The Fisher hypothesis: a multi-country analysis

This paper tests whether the Fisher hypothesis holds for a sample of 26 countries by assessing the long run relationship between nominal interest rates and inflation rates taking into consideration the short run dynamics of interest rates. The empirical evidence supports the hypothesis that there is a one-to-one relationship between the interest rate and inflation for more than half of the countries under study.     

Asymmetric effect of exchange rate volatility on India's cross‐border trade: Evidence from global financial crisis and multiple threshold nonlinear autoregressive distributed lag model

This paper examines the asymmetric effect of exchange rate volatility on India's cross‐border trade with its major trading partners: Japan, Germany, the United States, and China. We extend previous studies in two ways. First, we examine whether global financial crisis changes the asymmetric effect of exchange rate volatility on India's cross‐border trade. Next, we divide exchange rate volatility into quintiles and examine the effect of each quintile on cross‐border trade by using the multiple threshold nonlinear autoregressive distributed lag (MTNARDL) model. Our findings from standard nonlinear ARDL (NARDL) indicate that the asymmetric relationship between exchange rate volatility and cross‐border trade changes as a result of global financial crisis. In addition, findings from MTNARDL indicate that in short‐run, exchange rate volatility symmetrically affects India's cross‐border trade with all sample countries whereas in long‐run it asymmetrically affects cross‐border trade. Overall, these findings are very important for policy implications and open a new dimension to exchange rate volatility and trade flows.     

债券市场与经济发展的相关性分析——以我国银行间债券市场为例

债券市场是资本市场的重要组成部分，但目前我国资本市场发展阶段的特征表现为债券市场发展缓慢，为了扩大我国直接融资规模并完善多层次资本市场体系，需要大力发展债券市场。本文以我国债券市场的主体---银行间债券市场为例，分析了我国银行间债券市场的现状以及对国民经济发展的作用，并以1993-2012年我国国民生产总值、银行间债券市场债券发行额和股市筹资额共20年时间的时间序列数据为样本建立相关性模型，通过回归模型进一步实证研究了银行间债券市场与经济发展的相关性，发现银行间债券市场债券发行额与国民生产总值呈显著的正相关关系，表明银行间债券市场是经济发展的重要推动力，该市场规模的扩大有助于推动经济增长，从而说明了我国银行间债券市场创新的必要性。     

Who poisons the pool? Time-varying asymmetric and nonlinear causal inference between low-risk and high-risk bonds markets

Corporate bond markets enable the efficient allocation of capital among competing firms, as well as an extensive degree of disintermediation. While the role of the junk bond market in financing leveraged buyouts, “fallen angels,” start-ups, small firms, and sovereign governments is known, little is known about interactions between low-risk (AAA) bonds markets and high-risk (CCC and below) bonds markets. In this study, we used a sample of daily data spanning 20 years to investigate the dynamic link in first and second moments between low-risk and high-risk bonds during calm and turbulent periods in the U.S. financial markets. Using asymmetric and nonlinear causality tests, as well as the extended DCC-GJR-GARCH model, we found evidence of an asymmetric and nonlinear unidirectional causal link from high-risk to low-risk bonds markets, which intensifies during bear markets. There is a bidirectional volatility and shock transmission only during normal bond market conditions. The high-risk bonds market induces more destabilizing effects in the corporate bond market than the low-risk bonds market. The time-varying, highly persistent, and negative correlation during normal market conditions provides the opportunity for combining low-risk and high-risk bonds to diversify a portfolio.     

中国公司债券交易量与价格波动的关系

使用中国沪深证券交易所的公司债数据,检验了债券交易量与价格波动的线性关系和非线性尾部相关性,分析了债券流动性水平对量价关系的影响,研究了债券量价关系的时变特征。结果表明:中国公司债市场中债券交易量与价格波动之间存在显著的线性关系;债券流动性水平对量价关系有显著影响,债券流动性水平越高(低),则量价关系越弱(强);债券交易量与价格波动存在非对称的下尾相关性;债券量价关系具有时变性,市场低风险时期量价关系较弱,市场高风险时期量价关系较强。     

The process of technical change in UK manufacturing

This paper tests the validity of the Fisher hypothesis, which establishes a positive relation between interest rates and expected inflation, for the G7 countries and 45 developing economies. For this purpose, we estimate a version of the GARCH specification of the hypothesis for all countries included in the sample. We also test the augmented Fisher relation by including the inflation uncertainty in the equation. The simple Fisher relation holds in all G7 countries but in only 23 developing countries. There is a positive and statistically significant relationship between interest rates and inflation uncertainty for six of the G7 and 18 of the developing countries and this relationship is negative for seven developing countries.     

