Interest rates, inflation, and the Fisher effect in China (original) (raw)

Macroeconomics and Finance in Emerging Market Economies, 2019

Abstract

ABSTRACT The paper estimates the relationship between the nominal Treasuries rate and inflation in China. The dynamic econometric analysis yields a preferred, automatically reduced, empirical model revealing a Fisher effect. But the results are sensitive to using different sub-samples encompassed in the decade-and-a-half period following the disassociation of Treasuries from the People’s Bank of China administered interest rates at the end of the 1990s.

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