IDEAS home Printed from https://ideas.repec.org/a/col/000443/015423.html
   My bibliography  Save this article

Las hipótesis de Fisher en Latinoamérica: un análisis de cointegración

Author

Listed:
  • Antonio Ruiz Porras
  • Fidel Gustavo Cruz Ruiz

Abstract

En este artículo se evalúan las hipótesis de Fisher y de integración de los mercados latinoamericanos mediante pruebas de cointegración y de cambio estructural endógeno. Los hallazgos sugieren varias conclusiones: a) el efecto Fisher se valida principalmente en Costa Rica; b) el efecto internacional de Fisher se valida débilmente entre Chile y Costa Rica y entre Colombia y México; c) la integración de los países y mercados es heterogénea, y d) únicamente Chile no tuvo cambios estructurales. En el estudio se usan series mensuales de Brasil, Chile, Colombia, Costa Rica, México y Perú durante el periodo comprendido entre enero de 1997 y diciembre de 2014.******This article evaluates the Fisher hypothesis and the hypothesis of the integration of Latin American markets through co-integration and endogenous structural change tests. The findings suggest a number of conclusions: a) the Fisher effect is validated mainly in Costa Rica; b) the international Fisher effect is validated weakly between Chile and Costa Rica and between Colombia and Mexico; c) the integration of counties and markets is heterogeneous, and d) only Chile did not present structural changes. The study uses monthly series for Brazil, Chile, Colombia, Costa Rica, Mexico and Peru during the January 1997 to December 2014 period.

Suggested Citation

  • Antonio Ruiz Porras & Fidel Gustavo Cruz Ruiz, 2016. "Las hipótesis de Fisher en Latinoamérica: un análisis de cointegración," Revista Finanzas y Politica Economica, Universidad Católica de Colombia, vol. 8(2), pages 301-326, September.
    • Handle: RePEc:col:000443:015423
    as