货币政策对房地产价格调控的非对称效应——基于STR模型

从货币政策的非对称效应的角度,运用非线性模型——STR模型,探究了中国货币政策与房地产价格的关系。研究结果表明:货币政策对房地产价格的影响确实因所处经济周期阶段的不同而发生变化;货币政策与房地产价格之间存在非线性关系;不同经济增长水平下货币政策对房地产价格的调控效应是不对称的;在调控房地产价格方面,我国货币政策的信贷传导路径比利率传导路径更有效。     

Revisiting the Link Between Stock Prices and Goods Prices in OECD Countries

Fisher hypothesis postulates positive relation between stock return and inflation; however early studies document negative relationship between the two and they conclude that stock cannot be used as a hedge against inflation. In this paper we explore long‐run nonlinear relationship between stock price and goods price. Our sample consists of 19 OECD countries; all or some of these countries have been studied before with the findings of linear cointegration between the stock index and goods price index. Based on unit root tests and linear cointegration test, we apply threshold cointegration tests, Autoregressive Distributed Lag (ARDL) cointegration test and panel VAR method. With all these econometric methods we arrive at heterogeneous findings as follows: two countries have linear cointegration, five countries have threshold cointegration, nine countries do not have any cointegration and finally two countries provide inconclusive results. Estimates of Fisher coefficient provided by linear and nonlinear cointegration methods, which range between 1.27 and 1.86, are consistent with previous studies. Impulse response analysis from panel VAR for countries having no cointegrating relation shows that shock to inflation produces negative response in stock return, which supports findings of earlier studies.     

An examination of the Fisher Hypothesis: the case of Turkey

This study examines the famous Fisher Hypothesis (FH) for Turkey. FH asserts that nominal interest rates adjust on a one-to-one basis to expected changes in inflation rates. Using the Johansen cointegration method for the Turkish monthly interest rate and inflation rate data, we find that it is possible to determine the long-run relationship—but not the one-to-one basis—between nominal interest rates and inflation. Our findings suggest that full FH does not hold but there is a very powerfull Fisher effect in the case of Turkey from 1990 to 2003.     

The threshold effect of longevity: life expectancy and economic growth

Differing from the nonlinear effect of life expectancy (LE) estimated by previous empirical studies based on a quadratic equation which may be inapplicable for asymmetric nonlinear relationships, this note uses dynamic threshold model to investigate the asymmetric threshold effect of LE. The results show that the significant positive effect of LE on income per capita can only be realized above the threshold, whereas there is an insignificant linkage between LE and economic growth below the threshold level when inflation is eliminated.     

The effects of inflation uncertainty on interest rates: a nonlinear approach

In this article, we investigate the effects of inflation variability on short-term interest rates within a nonlinear smooth transition regression framework. The test results suggest that only the conditional mean of the inflation is a nonlinear process whereas the conditional variance is time variant but linear. Using the square root of conditional variance as a proxy for inflation risk, we estimate Fisher equation augmented with inflation risk. Although the estimated Fisher equations suggest that inflation risk reduces short-term interest rates, we find that the effects of inflation risk on interest rates are regime-dependent. Particularly, we find that the negative effects of inflation variability on nominal rates are greater in low-inflationary regimes when compared to high-inflationary regimes. On the other hand, it is found that both inflation and inflation uncertainty raise the expected inflation effect.     

中国利率期限结构的非线性动态调整:基于MS-VECM模型的研究途径

基于MS-VECM模型对预期理论调整作用下的中国利率期限结构非线性动态过程进行的实证研究,结果表明:预期理论在中国利率期限结构中是成立的;中国利率期限结构具有两区制的非线性动态特征,可以按预期理论的调整强度将两种区制分别描述为"强调整区制"与"弱调整区制";不同期限利率的平均变动幅度和平均风险溢价水平会随区制状态变化而发生变化,具有区制相依性,区制间的转移具有非对称性;利率期限结构与物价压力的非线性区制划分具有相似性,物价波动是利率期限结构非线性动态变化的重要原因。     

Stock prices,inflation and inflation uncertainty in the U.S.: testing the long-run relationship considering Dow Jones sector indexes

We test for the long-run relationship between stock prices, inflation and its uncertainty for different U.S. sector stock indexes, over the period 2002M7–2015M10. For this purpose we use a cointegration analysis with one structural break to capture the crisis effect, and we assess the inflation uncertainty based on a time-varying unobserved component model. In line with recent empirical studies we discover that in the long run, the inflation and its uncertainty negatively impact the stock prices, opposed to the well-known Fisher effect. In addition we show that for several sector stock indexes the negative effect of inflation and its uncertainty vanishes after the crisis outburst. However, in the short run the results provide evidence in favour of a negative impact of uncertainty, while the inflation has no significant influence on stock prices, except for the consumption indexes. The consideration of business cycle effects confirms our findings, which proves that the results are robust, both for long- and short-run relationships.     

Bank Interest Rate Adjustments: Are They Asymmetric?

