지원사업
학술연구/단체지원/교육 등 연구자 활동을 지속하도록 DBpia가 지원하고 있어요.
커뮤니티
연구자들이 자신의 연구와 전문성을 널리 알리고, 새로운 협력의 기회를 만들 수 있는 네트워킹 공간이에요.
논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 발행연도
- 2021.8
- 수록면
- 393 - 404 (12page)
이용수
초록· 키워드
오류제보하기
The Fisher relation (FR) is a key theoretical relation that underlies many important results in economics and finance. The theoretical FR implies that the two variables of the nominal interest rate and the expected inflation are cointegrated. In practice, however, real data often fail to confirm the cointegration FR. In this paper we propose that failure of confirming cointegration FR is due to nonstationary deviations in a relatively small portion of the data period. We investigate such possibility based on the notion of segmented cointegration in Kim (2003). Our analysis is to detect such a situation and to identify the segmented periods of cointegration. We analyze data from five east Asian economies in a period including the Asian financial crisis. For quarterly data for those economies, we have found that short-run nonstationary deviations cause failure of the cointegration FR. The segments of non-cointegration overlap the period of east Asian financial crisis, which started in the year of 1997, with slight difference across economies. This result implies that for data from the east Asian countries the Fisher relation prevails in the data period except the abnormal period of financial crisis.
목차
등록된 정보가 없습니다.
참고문헌 (19)
참고문헌 신청
Andrews, Donald W. K / 2006 / Tests for cointegration breakdown over a short time period / Journal of Business & Economic Statistics 24(4):379~394
Atkins, Frank J / 1989 / Co-integration, error correction and the Fisher effect / Applied Economics 21(12):1611~1620
Crowder, William J / 1996 / The long-run relationship between nominal interest rates and inflation: the Fisher equation revisited / Journal of money, credit and banking 28(1):102~118
Fama, Eugene F / 1975 / Short-Term Interest Rates as Predictors of Inflation / The American Economic Review 65(3):269~282
Fama, Eugene F / 1982 / Inflation, real returns and capital investment / Journal of Monetary Economics 9(3):297~323
Atkins, Frank J / 1989 / Co-integration, error correction and the Fisher effect / Applied Economics 21(12):1611~1620
Crowder, William J / 1996 / The long-run relationship between nominal interest rates and inflation: the Fisher equation revisited / Journal of money, credit and banking 28(1):102~118
Fama, Eugene F / 1975 / Short-Term Interest Rates as Predictors of Inflation / The American Economic Review 65(3):269~282
Fama, Eugene F / 1982 / Inflation, real returns and capital investment / Journal of Monetary Economics 9(3):297~323
함께 읽어보면 좋을 논문
논문 유사도에 따라 DBpia 가 추천하는 논문입니다. 함께 보면 좋을 연관 논문을 확인해보세요!
-
Financialization, Financial Globalization, and Investment – Panel Cointegration Results Using OECD Data
Seoul Journal of Economics
2021 .08
-
Time-varying Cointegration Models and Exchange Rate Predictability in Korea
[KDI] Journal of Economic Policy
2015 .11
-
Cointegration Relationship in the Stock Markets among Northeast Asian Countries
동북아시아문화학회 국제학술대회 발표자료집
2016 .07
-
핑거루트를 첨가한 탁주의 품질특성
Culinary Science & Hospitality Research
2018 .01
-
금융시장 발전 및 금융규제가 경제성장에 미치는 영향: OECD 국가패널분
무역연구
2018 .01
-
De Facto Exchange Rate Regimes in East Asia
Korea and the World Economy
2015 .04
-
Some Empirical Evidence on Models of Fisher Relation
Seoul Journal of Economics
2018 .01
-
외환위기 및 금융자유화 이후 원/달러 환율의 장 · 단기 결정요인
무역연구
2017 .01
-
Why Did Korean Domestic Demand Slow Down after the Asian Financial Crisis?
[KIEP] 연구보고서
2015 .12
-
Why Did Korean Domestic Demand Slow Down after the Asian Financial Crisis?
[KIEP] 북경사무소브리핑
2016 .01
-
The Saving-investment Relationship Revisited: New Evidence from Regime-switching Cointegration Approach
International Economic Journal
2024 .06
-
A Study on the International Fisher Effect: An Investigation from South Korea and China
산경연구논집
2018 .07
-
가루쌀 첨가량에 따른 스펀지케이크의 품질 특성
Culinary Science & Hospitality Research
2024 .10
-
Analysis of Consumption Volatility in Korea: During the Asian Currency Crisis and Global Financial Crisis
[BOK] Quarterly Bulletin(QB)
2015 .10
-
An empirical investigation of the twin deficit hypothesis: Panel evidence from selected Asian economies
Journal of Economic Research (JER)
2017 .01
-
공공투자와 민간투자 간의 관계에 관한 연구
재정정책논집
2017 .01
-
Interrelationship of Stock Prices in Asian Markets and the Financial Crises
Korea and the World Economy
2015 .12
-
Estimation of Residential Electricity Demand in Korea Allowing for a Structural Break
계량경제학보
2020 .01
-
명목금리와 인플레이션의 비선형성에 관한 연구
경영교육연구
2019 .06
-
The Asian Working Class in the Global Economic Crisis : Another Crisis of Labour or a New Challenge?
마르크스주의 연구
2017 .02
이 논문의 저자 정보
최근 본 자료
댓글(0)
0