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Does Fisher Effect Apply in Developing Countries: Evidence From a Nonlinear Cotrending Test applied to Argentina, Brazil, Malysia, Mexico, Korea and Turkey

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  • Maghyereh, A.
  • Al-Zoubi, H.

Abstract

This study is aimed mainly to examine the possible existence of a relationship between the nominal interest rate and the inflation rate in developing countries (Argentina, Brazil, Malaysia, Mexico, Korea and Turkey) coming up from a common nonlinear trend between both series. Evidence is first presented that the null hypothesis of unit root with drift (constant or linear trend) has been rejected in favor of nonlinear trend stationarity. The paper also found a robust nonlinear cotrending relationship between the interest rate and the inflation rate and the hypothesis of full Fisher effect is accepted.

Suggested Citation

  • Maghyereh, A. & Al-Zoubi, H., 2006. "Does Fisher Effect Apply in Developing Countries: Evidence From a Nonlinear Cotrending Test applied to Argentina, Brazil, Malysia, Mexico, Korea and Turkey," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 6(2).
    • Handle: RePEc:eaa:aeinde:v:6:y:2006:i:2_3
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    References listed on IDEAS

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    Cited by:

    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.

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    More about this item

    Keywords

    Fisher effect; nonlinear cotrending; inflation; interest rate; developing countrie;
    All these keywords.

    JEL classification:

    • E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates
    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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