The fisher relationship in Nigeria

Borja Balparda, Guglielmo Maria Caporale and Luis Gil-Alana
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Borja Balparda: University of Navarra

Journal of Economics and Finance, 2017, vol. 41, issue 2, No 8, 343-353

Abstract: Abstract This paper examines the Fisher relationship in the case of Nigeria by carrying out standard unit root tests and applying fractional integration techniques to 1-month, 3-month, 6-month and 12-month deposit rates and inflation. The evidence indicates that this relationship only holds for very short-term (1-month) interest rates, and therefore only these nominal rates are a useful predictor of the inflation rate. For other short-term rates the lack of a Fisher effect suggests that they could be used as a monetary policy tool.

Keywords: Fisher effect; Unit root tests; Fractional integration (search for similar items in EconPapers)
JEL-codes: C22 G12 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (1)

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DOI: 10.1007/s12197-016-9355-9

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