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Journal of Economics and Finance

Erschienen in:

10.02.2016

The fisher relationship in Nigeria

verfasst von: Borja Balparda, Guglielmo Maria Caporale, Luis Alberiko Gil-Alana

Erschienen in: Journal of Economics and Finance | Ausgabe 2/2017

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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.

Vorheriger Artikel Determinants of export diversification in Sub-Sahara African region: a fractionalized logit estimation model

Nächster Artikel A simple empirical investigation into the optimal size of the NGDP Target and Level targeting

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Alternative ways of calculating 6-month, quarterly and annual inflation rates from the monthly data produced essentially the same results, with some inconsistencies between the nominal and the real rates.

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Titel: The fisher relationship in Nigeria
verfasst von: Borja Balparda
Guglielmo Maria Caporale
Luis Alberiko Gil-Alana
Publikationsdatum: 10.02.2016
Verlag: Springer US
Erschienen in: Journal of Economics and Finance / Ausgabe 2/2017
Print ISSN: 1055-0925
Elektronische ISSN: 1938-9744
DOI: https://doi.org/10.1007/s12197-016-9355-9

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