Does the Fisher effect exist for New Zealand? A VAR approach

Con Korkofingas; Joseph Macri

Does the Fisher effect exist for New Zealand? A VAR approach

Con Korkofingas, Joseph Macri

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

Abstract

This paper examines the Fisher Hypothesis for New Zealand using a VAR approach. Empirical results seem to suggest that the 'strong form' of the Fisher hypothesis, which states that the nominal rate of interest fully adjusts to anticipated inflation, cannot be rejected for New Zealand for the period 1991Q1 to 2006Q4.

Original language	English
Pages (from-to)	173-182
Number of pages	10
Journal	The Empirical economics letters
Volume	12
Issue number	2
Publication status	Published - 2013

Keywords

Fisher Hypothesis
Interest Rates
Inflation
VAR Models

Cite this

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title = "Does the Fisher effect exist for New Zealand? A VAR approach",

abstract = "This paper examines the Fisher Hypothesis for New Zealand using a VAR approach. Empirical results seem to suggest that the 'strong form' of the Fisher hypothesis, which states that the nominal rate of interest fully adjusts to anticipated inflation, cannot be rejected for New Zealand for the period 1991Q1 to 2006Q4.",

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AB - This paper examines the Fisher Hypothesis for New Zealand using a VAR approach. Empirical results seem to suggest that the 'strong form' of the Fisher hypothesis, which states that the nominal rate of interest fully adjusts to anticipated inflation, cannot be rejected for New Zealand for the period 1991Q1 to 2006Q4.

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KW - Interest Rates

KW - Inflation

KW - VAR Models

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EP - 182

JO - The Empirical economics letters

JF - The Empirical economics letters

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ER -

Does the Fisher effect exist for New Zealand? A VAR approach

Abstract

Keywords

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Cite this