Efecto Fisher y modelo de corrección de errores en Colombia, 1991-2020

Fisher effect and error correction model in colombia,1991-2020

Luis Eduardo Castellanos Rodríguez, Juan David Diaz Ipuz, Cristian Camilo Dueñas Ruiz and Andrés Felipe León Donato

Econógrafos, Escuela de Economía from Universidad Nacional de Colombia, FCE, CID

Abstract: This essay analyzes the Fisher effect in Colombia during the period 1991-2020. We use the interest rate of fixed-term deposits and the inflation rate on a monthly basis. The variables are non-stationary and there is a cointegration relationship between them. However, the transmission of inflation to the interest rate is not complete in the long term, therefore there is only a partial Fisher effect. Finally, an error correction model is carried out to identify the speed of adjustment between the short and long term.

Keywords: fisher effect; money neutrality; stationarity; cointegration; error correction model (search for similar items in EconPapers)
JEL-codes: C01 C10 C32 E31 E43 (search for similar items in EconPapers)
Pages: 23
Date: 2021-08
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Persistent link: https://EconPapers.repec.org/RePEc:col:000176:022665

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