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Structural change and long-run reversion in the ex ante real interest rate

Lai, Kon-sun - In: Applied economics letters 22 (2015) 16/18, pp. 1281-1286

Persistent link: https://www.econbiz.de/10011380146

Testing the Fisher hypothesis in the presence of structural breaks and adaptive inflationary expectations : evidence from Nigeria

Uyaebo, Stephen O. U.; Bello, Yakubu A.; Omotosho, … - In: CBN journal of applied statistics 7 (2016) 1, pp. 333-358

This paper tested for the validity of the Fisher hypothesis in Nigeria during the period 1970 - 2014. The Gregory and Hansen Co-integration test confirmed the existence of a long-run relationship between nominal interest rates and inflation, albeit with a structural break in October 2005. In...

Persistent link: https://www.econbiz.de/10011529383

Interest rates, expected inflation and structural breaks : further evidence on the Fisher effect in India (1996 - 2013)

Tronzano, Marco - In: Economia internazionale 67 (2014) 4, pp. 531-554

Persistent link: https://www.econbiz.de/10010502085

A Kalman filter approach to Fisher effect : evidence from Nigeria

Asemota, Omorogbe J.; Bala, Dahiru A. - In: CBN journal of applied statistics 2 (2011) 1, pp. 71-91

This paper investigates evidence of a Fisher effect in Nigeria by employing quarterly CPI inflation and Nominal interest rates data. For a more robust result we conducted integration and cointegration tests in order to examine time-series properties of the variables. Using Co-integration and...

Persistent link: https://www.econbiz.de/10011477662