methodology to capture the long run relationship between the nominal interest rate and the inflation rate. The estimation results on the basis of the new methodology are encouraging and indicate the validity of Fisher effect in almost all the examined economies.

Keywords: Non-linearity; Unit Roots; Cointegration; ADF (search for similar items in EconPapers)
JEL-codes: E4 F0 (search for similar items in EconPapers)
Date: 2010-10-02
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Citations: View citations in EconPapers (3)

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