Studying of Fisher Effect Using Kalman Filtering Despite Structural Failure

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Madanain Bahare

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Journal Paper

Paper Information

Journal: IRANIAN JOURNAL OF APPLIED ECONOMICS Year:2017 | Volume:7 | Issue:21 Page(s): 75-85

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Information Journal Paper

Title

Studying of Fisher Effect Using Kalman Filtering Despite Structural Failure

Author(s)

Madanain Bahare | Issue Writer Certificate

Keywords

General Level of PricesQ1

Zivot-Anderson TestQ1

Perron TestQ1

Gregory-Hansen TestQ1

Space-State ModelQ1

Abstract

Interest rate and inflation are as important economic variables in the society. In this study, according to the importance of the relationship between these two variables, the existence of Fisher effect between inflation rate and the one-year, the three-year, and the five-year interest rates has been examined using annual data during 1978-2011. Due to the structural failure in the data, for the stability of variables unit root tests with structural failure such as Ziout-Andrievo and Peron tests were used and the Gregory-Hansen Test was used to obtain a co-integration vector. Also, for estimating Fisher dynamic Parameter, Kalman filtering was used. The results showed that the short-run interest rate had the Fisher effect and the other interest rates had no long-run relation. Therefore, it is recommended to determine the interest rate considering the needs of society and economic goals.

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APA: Copy

Madanain, Bahare. (2017). Studying of Fisher Effect Using Kalman Filtering Despite Structural Failure. IRANIAN JOURNAL OF APPLIED ECONOMICS, 7(21 ), 75-85. SID. https://sid.ir/paper/201998/en

Vancouver: Copy

Madanain Bahare. Studying of Fisher Effect Using Kalman Filtering Despite Structural Failure. IRANIAN JOURNAL OF APPLIED ECONOMICS[Internet]. 2017;7(21 ):75-85. Available from: https://sid.ir/paper/201998/en

IEEE: Copy

Bahare Madanain, “Studying of Fisher Effect Using Kalman Filtering Despite Structural Failure,” IRANIAN JOURNAL OF APPLIED ECONOMICS, vol. 7, no. 21 , pp. 75–85, 2017, [Online]. Available: https://sid.ir/paper/201998/en

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