The Fisher Effect revisited - The application of the long memory processes
碩士 === 國立暨南國際大學 === 經濟學系 === 85 === Since Fisher (1930) introduced Fisher equation,many works had been focused on tests of the Fisher effect.Following Mishkin (1992),this thesis attempts to test whether Fisher effects exists Taiwan and U.S.A. by using two...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
1997
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| Online Access: | http://ndltd.ncl.edu.tw/handle/435799 |
| Summary: | 碩士 === 國立暨南國際大學 === 經濟學系 === 85 === Since Fisher (1930) introduced Fisher equation,many works had
been focused on tests of the Fisher effect.Following Mishkin
(1992),this thesis attempts to test whether Fisher effects
exists Taiwan and U.S.A. by using two methods which are
thecointegration methodology of Engle and Granger (1987) and the
real interestrate''s regression.What is different is that we
introduce ARFIMA (AutoRegressive Fractionally Integrated Moving
Average)model.We use the data of Taiwan and what is used by
Mishkin (1992).The results shown that Fisher effect does not
exist for Taiwan''s data,while it exists for US data by
utilizingthe cointegration methodology.The latter is due to that
real interest rate is meanreverting and nominal interest rate
and inflation rate are ''fractional cointegrated".This is not
considered in Mishkin (1992).By using the real interest rate''s
regressions we find real interestrate and nominal interest only
have weak poistive correlation，while real interestrate and
inflation have strong correlation in American data.
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