Testing the Fisher Effect in the Presence of Structural Change: A Case Study of the UK,1961-2001

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

No E2003_22, Economic Working Papers at Centro de Estudios Andaluces from Centro de Estudios Andaluces

Abstract: In this paper we provide an empirical test of the Fisher effect using cointegration techniques, where the existence of instabilities in the cointegrating or long-run relationships is explicitly tested. The analysis was applied to the UK, a country that has been subject to potentially stronger regime shifts than other countries over the last years, for the period 1961-2001. To this end, we apply some recent econometric techniques aimed to detect eventual structural changes, allowing the instability to occur at a unknown date. We supply a broad battery of tests in order to illustrate recent developments in the field, which might also be useful to applied econometricians.

Keywords: Interest rate; Fisher effect; Structural breaks; Cointegration. (search for similar items in EconPapers)
JEL-codes: E43 E44 (search for similar items in EconPapers)
Pages: 34 pages
Date: 2003
New Economics Papers: this item is included in nep-mac
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Citations: View citations in EconPapers (4)

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Related works:
Journal Article: Testing the Fisher effect in the presence of structural change: A case study of the UK, 1966-2007 (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:cea:doctra:e2003_22

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