Revisiting the fisher effect for developed and developing countries : a bounds test approach

Download

index.pdf

Date

2007

Author

Bacı, Duygu

Metadata

Show full item record

Item Usage Stats

303
views

112
downloads

This study investigates the Fisher Effect for a sample of ten developed countries and ten developing countries. The study examines whether the nominal interest rate adjusts to the expected inflation rate in the long run. The distinction between the developed countries and developing countries also enables to identify special conditions under which Fisher Effect is more likely to hold. To analyze the long run relationship between the nominal interest rate and expected inflation rate, Bounds test approach of Pesaran et. al. (2001) is utilized. Estimation results show that the adjustment of nominal interest rate to expected inflation is encountered mostly for the developing countries which have inflationary history in their economies.

Subject Keywords

Economics.

URI

http://etd.lib.metu.edu.tr/upload/12608302/index.pdf
https://hdl.handle.net/11511/16728

Collections

Graduate School of Social Sciences, Thesis

Suggestions

OpenMETU
Core

Determinants of current account deficits in industrialized and developing coıuntries: an empirical investigation Kaya Bahçe, Seçil Aysed; Kaya Bahçe, Seçil Aysed; Department of Economics (2005) This study aims to analyze the determinants of the current account deficits for a broad samples of industrial and developing countries for the period 1984-2001. Using a dynamic panel data estimation procedure, we try to unfold the impact of several macro economic and institutional variables on current account deficits. In this context, we also examine the validity of Feldstein Horioka puzzle and its relevance to the current account imbalances. Results show that better governance, a more sophisticated financ...
The Granger-causality between health care expenditure and output: a panel data approach Erdil, Erkan (Informa UK Limited, 2009-01-01) This study investigates the Granger-causality relationship between real per capita GDP and real per capita health care expenditure by employing a large macro panel data set with a VAR representation. The findings verify that the dominant type of Granger-causality is bidirectional. In instances that we found one-way causality, the pattern is not homogenous: Our analyses show that one-way causality generally runs from income to health in low- and middle-income countries whereas the reverse holds for high-inco...
The twin deficits hypothesis : an empirical investigation Yanık, Yeliz; Özmen, Erdal; Department of Economics (2006) This study investigates the validity of the twin deficits hypothesis for the Turkish quarterly data over the 1988:1-2005:2 periods. To this end, we consider a VAR variable space containing budget deficits, current account deficits, real output, real interest rates and real exchange rates and employ cointegration, equilibrium/error correction mechanism techniques along with Granger-non-causality tests and impulse response analyses. The empirical results from decompositions of the budget and current account d...
Brain drain from Turkey : an empirical investigation of the determinants of skilled migration and student non-return Güngör, Nil Demet; Tansel, Aysıt; Department of Economics (2004) This study deals with skilled migration from a developing country perspective. The migration of skilled individuals from developing countries to developed countries is often viewed as a costly subsidy from the poor nations to the rich, and a threat to their economic development. The first part of the study brings up to date both the theoretical and the policy debate on the impact of skilled migration on the sending economies. The second purpose of the study is to take a closer look at the motivations for sk...
Real exchange rates and real interest rate differentials : an empirical investigation Can Mutan, Oya; Özmen, Erdal; Department of Economics (2005) This study investigates the validity of the real exchange rate-real interest rate differential (RERI) relationship for a sample of twenty-three developing and developed countries. The results based on the Johansen cointegration analysis suggest the validity of the long-run RERI relationship only for a small number of countries including Canada, Italy, Switzerland, Belgium, Chile, Israel and Norway. Real interest rate differentials are found to be positively associated with real exchange rates in the long-ru...

Citation Formats

D. Bacı, “ Revisiting the fisher effect for developed and developing countries : a bounds test approach,” M.S. - Master of Science, Middle East Technical University, 2007.