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

11 Pages Posted: 14 Nov 2001

See all articles by Francisco Carneiro

Francisco Carneiro

The World Bank

Jose Angelo Divino

Catholic University of Brasilia

Carlos Henrique Rocha

Catholic University of Brazil

Multiple version iconThere are 2 versions of this paper

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

Suggested Citation

Carneiro, Francisco Galrao and Divino, Jose Angelo and Rocha, Carlos Henrique, Revisiting the Fisher Effect Hypothesis for the Cases of Argentina, Brazil and Mexico. Available at SSRN: https://ssrn.com/abstract=289824 or http://dx.doi.org/10.2139/ssrn.289824

Francisco Galrao 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

Register to save articles to
your library

Register

Paper statistics

Downloads
313
Abstract Views
2,341
rank
97,102
PlumX Metrics