SHERP

Some Empirical Evidence on Models of Fisher Relation

Cited 0 time in webofscience Cited 0 time in scopus
Authors
Kim, Jae-Young; Park, Woong Yong
Issue Date
2018
Publisher
Institute of Economic Research, Seoul National University
Citation
Seoul Journal of Economics, vol.31, no.2, pp. 145-155
Keywords
Fisher relationNonlinear behaviorPost-data model determination
Abstract
The Fisher relation, describing a one-for-one relation between nominal interest rate and expected inflation, underlies many important results in economics and finance. The Fisher relation is a conceptually simple relation, but the empirical evidence of it is more or less complicated with mixed results. Several alternative models with different implications were proposed in empirical literature for the Fisher relation. We evaluate these alternative models for the Fisher relation based on a post-data model determination method. Our result for data from the U.S. and Korea shows that models with both regimes/periods, a regime with nonstationary fluctuations and the other with stationary fluctuations, fit data best for the Fisher relation
ISSN
1225-0279
Language
English
URI
http://hdl.handle.net/10371/142665
Files in This Item:
Appears in Collections:
College of Social Sciences (사회과학대학)Institute of Economics Research (경제연구소)Seoul Journal of EconomicsSeoul Journal of Economics vol.31 no.1/4 (2018)
  • mendeley

Items in S-Space are protected by copyright, with all rights reserved, unless otherwise indicated.

Browse