Some Empirical Evidence on Models of Fisher Relation
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초록
The Fisher relation, describing a one-for-one relation betweennominal interest rate and expected inflation, underlies manyimportant results in economics and finance. The Fisher relation is aconceptually simple relation, but the empirical evidence of it is moreor less complicated with mixed results. Several alternative modelswith different implications were proposed in empirical literature forthe Fisher relation. We evaluate these alternative models for theFisher relation based on a post-data model determination method. Our result for data from the U.S. and Korea shows that models withboth regimes/periods, a regime with nonstationary fluctuations andthe other with stationary fluctuations, fit data best for the Fisherrelation. Keywords: Fisher
Abstract
The Fisher relation, describing a one-for-one relation betweennominal interest rate and expected inflation, underlies manyimportant results in economics and finance. The Fisher relation is aconceptually simple relation, but the empirical evidence of it is moreor less complicated with mixed results. Several alternative modelswith different implications were proposed in empirical literature forthe Fisher relation. We evaluate these alternative models for theFisher relation based on a post-data model determination method. Our result for data from the U.S. and Korea shows that models withboth regimes/periods, a regime with nonstationary fluctuations andthe other with stationary fluctuations, fit data best for the Fisherrelation. Keywords: Fisher
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