Artikel
Testing the Fisher hypothesis in the presence of structural breaks and adaptive inflationary expectations: Evidence from Nigeria
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 addition, the obtained Fisher coefficient in the cointegrating relation was 0.08, implying a weak form of Fisher effect in the long-run. On the basis of these findings, we upheld a weak Fisher effect in the long-run and non-existence of Fisher effect in the short-run. This implied that short term nominal interest rate is a good characterization of monetary policy stance. Also, the obtained partial Fisher effect indicated that changes in monetary policy are capable of altering the long term real interest rate and influencing economic growth through the interest rate channel. We therefore recommend a more forward looking monetary policy as a way of anchoring inflationary expectations and ensuring low and stable prices in Nigeria.
- Language
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Englisch
- Bibliographic citation
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Journal: CBN Journal of Applied Statistics ; ISSN: 2476-8472 ; Volume: 07 ; Year: 2016 ; Issue: 1 ; Pages: 333-358 ; Abuja: The Central Bank of Nigeria
- Classification
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Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Interest Rates: Determination, Term Structure, and Effects
Financial Markets and the Macroeconomy
- Subject
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Fisher effect
Structural change
Co-integration
Breakpoints regression
Interest rates
- Event
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Geistige Schöpfung
- (who)
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Uyaebo, Stephen O. U.
Bello, Yakubu A.
Omotosho, Babatunde S.
Karu, Suleiman
Stephen, Satumari A.
Ogbuka, Raymond O.
Usman, Balarabe F.
Mimiko, Oluwaseun D.
- Event
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Veröffentlichung
- (who)
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The Central Bank of Nigeria
- (where)
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Abuja
- (when)
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2016
- Handle
- Last update
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10.03.2025, 11:42 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Uyaebo, Stephen O. U.
- Bello, Yakubu A.
- Omotosho, Babatunde S.
- Karu, Suleiman
- Stephen, Satumari A.
- Ogbuka, Raymond O.
- Usman, Balarabe F.
- Mimiko, Oluwaseun D.
- The Central Bank of Nigeria
Time of origin
- 2016
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