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http://bura.brunel.ac.uk/handle/2438/13732| Title: | The fisher relationship in Nigeria |
| Authors: | Balparda, B Caporale, GM Gil-Alana, LA |
| Keywords: | Fisher effect;Unit root tests;Fractional integration |
| Issue Date: | 2016 |
| Citation: | Journal of Economics and Finance, pp. 1 - 11,(2016) |
| Abstract: | This paper examines the Fisher relationship in the case of Nigeria by carrying out standard unit root tests and applying fractional integration techniques to 1-month, 3-month, 6-month and 12-month deposit rates and inflation. The evidence indicates that this relationship only holds for very short-term (1-month) interest rates, and therefore only these nominal rates are a useful predictor of the inflation rate. For other short-term rates the lack of a Fisher effect suggests that they could be used as a monetary policy tool. |
| URI: | http://bura.brunel.ac.uk/handle/2438/13732 |
| DOI: | http://dx.doi.org/10.1007/s12197-016-9355-9 |
| ISSN: | 1055-0925 1938-9744 |
| Appears in Collections: | Dept of Economics and Finance Research Papers |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| Fulltext.docx | 77.87 kB | Unknown | View/Open |
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