Detalle Publicación

The fisher relationship in Nigeria

Autores: Balparda, B.; Caporale, G. M.; Gil Alaña, Luis Alberiko
Título de la revista: JOURNAL OF ECONOMICS AND FINANCE
ISSN: 1055-0925
Volumen: 41
Número: 2
Páginas: 343 - 353
Fecha de publicación: 2017
Resumen:
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.
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