The Fisher Equation: A Nonlinear Panel Data Approach

Dong-Hyeon Kim, Shu Chin Lin, Joyce Hsieh, Yu Bo Suen

Research output: Contribution to journalArticle

1 Citation (Scopus)

Abstract

This article reinvestigates the Fisher equation. Using the panel smooth transition regression (PSTR) model, it was found that there is a significant regime-switching effect concerning the impact of inflation on interest rates. Specifically, inflation is found to raise the interest rates and the effect becomes stronger in magnitude with inflation. However, the data do not provide evidence in support of the one-for-one Fisher effect. The evidence is robust to interest rates with different maturities and subsamples.

Original languageEnglish
Pages (from-to)162-180
Number of pages19
JournalEmerging Markets Finance and Trade
Volume54
Issue number1
DOIs
Publication statusPublished - 2018 Jan 2

Fingerprint

Interest rates
Panel data
Inflation
Fisher equation
Regression model
Maturity
Regime switching
Fisher effect
Smooth transition regression

Keywords

  • Fisher effects
  • panel smooth transition regression

ASJC Scopus subject areas

  • Finance
  • Economics, Econometrics and Finance(all)

Cite this

The Fisher Equation : A Nonlinear Panel Data Approach. / Kim, Dong-Hyeon; Lin, Shu Chin; Hsieh, Joyce; Suen, Yu Bo.

In: Emerging Markets Finance and Trade, Vol. 54, No. 1, 02.01.2018, p. 162-180.

Research output: Contribution to journalArticle

Kim, Dong-Hyeon ; Lin, Shu Chin ; Hsieh, Joyce ; Suen, Yu Bo. / The Fisher Equation : A Nonlinear Panel Data Approach. In: Emerging Markets Finance and Trade. 2018 ; Vol. 54, No. 1. pp. 162-180.
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