经济学留学生论文范文:回顾费雪假设 [3]
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论文字数:4704论文编号:org201511062021495095语种:英语 English地区:中国价格:免费论文
关键词:实证模型inflation
摘要:这是一篇经济学专业留学生论文范文,本文主要讲述了费舍尔假说,并以印度为例。
s been studied extensively especially in developed countries such as America (US). Mishkin (1992) investigated the relationship between US inflation rates and interest rates and produced evidence supporting the existence of a long-run Fisher effect, but could not validate the existence of a short-run fisher effect. Mishkin (1992) differentiated between the long-run Fisher effect and the short-run Fisher effect. He described the long-run fisher effect as the long run trending of interest rates and inflation rates, in which expected rates of inflation were reflected in long-term interest rates. The short-run Fisher effect was described as changes in expected rates of inflation being reflected in short-term interest rates. He analysed monthly data over 1953-1990 and applied the Engle and Granger (1987) methodology to test for the presence of cointegration between rates of inflation and interest rates. His findings suggested that interest rates and inflation rates moved together and would converge to a long-run equilibrium, subsequently supporting the existence of the long-run Fisher effect. Crowder and Hoffman (1996) also tested for the fisher effect in the US and looked at 3-month US Treasury Bill rates and inflation rates over 1952-1991. They employed Johansen's (1988) maximum likelihood methodology and also found evidence of a long-run cointegrating relationship. Their results showed that changes in expected inflation led to adjustments in the nominal interest rate however, they found that the adjustment was greater than the ‘one-for-one' basis hypothesised by Fisher (1930). Other significant studies of the fisher effect in the US, that apply the Johansen cointegration tests include Fahmy and Kandil (2003), Chu, Pittman & Yu (2003), Yuhn (1996), and Peláez (1995). The majority of literature that analyses the fisher effect in the US, finds sufficient evidence to support the fisher hypothesis, however studies involving other developed countries have produced varying results.
In Yuhn's (1996) analysis of data from the UK, US, Germany, Japan and Canada, satisfactory support for the existence of the fisher effect could not be found for either Canada or the UK. Ghazali and Ramlee (2003) were also unable to determine a long-run relationship between nominal interest rates and rates of inflation in their analysis of the G7 countries between 1974 and 1996. Koustas and Serletis (1999) using Engle and Granger (1987) cointegration examine 11 countries (Germany, France, the Netherlands, the UK, the US, Canada, Belgium, Greece, Ireland, Denmark and Japan) but their results suggest little evidence to support the fisher effect. In contrast, Granville and Mallick (2004) follow a similar methodology in their analysis and find that the linear combination of both UK nominal interest rates and inflation appears to be stationary, supporting the fisher hypothesis.
The majority of empirical studies of the fisher effect in Australia have to a reasonable extent, shown support for the fisher hypothesis. Studies by Mishkin and Simon (1995) find support for the existence of the long-run fisher effect with inflationary expectations, for the period 1962-1993. In addition, Olekalns (1996) and Hawtrey (1997) are able to verify the fisher effect during certain periods following the deregulation of the financial system (1984-1994). However, Inder and Silvapulle (1993) find results that conflict with the fisher hypothesis in th
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