| Titre | Modèles à seuil et relation de Fisher : une application à l'économie allemande | |
|---|---|---|
| Auteur | Jens Weidmann | |
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Revue | Economie et prévision |
| Numéro | no 140-141, 1999/4-5 Economie des marché financiers | |
| Rubrique / Thématique | Économie des marchés financiers |
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| Page | 35-44 | |
| Résumé anglais |
Threshold Models and the Fisher Effect : an Application to the German Economy
by Jens Weidmann
This paper reassesses the long-run relation between nominal interest rates and inflation using German data. It shows that the empirical rejection of the strict Fisher effect in previous studies can be attributed to the time-series behaviour of inflation and interest rates not accounted for by standard non-stationary models. It is argued that the stochastic process governing the bivariate system of inflation and interest rates depends on the level of the variables and should be modelled as a threshold cointégration model. This model can be given an economic interpretation in terms of the behaviour of a central bank adopting the opportunistic approach of disinflation. The full Fisher effect, even in its tax-adjusted form, cannot be rejected when a threshold model is estimated. The threshold cointégration model not only explains the downward bias of the coefficient estimates, but also the time-period and country sensitivity observed in previous studies. Source : Éditeur (via Persée) |
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| Article en ligne | http://www.persee.fr/web/revues/home/prescript/article/ecop_0249-4744_1999_num_140_4_5973 |
