Is the Fisher effect non-linear? some evidence for Spain, 1963-2002

Oscar Bajo-Rubio (oscar.bajo@uclm.es), Carmen Diaz-Roldan and Vicente Esteve (vicente.esteve@uv.es)

Applied Financial Economics, 2005, vol. 15, issue 12, 849-854

Abstract: In this paper the role of non-linearities in the relationship between nominal interest rates and inflation is examined, in order to shed some additional light on the mostly unfavourable evidence on the presence of a full Fisher effect. The analysis is applied to the case of Spain for the period 1963-2002, which allows previous results on the subject to be re-examined and extended. The empirical methodology makes use of recent developments on threshold cointegration, so that cointegration between a pair of variables should be expected only once a certain threshold was reached.

Date: 2005
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DOI: 10.1080/09603100500123187

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