Testing the Fisher effect in the presence of structural change: A case study of the UK, 1966-2007

Oscar Bajo-Rubio (oscar.bajo@uclm.es), Carmen Diaz-Roldan and V Esteve

Economic Issues Journal Articles, 2010, vol. 15, issue 2, 1-16

Abstract: In this paper, we provide an empirical test of the Fisher effect using cointegration techniques, where the existence of instabilities in the cointegrating or long-run relationship is explicitly tested. The analysis is applied to the UK, a country that has been subject to potentially strong regime shifts, for the period 1966-2007. To this end, we apply some recent econometric techniques aimed to detect eventual structural changes, allowing the instability to occur at an unknown date.

Date: 2010
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Citations: View citations in EconPapers (2)

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Related works:
Working Paper: Testing the Fisher Effect in the Presence of Structural Change: A Case Study of the UK,1961-2001 (2003)
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Persistent link: https://EconPapers.repec.org/RePEc:eis:articl:210bajo

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