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Re-Visiting Fisher Effect for Fragile Five Economies

Author

Listed:
  • Tayfur Bayat

    (Inonu University, Faculty of Economics and Administrative Sciences, Department of Economics, Malatya. Turkey)

  • Selim Kayhan

    (Necmettin Erbakan University, Faculty of Social Sciences and Humanities, Department of Economics, Konya, Turkey)

  • İzzet Taşar

    (Corresponding Author, Firat University, Faculty of Economics and Administrative Sciences, Department of Economics, Elazig, Turkey)

Abstract

In this study, we aim to investigate the relationship between interest rate and inflation rate in the context of the Fisher effect hypothesis for Fragile five economies. In this regard, we employ recently developed panel co-integration and panel causality test methods. The bi-directional causal relation between interest rate and inflation rate exists only in Brazil and Indonesia. On the other hand, there is no causation linkage in India. Results imply that Fisher effect exists only in Brazil and Indonesia.

Suggested Citation

  • Tayfur Bayat & Selim Kayhan & İzzet Taşar, 2018. "Re-Visiting Fisher Effect for Fragile Five Economies," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 7(2), pages 203-218.
    • Handle: RePEc:cbk:journl:v:7:y:2018:i:2:p:203-218
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    Citations

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    Cited by:

    1. Mehmet Ulug & Sayım Işık & Mehmet Mert, 2023. "The effectiveness of ultra-loose monetary policy in a high inflation economy: a time-varying causality analysis for Turkey," Economic Change and Restructuring, Springer, vol. 56(4), pages 2855-2887, August.
    2. Ismet Gocer & Serdar Ongan, 2020. "The Relationship between Inflation and Interest Rates in the UK: The Nonlinear ARDL Approach," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 9(3), pages 77-86.
    3. Andrew Phiri & Lutho Mbekeni, 2021. "Fisher’s hypothesis, survey-based expectations and asymmetric adjustments: Empirical evidence from South Africa," International Economics and Economic Policy, Springer, vol. 18(4), pages 825-846, October.
    4. Carlos Castro-Iragorri & Juan Felipe Peña & Cristhian Rodríguez, 2021. "A Segmented and Observable Yield Curve for Colombia," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 10(2), pages 179-200.
    5. Olatunji Abdul Shobande & Oladimeji Tomiwa Shodipe, 2021. "Monetary Policy Interdependency in Fisher Effect: A Comparative Evidence," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 10(1), pages 203-226.

    More about this item

    Keywords

    Fisher effect; panel data; fragile five economies.;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

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