This study investigates the Fisher Effect for a sample of ten developed countries and ten developing countries. The study examines whether the nominal interest rate adjusts to the expected inflation rate in the long run. The distinction between the developed countries and developing countries also enables to identify special conditions under which Fisher Effect is more likely to hold. To analyze the long run relationship between the nominal interest rate and expected inflation rate, Bounds test approach of Pesaran et. al. (2001) is utilized. Estimation results show that the adjustment of nominal interest rate to expected inflation is encountered mostly for the developing countries which have inflationary history in their economies.
| Identifer | oai:union.ndltd.org:METU/oai:etd.lib.metu.edu.tr:http://etd.lib.metu.edu.tr/upload/12608302/index.pdf |
| Date | 01 April 2007 |
| Creators | Baci, Duygu |
| Contributors | Akbostanci, Elif |
| Publisher | METU |
| Source Sets | Middle East Technical Univ. |
| Language | English |
| Detected Language | English |
| Type | M.S. Thesis |
| Format | text/pdf |
| Rights | To liberate the content for public access |
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