The Fisher Effect and Albanian Application (original) (raw)

Gelişmiş ve gelişmekte olan ülkeler için Fisher etkisinin araştırılması : sınır testi yaklaşımı

2007

This study investigates the Fisher Effect for a sample of ten developed countries and ten developing countries. The study examines whether the nominal interest rate adjusts to the expected inflation rate in the long run. The distinction between the developed countries and developing countries also enables to identify special conditions under which Fisher Effect is more likely to hold. To analyze the long run relationship between the nominal interest rate and expected inflation rate, Bounds test approach of Pesaran et. al. (2001) is utilized. Estimation results show that the adjustment of nominal interest rate to expected inflation is encountered mostly for the developing countries which have inflationary history in their economies.M.S. - Master of Scienc

An Empirical Evidence of Fisher Effect in Bangladesh: A Time-Series Approach

This paper is an attempt to trace the relationship between interest rates and rates of inflation in the economy of Bangladesh. In view of this, a time series approach is considered to examine the empirical evidence of Fisher’s effect in the country. By applying OLS and Unit Root test, the estimated value is used to determine the casual relationship between interest rates and inflation for the monthly sample period of August 1996 to December 2003. The empirical results suggest that there does not exist any co-movement of inflation with interest rates and the relationship between the variables is also not significant for Bangladesh. Further, the trends advocate that the inflation premium, equal to expected inflation that investors add to real-risk free rate of return, is ineffective in the country. Key Word: Interest rate, Inflation, Bangladesh

Fisher Effect: An Empirical Re-examination in Case of India

2020

This study examines the Fisher's hypothesis by utilizing the dataset on India's macroeconomic variables with the objective to check whether long-run empirical relationship between the nominal interest rate and inflation expectation exists. To this end, study is conducted on monthly data from Jan-1993 to Mar-2015 by utilizing the autoregressive distributed lag model or bounds testing approach developed by Pesaran, Shin, and Smith (2001). The bounds testing is applied to analyze the co-integration and short-and long-run relationship among variables, for a different combination of the Fisher hypothesis. The present study concludes the existence of a long-run relationship between Treasury bill and expected inflation (estimated by WPI), with a long-run coefficient equal to 0.54, implying partial Fisher effect. While the long-run relationship does not exist between Treasury bill and expected inflation (estimated by CPI). Similarly, long-run relationship although not of one to one ...

Fisher Effect and the Relationship between Nominal Interest Rates and Inflation: The Case of Nigeria

2020

This research study carries out empirical investigations of the Fisher effect and the long-run relationship between nominal interest rates and expected inflation in Nigeria making use of annual data covering a period of half of a century. Fisher (1930) postulation is that nominal interest rates should reflect the expected rate inflation rates movements on one-for-one basis. Applying the Nigerian data covering the period between 1961 and 2009, this study uses the 3-month treasury bill rates to proxy for nominal interest rates while the 12-month moving average headline inflation serves as the expected inflation. Apart from the descriptive analyses of the sample data, the econometric approaches which the study employs are the ordinary least square (OLS) regression, the Engle-Granger ADF residual-based cointegration, the Johansen maximal likelihood cointegration and Granger causality test. Testing the data, using the augmented Dickey-Fuller (ADF) unit root test method, it was found out ...

INTEREST RATES AND THE FISHER EFFECT IN INDIA An Empirical Study

This study throws light on the importance of adjustment lags, variability of inflation, changes in real income, etc. in the empirical estimation of Fisher hypothesis. Variability of inflation has a significant negative impact on both short-and long-term interest rates in a developing economy like India. The 'Philips Curve Effect' has not been operative in a developing country.