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Revisiting the Fisher Effect Hypothesis for the Cases of Argentina, Brazil and Mexico


Francisco Galrao Carneiro


The World Bank

Jose Angelo Divino


Catholic University of Brasilia

Carlos Henrique Rocha


Catholic University of Brazil

Forthcoming in Applied Economics Letters

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 1980-97 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.

Keywords: inflation, interest rates, monetary policy, cointegration analysis

JEL Classification: O42, E31

Accepted Paper Series


Date posted: November 23, 2001  

Suggested Citation

Carneiro, Francisco Galrao, Divino, Jose Angelo and Rocha, Carlos Henrique, Revisiting the Fisher Effect Hypothesis for the Cases of Argentina, Brazil and Mexico. Forthcoming in Applied Economics Letters. Available at SSRN: http://ssrn.com/abstract=291583

Contact Information

Francisco G. Carneiro (Contact Author)
The World Bank ( email )
1818 H Street, N.W.
Washington, DC 20433
United States
Jose Angelo Divino
Catholic University of Brasilia ( email )
SGAN 916
Office A-118
Brasilia, 70790160
Brazil
+55(61)34487135 (Phone)
Carlos Henrique Rocha
Catholic University of Brazil ( email )
Brasília, DF
Brazil
Feedback to SSRN (Beta)


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