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Andrew Phiri and Peter Lusanga
''Can asymmetries account for the empirical failure of the Fisher effect in South Africa?''
( 2011, Vol. 31 No.3 )
This paper investigates whether unobserved asymmetries can account for irregularities in the Fisher effect for the exclusive case of South Africa. This objective is attained by investigating unit roots within a threshold auto-regressive (TAR) models and estimating a threshold vector error correction (TVEC) models for the data. The empirical analysis depicts significant long-run Fisher effects whereas such effects are deficient with regards to the short-run. These results improve on those obtained in preceding studies for South Africa, in the sense of being closely emulated with the original hypothesis as presented by Fisher (1907).
Keywords: South Africa, Fisher effect, Inflation, Interest Rates, Threshold Co-integration
C1 - Econometric and Statistical Methods: General
Manuscript Received : May 14 2011 Manuscript Accepted : Jul 05 2011

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