An Empirical Investigation of Fisherian Link in BRIC-T Countries
Küçük Resim Yok
Tarih
2014
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Bilgesel Yayincilik San & Tic Ltd
Erişim Hakkı
info:eu-repo/semantics/closedAccess
Özet
This study investigates the causal dynamics between policy rate and inflation rates in BRIC-T countries by employing monthly data from the January 1993 to March 2012. The study benefits from the recent advance in the time series and carries out nonlinear co-integration, frequency domain test approach. The results suggest that strong evidence of non-linear co-integration in Brazil and Turkey, linear co integration in Russia, India and China. According to non-linear causality analysis, there is a bi-directional relationship between nominal interest rate and inflation in the case of Brazil and Turkey. Linear causality test finds that there is a uni-directional causality running from inflation rate to nominal interest rate in Russia. Frequency domain analysis results imply the existence of the Fisher effect on the long run in China, Russia and Turkey, rejects the validity of effect in India and Brazil, contrary to nonlinear causality test.
Açıklama
Anahtar Kelimeler
Fisher Effect, Bric-T, Cointegration, Causality
Kaynak
Iktisat Isletme Ve Finans
WoS Q Değeri
Scopus Q Değeri
Cilt
29
Sayı
334
