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The Fisher Equation, Belgium before and after Euro currency

Shah, Ismail LU and Waleed, Muhammad LU (2010) STAM01 20101
Department 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.
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author
Shah, Ismail LU and Waleed, Muhammad LU
supervisor
organization
course
STAM01 20101
year
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},
  keyword      = {Unit root,Fisher equation,cointegration},
  language     = {eng},
  note         = {Student Paper},
  title        = {The Fisher Equation, Belgium before and after Euro currency},
  year         = {2010},
}