Structural breaks, cointegration and the Fisher effect

Arbeitspapier

There is scant empirical support in the literature for the Fisher effect in the long run, though it is often assumed in theoretical models. We argue that a break in the cointegrating relation introduces a spurious unit root that leads to a rejection of cointegration. We applied new break tests and tested for nonlinearity in the cointegrating relation with post-war data for 15 countries. Our empirical results support cointegration, after accounting for breaks, and a linear Fisher relation in the long run. This is in contrast to several recent studies that found no support for linear cointegration.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: ECB Working Paper ; No. 1013

Classification and Topics

• Classification: Wirtschaft ; Interest Rates: Determination, Term Structure, and Effects ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
• Subject: Fisher effect ; linear and nonlinear cointegration ; Structural change ; Fisher-Effekt ; Kointegration ; Strukturbruch ; Verbraucherpreisindex ; OECD-Staaten

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Beyer, Andreas ; Haug, Alfred A. ; Dewald, William G.
• Event: Veröffentlichung
• (who): European Central Bank (ECB)
• (where): Frankfurt a. M.
• (when): 2009

Further information

• Handle: http://hdl.handle.net/10419/153447
• Last update: 10.03.2025, 11:45 AM CET