An Analysis on the Relationship between Nominal Interest Rate and Expected Inflation in Taiwan and China－With ARDL Cointegration Method－

2019 ◽  
Vol 6 (2) ◽  
pp. 195-217
Author(s):  
Gi-whan Lee 
Keyword(s):  
Interest Rate ◽  
Nominal Interest Rate ◽  
Expected Inflation ◽  
The Relationship

scholarly journals ARDL Bounds Testing Approach to Cointegration: A Re-Examination of Augmented Fisher Hypothesis in an Open Economy

2014 ◽  
Vol 2 (2) ◽  
pp. 103-114
Author(s):  
R. Santos Alimi
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Open Economy ◽  
Nominal Interest Rate ◽  
Fisher Effect ◽  
Bounds Testing ◽  
Expected Inflation ◽  
Long Run ◽  
Fisher Hypothesis ◽  
Effective Exchange

This paper investigated the relationship between expected inflation and nominal interest rates in Nigeria and the extent to which the Fisher effect hypothesis holds, for the period 1970-2012. We attempted to advance the field by testing the traditional closed-economy Fisher hypothesis and an augmented Fisher hypothesis by incorporating the foreign interest rate and nominal effective exchange rate variable in the context of a small open developing economy, such as, Nigeria. We applied ARDL bound testing, vector error correction (VECM) and stability of the functions was also tested by CUSUM and CUSUMSQ. We found that full Fisher hypothesis does not hold but there is a Fisher effect in the case of Nigeria over the period under study. In the context of an open economy, the study showed that aside expected inflation, the international variables - foreign interest and nominal effective exchange rates - contain information that predict the nominal interest rate and it also suggested a feed-back mechanism between nominal interest rate and foreign interest rate. Finally, CUSUM test confirms the long-run relationships between the variables and also shows the stability of the coefficients.

scholarly journals Government Spending Multipliers under the Zero Lower Bound: Evidence from Japan

2018 ◽  
Vol 10 (3) ◽  
pp. 247-277 ◽  
Author(s):  
Wataru Miyamoto ◽  
Thuy Lan Nguyen ◽  
Dmitriy Sergeyev
Keyword(s):  
Interest Rate ◽  
Lower Bound ◽  
Government Spending ◽  
Private Consumption ◽  
Nominal Interest Rate ◽  
Zero Lower Bound ◽  
Output Multiplier ◽  
Expected Inflation ◽  
Normal Period ◽  
New Evidence

Using a rich dataset on government spending forecasts in Japan, we provide new evidence on the effects of unexpected changes in government spending when the nominal interest rate is near the zero lower bound (ZLB). The on-impact output multiplier is 1.5 in the ZLB period and 0.6 outside of it. We estimate that government spending shocks increase both private consumption and investment during the ZLB period, but crowd them out in the normal period. There is evidence that expected inflation increases more in the ZLB period than in the normal period. (JEL E21, E22, E23, E31, E43, E52, E62)

scholarly journals Estimating the relationship between collateral and interest rate: A comparison of methods

2021 ◽  
pp. 101962
Author(s):  
Andrea Bellucci ◽  
Alexander Borisov ◽  
Germana Giombini ◽  
Alberto Zazzaro
Keyword(s):  
Interest Rate ◽  
Comparison Of Methods ◽  
The Relationship
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