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Revisiting the Fisher Hypothesis for Several Selected Developing Economies: A Quantile Cointegration Approach

机译：重新审视几个发展中经济体的费希尔假说：分位数协整方法

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摘要

This paper reinvestigates the validity of the Fisher hypothesis, for several selected developing countries. With the quantile cointegration method proposed by Xiao (2009), we find that the long-run coefficients between nominal interest rates and inflation can be affected by the shocks and, therefore, may vary over time. More specifically, in the upper quantiles there is one-to-one relationship between the two variables, supporting the Fisher effect, while in the lower quantiles, the nominal interest rate responds by a lower percentage than the change in inflation. This is known as the Fisher effect puzzle. Thus the Engle-Granger cointegration regression may suffer from model misspecification, because of the assumption of a constant cointegrating vector. A possible explanation for such an asymmetric relationship between the two variables is provided.
机译：本文对几个选定的发展中国家重新研究了费雪假说的有效性。通过Xiao（2009）提出的分位数协整方法，我们发现名义利率和通货膨胀之间的长期系数会受到冲击的影响，因此可能会随时间变化。更具体地说，在较高的分位数中，两个变量之间存在一一对应的关系，这支持了费雪效应，而在较低的分位数中，名义利率的响应百分比则低于通货膨胀的变化。这就是费雪效应难题。因此，由于假设恒定的协整向量，Engle-Granger协整回归可能会遭受模型错误指定的困扰。提供了两个变量之间这种不对称关系的可能解释。

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  • 来源
    《Economic Issues》 |2014年第1期|57-72|共16页
  • 作者

    C C Tsong; A Hachicha;

  • 作者单位

    Department of Economics, National Chi Nan University, Nantou 545, Taiwan;

    Department of Economic Development, Faculty of Economics and Management of Sfax, Airport road Km 4, B.P. 3018, Sfax, Tunisia;

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