The Fisher Equation, Belgium before and after Euro currency
(2010) STAM01 20101Department of Statistics
- Abstract
- This thesis focuses on the econometric evaluation of Fisher hypothesis. According to Fisher hypothesis there exist a long run equilibrium relationship between nominal interest rate and inflation rate. We analyze the data for Belgium at the different time periods of 1992 to 2000, 2001 to 2009 and 1992 to 2009. Cointegration technique is used to analyze this long run equilibrium relationship. Using Engle-Granger and Johansen cointegration tests, attempt is made to find cointegration between inflation rate and nominal interest rate. Both Engle-Granger and Johansen tests reject the hypothesis of cointegration between inflation rate and nominal interest rate in all the three sets of data defined above.
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/1615237
- author
- Shah, Ismail LU and Waleed, Muhammad LU
- supervisor
- organization
- course
- STAM01 20101
- year
- 2010
- type
- H1 - Master's Degree (One Year)
- subject
- keywords
- Unit root, Fisher equation, cointegration
- language
- English
- id
- 1615237
- date added to LUP
- 2010-06-21 12:09:41
- date last changed
- 2010-06-21 12:09:41
@misc{1615237, abstract = {{This thesis focuses on the econometric evaluation of Fisher hypothesis. According to Fisher hypothesis there exist a long run equilibrium relationship between nominal interest rate and inflation rate. We analyze the data for Belgium at the different time periods of 1992 to 2000, 2001 to 2009 and 1992 to 2009. Cointegration technique is used to analyze this long run equilibrium relationship. Using Engle-Granger and Johansen cointegration tests, attempt is made to find cointegration between inflation rate and nominal interest rate. Both Engle-Granger and Johansen tests reject the hypothesis of cointegration between inflation rate and nominal interest rate in all the three sets of data defined above.}}, author = {{Shah, Ismail and Waleed, Muhammad}}, language = {{eng}}, note = {{Student Paper}}, title = {{The Fisher Equation, Belgium before and after Euro currency}}, year = {{2010}}, }