Can asymmetries account for the empirical failure of the Fisher effect in South Africa?

Andrew Phiri and Peter Lusanga ()
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Peter Lusanga: North West University (Potchefstroom Campus)

Economics Bulletin, 2011, vol. 31, issue 3, 1968-1979

Abstract: This paper investigates whether unobserved asymmetries can account for irregularities in the Fisher effect for the exclusive case of South Africa. This objective is attained by investigating unit roots within a threshold auto-regressive (TAR) models and estimating a threshold vector error correction (TVEC) models for the data. The empirical analysis depicts significant long-run Fisher effects whereas such effects are deficient with regards to the short-run. These results improve on those obtained in preceding studies for South Africa, in the sense of being closely emulated with the original hypothesis as presented by Fisher (1907).

Keywords: South Africa; Fisher effect; Inflation; Interest Rates; Threshold Co-integration (search for similar items in EconPapers)
JEL-codes: C1 E0 (search for similar items in EconPapers)
Date: 2011-07-05
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Citations: View citations in EconPapers (7)

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