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• W1855627540 abstract "This paper reassesses the Fisher effect using German data. It argues that the empirical rejection of the Fisher effect in previous studies, i.e., the finding of nominal interest rates not fully adjusting to changes in inflation, may be attributed to the particular time series behavior of inflation and interest rates which cannot be accounted for by standard non-stationary models. The stochastic process governing the bivariate system of inflation and interest rates depends on the level of the variables. Inside a band of tolerable inflation the system is non-stationary and cointegrated, while outside this band the system exhibits mean-reversion (threshold cointegration). Contrary to the unit root hypothesis, this approach can be given a meaningful interpretation in terms of the opportunistic approach to disinflation. The strict Fisher effect, even in its tax adjusted form, cannot be rejected when a threshold cointegration model is estimated. The threshold cointegration model may not only explain the downward bias of the coefficient estimates but also the sample sensitivity observed in previous studies." @default.
• W1855627540 created "2016-06-24" @default.
• W1855627540 creator A5089505466 @default.
• W1855627540 date "1996-10-01" @default.
• W1855627540 modified "2023-09-26" @default.
• W1855627540 title "New Hope for the Fisher Effect?: A Reexamination Using Threshold Cointegration" @default.
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