Re-Visiting Fisher Effect for Fragile Five Economies

Tayfur Bayat; Selim Kayhan; İzzet Taşar

doi:10.2478/jcbtp-2018-0019

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Re-Visiting Fisher Effect for Fragile Five Economies

Journal of Central Banking Theory and Practice

Volume 7 (2018): Issue 2 (May 2018)

By: Tayfur Bayat, Selim Kayhan and İzzet Taşar

Open Access

|May 2018

Abstract

In this study, we aim to investigate the relationship between interest rate and inflation rate in the context of the Fisher effect hypothesis for Fragile five economies. In this regard, we employ recently developed panel co-integration and panel causality test methods. The bi-directional causal relation between interest rate and inflation rate exists only in Brazil and Indonesia. On the other hand, there is no causation linkage in India. Results imply that Fisher effect exists only in Brazil and Indonesia.

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Articles in this issue

DOI: https://doi.org/10.2478/jcbtp-2018-0019 | Journal eISSN: 2336-9205

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Language: English

Page range: 203 - 218

Submitted on: Apr 12, 2017

Accepted on: May 20, 2017

Published on: May 14, 2018

Published by: Central Bank of Montenegro

In partnership with: Paradigm Publishing Services

Publication frequency: 3 issues per year

Keywords:

Fisher effect,

panel data,

fragile five economies

Related subjects:

Business and economics,

Business management,

Business management, other

© 2018 Tayfur Bayat, Selim Kayhan, İzzet Taşar, published by Central Bank of Montenegro
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

Volume 7 (2018): Issue 2 (May 2018)