Reconsiderando o efeito Fisher: uma análise de cointegração entre taxas de juros e inflação [Rethinking the Fisher Effect: a co-integration analysis between interest rates and inflation]

Francisco Carneiro, Jose Angelo Divino and Carlos Henrique Rocha
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Carlos Henrique Rocha: Universidade Católica de Brasília

Nova Economia, 2003, vol. 13, issue 1, 81-100

Abstract: This paper investigates the validity of the Fisher effect hypothesis that it is the interest rate which moves to adjust to the anticipated changes in the rate of inflation. The analysis is carried out with monthly data for the period 1980-97 for three countries with recent histories of chronic high inflation: Argentina, Brazil, and Mexico. A co-integration analysis has provided evidence of a stable long-run equilibrium relationship between nominal interest rates and the inflation rate for the cases of Argentina and Brazil only.

Keywords: inflation; interest rate; monetary policy (search for similar items in EconPapers)
JEL-codes: E31 O42 (search for similar items in EconPapers)
Date: 2003
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