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Shabbir Ahmad
''Fisher effect in nonlinear STAR framework: some evidence from Asia''
( 2010, Vol. 30 No.4 )
This study tests the presence of the long run Fisher effect in eight Asian economies. Using monthly data and a variety of interest rates, the paper employs a recent nonlinear methodology to capture the long run relationship between the nominal interest rate and the inflation rate. The estimation results on the basis of the new methodology are encouraging and indicate the validity of Fisher effect in almost all the examined economies.
Keywords: Non-linearity, Unit Roots, Cointegration, ADF
E4 - Money and Interest Rates: General
Manuscript Received : Jul 05 2010 Manuscript Accepted : Oct 02 2010

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