Zero-Interest Rate Policy and Unintended Consequences in Emerging Markets

2012 ◽  
Author(s):  
Andreas Hoffmann
Keyword(s):  
Interest Rate ◽  
Emerging Markets ◽  
Unintended Consequences ◽  
Interest Rate Policy ◽  
Zero Interest Rate Policy ◽  
Rate Policy

scholarly journals Non-Linear Analysis of the Fisher Effect: In the Case of Japan

2017 ◽  
Vol 9 (11) ◽  
pp. 1
Author(s):  
Katsuhiro Sugita
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Error Correction ◽  
Fisher Effect ◽  
Interest Rate Policy ◽  
Vector Error Correction ◽  
Long Run ◽  
Nominal Interest Rates ◽  
Zero Interest Rate Policy ◽  
Rate Policy

The Fisher effect has been commonly analyzed to investigate the long-run relationship between nominal interest rates and expected inflation rate, though it is rarely successful in finding the cointegration relationship as the Fisher effect states. In this paper, a Bayesian Markov switching vector error correction model is applied to analyze non-linearity in the Fisher effect in the case of Japan. We find that the Fisher effect holds in one regime although it does not hold in another regime when the nominal interest rate is stable and does not respond against disequilibrium by the monetary policy such as the zero interest rate policy. This model reveals non-linearity in the error correction mechanism of the Fisher effect in Japan.

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