Czasopismo
Tytuł artykułu
Warianty tytułu
Efekt Fishera - przypadek Słowacji
Języki publikacji
Abstrakty
The paper is an attempt to find empirical evidence for the Fisher effect in the Slovak conditions. The Fisher hypothesis says that a 1% increase in inflation will be accompanied by a 1% increase in interest rates. In other words, the nominal interest rate will be the sum of real interest rate and inflation rate. In the first part of contribution the Fisher equation was derived. In the second part the cointegration was tested by applying two main procedures that are widely used: Engle and Granger's residual based ADF method and Johansen's maximum likelihood approach. Although ADF test proved cointegration between interest rate and inflation, the value of regression coefficient 0.775 is not consistent with the theory (it should be 1). Consequently we have applied Phillips-Perron test which estimates the nonaugmented DF test equation, and modifies the t-ratio of the S coefficient so that serial correlation does not affect the asymptotic distribution of the test statistic. Johansen's test also proved the previous results of no cointegration between nominal interest rates and inflation (we have examined both the inflation measured by CPI and core inflation). These results were expected, because of negative real interest rate presence during analysed period. (fragment of text)
Efekt Fishera jest kamieniem węgielnym wielu modeli teoretycznych i jest ważny dla rozumienia ruchów nominalnych stóp procentowych. Hipoteza Fishera mówi, że rzeczywista stopa procentowa jest stała. Zatem nominalna stopa przesuwa się wraz z inflacją. Rzeczywiste stopy procentowe działają na wszystkie decyzje co do oszczędności i inwestycji w gospodarce. Z tego powodu zachowanie rzeczywistej stopy procentowej jest centralnym zagadnieniem w badaniu rynków finansowych. Artykuł składa się z dwu części. W pierwszej jest opisany aspekt teoretyczny i metodologia efektu Fishera. Druga część artykułu zawiera analizy empiryczne zastosowane do warunków słowackich. (abstrakt oryginalny)
Słowa kluczowe
Rocznik
Strony
45--56
Opis fizyczny
Twórcy
autor
- Matej Bel University, Banská Bystrica, Slovakia
autor
- Matej Bel University, Banská Bystrica, Slovakia
autor
- Matej Bel University, Banská Bystrica, Slovakia
Bibliografia
- Atkins F.J., Co-integration, Error Correction and the Fisher Effect, "Applied Economics" 1989, 21, 1611-1620.
- Bonham C.S., Correct Cointegration Tests of the Long-run Relationship between Nominal Interest and Inflation, "Applied Economics" 1991, 23, 1487-1492.
- Engle R.F., Granger C.W., Co-integration and Error Correction: Representation, Estimation, and Testing, "Econometrica" 1987, 55, 251-276.
- Fama E., Short-term Interest Rates as Predictors of Inflation, "American Economic Review" 1975, 65, 269-282.
- Fisher I., The Theory of Interest, Macmillan, New York 1930.
- Granger C.W., Newbold P., Spurious Regression in Econometrics, "Journal of Econometrics" 1974, 2, 111-120.
- Hušek R., Moravová J., Phillipsovy křivky a transformující se česká ekonomika, "Statistika" 2001,8-9,337-345.
- Johansen S., Juselius K., Maximum Likelihood Estimation and Inferences on Cointegration - with Applications to the Demand for Money, Oxford Bulletin of Economics and Statistics 1990, 52, 169-210.
- Koustas Z., Seletis A., On the Fisher effect, "Journal of Monetary Economics" 1999, 44, 105-130.
- Lungu L., Is There Evidence of the Fisher Effect?, Dissertation of the MA in Economics, University of Liverpool, Department of Economics and Accounting, 1998.
- MacDonald R., Murphy P.D., Testing for the Long Run Relationship between Nominal Interest Rates and Inflation Using Cointegration Techniques, "Applied Economics" 1989, 21, 439-447.
- Phillips P.C.B., Understanding Spurious Regressions in Econometrics, "Journal of Econometrics" 1986, 33,311-340.
- Phillips P.C.B., Ouliaris S., Asymptotic Properties of Residual Based Tests for Cointegration, "Econometrica" 1990, 58, 165-193.
- Phillips P.C.B., Perron P., Testing for a Unit Root in Time Series Regression, "Biometrika" 1988, 75, 335-346.
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000171479861