Rethinking the Fisher Effect: A Co-integration Analysis Between Interest Rates and Inflation (Reconsiderando o Efeito Fisher: Uma Analise de Cointegracao Entre Taxas de Juros e Inflacao)

Carneiro, Francisco Galrao; Divino, Jose Angelo; Rocha, Carlos Henrique

Abstract

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Rethinking the Fisher Effect: A Co-integration Analysis Between Interest Rates and Inflation (Reconsiderando o Efeito Fisher: Uma Analise de Cointegracao Entre Taxas de Juros e Inflacao)

Catholic University of Brazil

Nova Economia, Vol. 13, No. 1, pp. 81-100, January-June 2003

Abstract:
This paper investigates the validity of the Fisher effect hypothesis that it is the interest rate which moves to adjust to the anticipated changes in the rate of inflation. The analysis is carried out with monthly data for the period 1980-97 for three countries with recent histories of chronic high inflation: Argentina, Brazil, and Mexico. A co-integration analysis has 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.

Note: Downloadable document is in Portuguese.

Number of Pages in PDF File: 15

Keywords: Inflation, interest rate, monetary policy, Argentina, Brazil, Mexico

JEL Classification: O42, E31

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Date posted: January 16, 2004

Suggested Citation

Carneiro, Francisco Galrao, Divino, Jose Angelo and Rocha, Carlos Henrique, Rethinking the Fisher Effect: A Co-integration Analysis Between Interest Rates and Inflation (Reconsiderando o Efeito Fisher: Uma Analise de Cointegracao Entre Taxas de Juros e Inflacao). Nova Economia, Vol. 13, No. 1, pp. 81-100, January-June 2003. Available at SSRN: http://ssrn.com/abstract=486095

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

Abstract

Footnotes (7)

Rethinking the Fisher Effect: A Co-integration Analysis Between Interest Rates and Inflation (Reconsiderando o Efeito Fisher: Uma Analise de Cointegracao Entre Taxas de Juros e Inflacao)

Francisco Galrao Carneiro

Jose Angelo Divino

Carlos Henrique Rocha

Date posted: January 16, 2004

Suggested Citation

Contact Information

Francisco G. Carneiro (Contact Author)

Jose Angelo Divino

Carlos Henrique Rocha