Fisher Effect: Evidence From Money Market in Malaysia

Nurazilah Zainal (), Annuar Md Nassir and Mohamed Hisham Yahya ()
Additional contact information
Nurazilah Zainal: Putra Business School, Universiti Putra Malaysia
Mohamed Hisham Yahya: Faculty of Economics and Management, Universiti Putra Malaysia

Journal of Social Science Studies, 2014, vol. 1, issue 2, 112-124

Abstract: The Fisher Effect, proposed by Fisher (1930), has been the subject of many empirical researches in various countries. In Malaysia, previous empirical studies on Fisher Effect have focused the relationship on stock and bond market, leaving the money market with no or very few studies. The Malaysian money market has gained importance and interests as it shows rapid growth in volume transaction. This paper aims at investigating the validity of Fisher Effect on Malaysian money market. The time series between 2000 to 2012 is chosen as the study duration. Three variables were targeted in this study, they are, inflation Rate (INF), 3-months treasury bills rate (MTB) and interbank rate (IBR). To study the relationship, this paper employs Autoregressive Distributed Lag (ARDL) bounds test that is capable of testing for the existence of a long-run relationship between the variables irrespective of whether the time series are I(0) or I(1). The estimation results indicate the presence of long run cointegration among the variables. Overall the study provides evidence on the Fisher Effect in Malaysia.

Keywords: Fisher effect; Inflation rates; Interest rates; Interbank rates; ARDL bounds test (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.macrothink.org/journal/index.php/jsss/article/view/4915/4179 (application/pdf)
http://www.macrothink.org/journal/index.php/jsss/article/view/4915/4179 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:mth:jsss88:v:1:y:2014:i:2:p:112-124

Access Statistics for this article

Journal of Social Science Studies is currently edited by John Smith

More articles in Journal of Social Science Studies from Macrothink Institute
Bibliographic data for series maintained by Technical Support Office ( this e-mail address is bad, please contact ).