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Revisiting the Fisher hypothesis for the cases of Argentina, Brazil and Mexico

Author

Listed:
  • Francisco Carneiro
  • Jose Angelo
  • C. A. Divino
  • Carlos Rocha

Abstract

This paper investigates the validity of the Fisher effect hypothesis that it is the interest rate that moves to adjust to anticipated changes in the rate of inflation. The analysis is carried out with monthly data for the period 1980-1997 for three countries that have a recent history of chronic high inflation: Argentina, Brazil and Mexico. A cointegration analysis provided evidence of a stable long-run equilibrium relationship between nominal interest rates and the inflation rate for the cases of Argentina and Brazil only.

Suggested Citation

  • 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.
    • Handle: RePEc:taf:apeclt:v:9:y:2002:i:2:p:95-98
    DOI: 10.1080/13504850110049405
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    Cited by:

    1. 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.
    2. Utku ALTUNÖZ, 2018. "Investigating the Presence of Fisher Effect for the China Economy," Sosyoekonomi Journal, Sosyoekonomi Society, issue 26(35).
    3. Muse, Bernard & Alimi, R. Santos, 2012. "Testing an Augmented Fisher Hypothesis for a Small Open Economy: The Case of Nigeria," MPRA Paper 44987, University Library of Munich, Germany.
    4. Awomuse, Bernard O. & Alimi, Santos R., 2012. "The Relationship between Nominal Interest Rates and Inflation: New Evidence and Implication for Nigeria," MPRA Paper 49684, University Library of Munich, Germany.
    5. 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.
    6. 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.
    7. 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.
    8. 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.
    9. Paul Johnson, 2006. "Is it really the Fisher effect?," Applied Economics Letters, Taylor & Francis Journals, vol. 13(4), pages 201-203.
    10. Rahman, Abdurrahman Arum, 2020. "Organic global cryptocurrency:towards a stable international monetary system that is closer to Maqasid Sharıʿah," Islamic Economic Studies, The Islamic Research and Training Institute (IRTI), vol. 28, pages 63-82.
    11. James R. Rhodes, 2006. "DEVOLUTION OF THE FISHER EQUATION: Rational Appreciation to Money Illusion," GRIPS Discussion Papers 07-05, National Graduate Institute for Policy Studies, revised Sep 2007.
    12. 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).
    13. Yu Hsing, 2003. "Impact of external debt and other macroeconomic policies on output in Brazil: a var approach," Revista de Analisis Economico – Economic Analysis Review, Universidad Alberto Hurtado/School of Economics and Business, vol. 18(2), pages 97-108, December.
    14. 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.
    15. 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.
    16. Yuki Toyoshima & Shigeyuki Hamori, 2011. "Panel cointegration analysis of the Fisher effect: Evidence from the US, the UK, and Japan," Economics Bulletin, AccessEcon, vol. 31(3), pages 2674-2682.
    17. H.a. Mitchell‐innes & M.j. Aziakpono & A.p. Faure, 2007. "Inflation Targeting And The Fisher Effect In South Africa: An Empirical Investigation," South African Journal of Economics, Economic Society of South Africa, vol. 75(4), pages 693-707, December.

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