    Download full text from publisher

    File URL: http://editorial.ucatolica.edu.co/ojsucatolica/revistas_ucatolica/index.php/RFYPE/article/view/1159/1155
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Diego Comin & Danial Lashkari & Martí Mestieri, 2021. "Structural Change With Long‐Run Income and Price Effects," Econometrica, Econometric Society, vol. 89(1), pages 311-374, January.
    2. Brooks,Chris, 2008. "RATS Handbook to Accompany Introductory Econometrics for Finance," Cambridge Books, Cambridge University Press, number 9780521896955, January.
    3. Baxter, Marianne, 1994. "Real exchange rates and real interest differentials: Have we missed the business-cycle relationship?," Journal of Monetary Economics, Elsevier, vol. 33(1), pages 5-37, February.
    4. Francisco Carneiro & Jose Angelo & C. A. Divino & Carlos Rocha, 2002. "Revisiting the Fisher hypothesis for the cases of Argentina, Brazil and Mexico," Applied Economics Letters, Taylor & Francis Journals, vol. 9(2), pages 95-98.
    5. Christopher F Baum, 2005. "Stata: The language of choice for time-series analysis?," Stata Journal, StataCorp LP, vol. 5(1), pages 46-63, March.
    6. Hakan Berument & Mohamed Mehdi Jelassi, 2002. "The Fisher hypothesis: a multi-country analysis," Applied Economics, Taylor & Francis Journals, vol. 34(13), pages 1645-1655.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Rodionova, Alena (Родионова, Алена), 2014. "Formation of long-term rate of return: Fisher effect in the markets of public debt of developing countries [Формирование Долгосрочного Уровня Доходности: Эффект Фишера На Рынках Государственного До," Ekonomicheskaya Politika / Economic Policy, Russian Presidential Academy of National Economy and Public Administration, vol. 1, pages 116-139.
    2. Hüseyin Şen & Ayşe Kaya & Savaş Kaptan & Metehan Cömert, 2019. "Interest rates, inflation, and exchange rates in fragile EMEs: A fresh look at the long-run interrelationships," Working Papers halshs-02095652, HAL.
    3. Somayeh Madadpour & Mohsen Asgari, 2019. "The puzzling relationship between stocks return and inflation: a review article," International Review of Economics, Springer;Happiness Economics and Interpersonal Relations (HEIRS), vol. 66(2), pages 115-145, June.
    4. Takayasu Ito, 2009. "Fisher Hypothesis in Japan: Analysis of Long‐term Interest Rates under Different Monetary Policy Regimes," The World Economy, Wiley Blackwell, vol. 32(7), pages 1019-1035, July.
    5. Nurazilah Zainal & Annuar Md Nassir & Mohamed Hisham Yahya, 2014. "Fisher Effect: Evidence From Money Market in Malaysia," Journal of Social Science Studies, Macrothink Institute, vol. 1(2), pages 112-124, July.
    6. Marianne Baxter, 2012. "International risk‐sharing in the short run and in the long run," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 45(2), pages 376-393, May.
    7. Marco Gallegati, 2019. "A system for dating long wave phases in economic development," Journal of Evolutionary Economics, Springer, vol. 29(3), pages 803-822, July.
    8. R. Santos Alimi, 2014. "ARDL Bounds Testing Approach to Cointegration: A Re-Examination of Augmented Fisher Hypothesis in an Open Economy," Asian Journal of Economic Modelling, Asian Economic and Social Society, vol. 2(2), pages 103-114, June.
    9. Kathleen Cleeren & Lien Lamey & Jan‐Hinrich Meyer & Ko De Ruyter, 2016. "How Business Cycles Affect the Healthcare Sector: A Cross‐country Investigation," Health Economics, John Wiley & Sons, Ltd., vol. 25(7), pages 787-800, July.
    10. David Rezza Baqaee & Emmanuel Farhi, 2019. "The Macroeconomic Impact of Microeconomic Shocks: Beyond Hulten's Theorem," Econometrica, Econometric Society, vol. 87(4), pages 1155-1203, July.
    11. Simon Alder & Timo Boppart & Andreas Müller, 2022. "A Theory of Structural Change That Can Fit the Data," American Economic Journal: Macroeconomics, American Economic Association, vol. 14(2), pages 160-206, April.
    12. Utku ALTUNÖZ, 2018. "Investigating the Presence of Fisher Effect for the China Economy," Sosyoekonomi Journal, Sosyoekonomi Society, issue 26(35).
    13. Charles Ka Yui Leung & Joe Cho Yiu Ng, 2018. "Macro Aspects of Housing," GRU Working Paper Series GRU_2018_016, City University of Hong Kong, Department of Economics and Finance, Global Research Unit.
    14. Thibault Fally & James Sayre, 2018. "Commodity Trade Matters," 2018 Meeting Papers 172, Society for Economic Dynamics.
    15. Philippe Andrade & Catherine Bruneau, 2002. "Excess returns, portfolio choices and exchange rate dynamics. The yen/dollar case, 1980–1998," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 64(3), pages 233-256, July.
    16. David Rezza Baqaee & Emmanuel Farhi, 2018. "Macroeconomics with Heterogeneous Agents and Input-Output Networks," NBER Working Papers 24684, National Bureau of Economic Research, Inc.
    17. Vasileiou, Evangelos, 2018. "Is the turn of the month effect an “abnormal normality”? Controversial findings, new patterns and…hidden signs(?)," Research in International Business and Finance, Elsevier, vol. 44(C), pages 153-175.
    18. Fan, Chenguang & Bae, Seongho & Liu, Yu, 2024. "Can FinTech transform corporate liquidity? Evidence from China," Innovation and Green Development, Elsevier, vol. 3(2).
    19. John H. Rogers, 1995. "Real shocks and real exchange rates in really long-term data," International Finance Discussion Papers 493, Board of Governors of the Federal Reserve System (U.S.).
    20. Kanas, Angelos, 2005. "Regime linkages in the US/UK real exchange rate-real interest differential relation," Journal of International Money and Finance, Elsevier, vol. 24(2), pages 257-274, March.

    More about this item

    Keywords

    hipótesis de Fisher; integración financiera; Latinoamérica; cointegración; cambio estructural endógeno.;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:col:000443:015423. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Universidad Católica de Colombia (email available below). General contact details of provider: https://edirc.repec.org/data/feuccco.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.