The adjustment of nominal interest rates in Mexico: a study of the Fisher effect

John Thornton

Applied Economics Letters, 1996, vol. 3, issue 4, 255-257

Abstract: Evidence is presented in favour of a Fisher effect between treasury bill interest rates and inflation in Mexico between 1978-94. The two series appear to be cointegrated and a unit proportional relationship between them would appear to exist such that treasury bills rates respond fully to inflationary shocks over a period of about 12 months. As such, monetary policy in Mexico is unlikely to have much impact on real rates of interest over the long-run.

Date: 1996
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DOI: 10.1080/758520875

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