Structural breaks, inflation and interest rates: Evidence from the G7 countries

Artikel

This study reconsiders the common unit root/co-integration approach to test for the Fisher effect for the economies of the G7 countries. We first show that nominal interest and inflation rates are better represented as I(0) variables. Later, we use the Bai-Perron procedure to show the existence of structural changes in the Fisher equation. After considering these breaks, we find very limited evidence of a total Fisher effect as the transmission coefficient of the expected inflation rates to nominal interest rates is very different than one.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Journal: Econometrics ; ISSN: 2225-1146 ; Volume: 5 ; Year: 2017 ; Issue: 1 ; Pages: 1-17 ; Basel: MDPI

Classification and Topics

• Classification: Wirtschaft ; Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes ; Interest Rates: Determination, Term Structure, and Effects
• Subject: unit roots ; structural breaks ; interest rates ; inflation ; Fisher effect

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Clemente, Jesús ; Gadea, María Dolores ; Montañés, Antonio ; Reyes, Marcelo
• Event: Veröffentlichung
• (who): MDPI
• (where): Basel
• (when): 2017

Further information

• DOI: doi:10.3390/econometrics5010011
• Handle: http://hdl.handle.net/10419/171910
• Last update: 10.03.2025, 11:45 AM CET