Inflation uncertainty and interest rates: is the Fisher relation universal?
Inflation uncertainty and interest rates: is the Fisher relation universal?
复制标题
通货膨胀不确定性和利率：费雪关系是否具有普适性？
DOI：
10.1080/00036840500427908
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发表时间：
2007
影响因子：
2.2
通讯作者：
Hasan Olgun
中科院分区：
文献类型：
--
作者：
H. Berument;N. Ceylan;Hasan Olgun
本文以七国集团和45个发展中经济体为样本，检验了利率与预期通胀呈正相关的费雪假设的有效性。为此，我们估计了样本中所有国家的GARCH假设规范的一个版本。我们还通过在方程中加入膨胀不确定性来检验增广费雪关系。简单的费雪关系适用于所有G7国家，但只适用于23个发展中国家。七国集团中有6个国家和18个发展中国家的利率和通货膨胀不确定性之间存在积极和统计上显著的关系，7个发展中国家的这种关系为负。
This paper tests the validity of the Fisher hypothesis, which establishes a positive relation between interest rates and expected inflation, for the G7 countries and 45 developing economies. For this purpose, we estimate a version of the GARCH specification of the hypothesis for all countries included in the sample. We also test the augmented Fisher relation by including the inflation uncertainty in the equation. The simple Fisher relation holds in all G7 countries but in only 23 developing countries. There is a positive and statistically significant relationship between interest rates and inflation uncertainty for six of the G7 and 18 of the developing countries and this relationship is negative for seven developing countries.