Central Bank's interventions and the Fisher hypothesis: a threshold cointegration investigation

2004 ◽  
Vol 21 (6) ◽  
pp. 1051-1064 ◽  
Author(s):  
Nicolas Million
Keyword(s):  
Threshold Cointegration ◽  
Fisher Hypothesis

scholarly journals INTEREST RATES, FISHER EFFECT AND ECONOMIC DEVELOPMENT IN TURKEY, 1989-2011

2016 ◽  
Vol 25 (2) ◽  
pp. 95-100
Author(s):  
Selahattin GÜR?? ◽  
Burak GÜR?? ◽  
Turgut ÜN
Keyword(s):  
Economic Development ◽  
Interest Rates ◽  
Test Validity ◽  
Threshold Cointegration ◽  
Fisher Effect ◽  
Empirical Results ◽  
Distributed Lag ◽  
Leading Indicator ◽  
Nominal Interest Rates ◽  
Fisher Hypothesis

This paper investigates the validity of the Fisher Hypothesis in Turkey coveringthe period 2003 – 2012. To test validity of Fisher Hypothesis, this paper uses anAutoregressive Distributed Lag test for threshold cointegration recently introduced in theliterature by Li and Lee (2010). The empirical results which are obtained from this paperindicate that Fisher hypothesis is valid for Turkey, meaning nominal interest rates wouldbe an important leading indicator for inflation.

Time-varying threshold cointegration with an application to the Fisher hypothesis

2021 ◽  
Vol 0 (0) ◽  
Author(s):  
Lixiong Yang
Keyword(s):  
Convergence Rate ◽  
Threshold Effect ◽  
Least Square ◽  
Time Varying ◽  
Threshold Cointegration ◽  
Test Statistics ◽  
Least Square Estimator ◽  
Proposed Model ◽  
Fisher Hypothesis ◽  
The Us

Abstract This paper extends the threshold cointegration model developed by Gonzalo, J., and J. Y. Pitarakis. 2006. “Threshold Effects in Cointegrating Relationships.” Oxford Bulletin of Economics & Statistics 68: 813–33 and Chen, H. 2015. “Robust Estimation and Inference for Threshold Models with Integrated Regressors.” Econometric Theory 31 (4): 778–810 to allow for a time-varying threshold, which is a function of candidate variables that affect the separation of regimes. We derive the asymptotic distribution of the proposed least-square estimator of the threshold, and study the convergence rate of the threshold estimator. We also suggest test statistics for threshold effect and threshold constancy. Monte Carlo simulations point out that the convergence rate of the threshold estimator is consistent with the asymptotic theory, and the proposed tests have good size and power properties. The empirical usefulness of the proposed model is illustrated by an application to the US data to investigate the Fisher hypothesis.

scholarly journals Testing the Fisher hypothesis in the G-7 countries using I(d) techniques

2019 ◽  
Vol 159 ◽  
pp. 140-150 ◽  
Author(s):  
Guglielmo Maria Caporale ◽  
Luis Gil-Alaña
Keyword(s):  
Fisher Hypothesis
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