Is the Fisher Effect Nonlinear? Some Evidence for Spain, 1963-2002

Oscar Bajo-Rubio (), Carmen Diaz-Roldan and Vicente Esteve ()

No E2004/05, Economic Working Papers at Centro de Estudios Andaluces from Centro de Estudios Andaluces

Abstract: In this paper we examine the role of nonlinearities in the relationship between nominal interest rates and inflation, in order to shed some additional light on the mostly unfavorable 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 us to re-examine and extend previous results on the subject. The empirical methodology makes use of recent developments on threshold cointegration, so that cointegration between a pair of variables should be expected once a certain threshold was reached.

Keywords: Interest rate; Fisher effect; Threshold cointegration; nonlinearity. (search for similar items in EconPapers)
JEL-codes: E43 E44 (search for similar items in EconPapers)
Pages: 26 pages
Date: 2004
New Economics Papers: this item is included in nep-mac, nep-mon and nep-rmg
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Citations: View citations in EconPapers (2)

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Journal Article: Is the Fisher effect non-linear? some evidence for Spain, 1963-2002 (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:cea:doctra:e2004_05

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