Artikel
Structural breaks, inflation and interest rates: Evidence from the G7 countries
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.
- Sprache
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Englisch
- Erschienen in
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Journal: Econometrics ; ISSN: 2225-1146 ; Volume: 5 ; Year: 2017 ; Issue: 1 ; Pages: 1-17 ; Basel: MDPI
- Klassifikation
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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
- Thema
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unit roots
structural breaks
interest rates
inflation
Fisher effect
- Ereignis
-
Geistige Schöpfung
- (wer)
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Clemente, Jesús
Gadea, María Dolores
Montañés, Antonio
Reyes, Marcelo
- Ereignis
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Veröffentlichung
- (wer)
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MDPI
- (wo)
-
Basel
- (wann)
-
2017
- DOI
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doi:10.3390/econometrics5010011
- Handle
- Letzte Aktualisierung
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10.03.2025, 11:45 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Clemente, Jesús
- Gadea, María Dolores
- Montañés, Antonio
- Reyes, Marcelo
- MDPI
Entstanden
- 2017
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