The Fisher Equation: A Nonlinear Panel Data Approach

Dong Hyeon Kim; Shu Chin Lin; Joyce Hsieh; Yu Bo Suen

doi:10.1080/1540496X.2016.1245138

The Fisher Equation: A Nonlinear Panel Data Approach

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

Department of Food and Resource Economics

Research output: Contribution to journal › Article › peer-review

7 Citations (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 language	English
Pages (from-to)	162-180
Number of pages	19
Journal	Emerging Markets Finance and Trade
Volume	54
Issue number	1
DOIs	https://doi.org/10.1080/1540496X.2016.1245138
Publication status	Published - 2018 Jan 2

Bibliographical note

Funding Information:
Yu-Bo Suen gratefully acknowledges the financial support of Taiwan’s National Science Council through grant NSC102-2410-H-156-004.

Publisher Copyright:
Copyright © Taylor & Francis Group, LLC.

Keywords

Fisher effects
panel smooth transition regression

ASJC Scopus subject areas

Finance
Economics, Econometrics and Finance(all)

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10.1080/1540496X.2016.1245138

Cite this

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title = "The Fisher Equation: A Nonlinear Panel Data Approach",

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.",

keywords = "Fisher effects, panel smooth transition regression",

author = "Kim, {Dong Hyeon} and Lin, {Shu Chin} and Joyce Hsieh and Suen, {Yu Bo}",

note = "Funding Information: Yu-Bo Suen gratefully acknowledges the financial support of Taiwan{\textquoteright}s National Science Council through grant NSC102-2410-H-156-004. Publisher Copyright: Copyright {\textcopyright} Taylor & Francis Group, LLC.",

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AU - Suen, Yu Bo

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Y1 - 2018/1/2

N2 - 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.

AB - 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.

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The Fisher Equation: A Nonlinear Panel Data Approach

Abstract

Bibliographical note

Keywords

ASJC Scopus subject areas

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