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An Empirical Investigation of Fisherian Link in BRIC-T Countries

Author

Listed:
  • Tayfur BAYAT

    (Michigan State University)

  • Selim KAYHAN

    (Necmettin Erbakan Üniversitesi)

  • Çetin DOĞAN

    (Zirve Üniversitesi)

Abstract

This study investigates the causal dynamics between policy rate and inflation rates in BRIC-T countries by employing monthly data from the January 1993 to March 2012. The study benefits from the recent advance in the time series and carries out nonlinear cointegration, frequency domain test approach. The results suggest that strong evidence of non-linear co-integration in Brazil and Turkey, linear co integration in Russia, India and China. According to non-linear causality analysis, there is a bi-directional relationship between nominal interest rate and inflation in the case of Brazil and Turkey. Linear causality test finds that there is a uni-directional causality running from inflation rate to nominal interest rate in Russia. Frequency domain analysis results imply the existence of the Fisher effect on the long run in China, Russia and Turkey, rejects the validity of effect in India and Brazil, contrary to nonlinear causality test.

Suggested Citation

  • Tayfur BAYAT & Selim KAYHAN & Çetin DOĞAN, 2014. "An Empirical Investigation of Fisherian Link in BRIC-T Countries," Iktisat Isletme ve Finans, Bilgesel Yayincilik, vol. 29(334), pages 95-120.
    • Handle: RePEc:iif:iifjrn:v:29:y:2014:i:334:p:95-120
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    More about this item

    Keywords

    Fisher Effect; BRIC-T; Cointegration; Causality;
    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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