 An Empirical Investigation of Fisherian Link in BRIC-T CountriesTayfur Bayat,
Selim Kayhan and
Çetin Doğan
Iktisat Isletme ve Finans, 2014, vol. 29, issue 334, 95-120 Abstract: This study investigates the causal dynamics between policy rate and inflation rates in BRIC-T countries by employing monthly data from the January 1993 to March 2012. The study benefits from the recent advance in the time series and carries out nonlinear cointegration, frequency domain test approach. The results suggest that strong evidence of non-linear co-integration in Brazil and Turkey, linear co integration in Russia, India and China. According to non-linear causality analysis, there is a bi-directional relationship between nominal interest rate and inflation in the case of Brazil and Turkey. Linear causality test finds that there is a uni-directional causality running from inflation rate to nominal interest rate in Russia. Frequency domain analysis results imply the existence of the Fisher effect on the long run in China, Russia and Turkey, rejects the validity of effect in India and Brazil, contrary to nonlinear causality test. Keywords: Fisher Effect; BRIC-T; Cointegration; Causality (search for similar items in EconPapers) There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it. Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:iif:iifjrn:v:29:y:2014:i:334:p:95-120 Ordering information: This journal article can be ordered from Access Statistics for this article Iktisat Isletme ve Finans is currently edited by Ali Bilge More articles in Iktisat Isletme ve Finans from Bilgesel Yayincilik |
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