Structural breaks, inflation and interest rates: evidence from the G7 countries

Clemente, Jesús (Universidad de Zaragoza) ; Gadea, Lola (Universidad de Zaragoza) ; Montañés, Antonio (Universidad de Zaragoza) ; Reyes, Marcelo

Resumen: This study reconsiders the common unit root/co-integration approach to test for the Fisher effect for the economies of the G7 countries. We first show that nominal interest and inflation rates are better represented as I(0) variables. Later, we use the Bai–Perron procedure to show the existence of structural changes in the Fisher equation. After considering these breaks, we find very limited evidence of a total Fisher effect as the transmission coefficient of the expected inflation rates to nominal interest rates is very different than one.

Idioma: Inglés

DOI: 10.3390/econometrics5010011

Año: 2017

Publicado en: Econometrics 5, 11 (2017), [17 pp.]
ISSN: 2225-1146

Financiación: info:eu-repo/grantAgreement/ES/MEC/ECO2014-58991-C3-1-R
Financiación: info:eu-repo/grantAgreement/ES/MEC/ECO2014-58991-C3-2-R
Financiación: info:eu-repo/grantAgreement/ES/MEC/ECO2015-65967-R

Tipo y forma: Artículo (Versión definitiva)

Área (Departamento): Área Economía Aplicada (Dpto. Estruc.Hª Econ.y Eco.Pb.)
Área (Departamento): Área Fund. Análisis Económico (Dpto. Análisis Económico)