This paper is concerned with the asymmetric adjustments between three Australian bank interest rates: a bank bill rate, a loan rate and a deposit rate. A multivariate asymmetric error-correction model is applied to capture the interplay of long-run relationships between the levels of the rates and short-run relationships between the changes in the rates. The empirical analysis, for the sample period 1990:01–2000:04, shows that interest rate adjustments, in response to positive and negative shocks, are asymmetric in the short run, but not in the long run. In particular, the results suggest that banks adjust their loan and deposit rates, in response to a change in the bank-bill rate, at a faster rate during periods of monetary easings (negative changes) than during periods of monetary tightenings (positive changes).     

Dependence structure between nominal and index-linked bond returns: a bivariate copula and DCC-GARCH approach

This article investigates the dependence structure related to four French nominal and index-linked bonds with various maturities and reference indices. To achieve this aim, we estimate various copulas to select the appropriate one for our data. We also compare results obtained using the copula method with multivariate dynamic conditional correlation GARCH (DCC-GARCH) modelling. The major issue in this study is that the best copulas used to model the dependence among bond returns are the Plackett and Student models. We also find a dynamic correlation between bond returns. In particular, the relationship between nominal and indexed bonds is characterized by an asymmetric dependence. Moreover, the results obtained by the copula approach are confirmed by those obtained by multivariate GARCH modelling. Our empirical study provides a useful method that may be employed by decision-makers to quantitatively introduce dependence and spillover effects in their bond issuance policy. For investors, we propose optimal investment combinations in bonds with respect to their investment horizons.     

Panel asymmetric nonlinear unit root test and PPP in Africa

This study revisits purchasing power parity (PPP) theory for 20 African countries using panel asymmetric nonlinear unit root test proposed by Emirmahmutoglu and Omay (2014), through the sequential panel selection method of Chortareas and Kapetanios (2009). While standard panel unit root tests fail to support the PPP, the empirical results from panel asymmetric nonlinear unit root test do support the PPP. However, additional tests reveal that support in all 20 African countries is mostly due to stationarity of the real effective exchange rates of Ghana and Rwanda where the adjustment process towards equilibrium is nonlinear and asymmetric.     

Evaluating the Fisher effect in long-term cross-country averages

This article uses long-term cross-country data to examine the Fisher hypothesis that nominal interest rates respond point-for-point to changes in the expected inflation rate. The analysis employs bounded-influence estimation to limit the effects of hyperinflation countries such as Brazil and Peru. Contrary to the results in Duck (1993), the present evidence does not support a full Fisher effect. By extending the empirical model to account for cross-country differences in sovereign risk, we find evidence consistent with the idea that interest rates fail to fully adjust to inflation due to variation in the implicit liquidity premium on financial assets.     

Are BRICS exchange rates chaotic?

In this paper, we focus on the stochastic (chaotic) attributes of the US dollar-based exchange rates for Brazil, Russia, India, China and South Africa (BRICS) using a long-run monthly dataset covering 1812M01-2017M12, 1814M01-2017M12, 1822M07-2017M12, 1948M08-2017M12, and 1844M01-2017M12, respectively. For our purpose, we consider the Lyapunov exponents, robust to nonlinear and stochastic systems, in both full – samples and in rolling windows. For comparative purposes, we also evaluate a long-run dataset of a developed currency market, namely British pound over the period of 1791M01-2017M12. Our empirical findings detect chaotic behavior only episodically for all countries before the dissolution of the Bretton Woods system, with the exception of the Russian ruble. Overall, our findings suggest that the establishment of the free floating exchange rate system have altered the path of exchange rates removing chaotic dynamics from the phenomenon, and hence, the need for policymakers to intervene in the currency markets for the most important emerging market bloc, should be carefully examined.     

The relationship between interest rate volatility and the shadow economy in OECD countries: An asymmetric analysis

Interest rate changes by central banks are a strong monetary policy tool that has a significant impact on the performance of the real economy via various channels. Despite extensive theoretical and empirical studies in this area, the current literature lacks a comprehensive assessment of the relationship between interest rate volatility and the shadow economy. This study explores the link between interest rate volatility and the shadow economy for 38 Organisation for Economic Co-operation and Development (OECD) member countries over the period 1991–2021 using both linear and non-linear ARDL models. The use of the non-linear ARDL specification will allow for the possibility of an asymmetric effect of interest rate volatility on the shadow economy. In addition to the examination of the potential asymmetric effects, we also discuss the ramifications for policymakers with respect to monetary and financial policies while considering each country's specific economic structure.     

上市公司市值管理的有效性研究*——基于企业并购绩效的实证分析

在不完美市场和信息不对称的背景下,企业并购能否通过协同效应带来有效的市值管理？本文选取了在2007—2010年期间发生并购的A股上市公司,检验了并购的价值创造和市值管理有效性之间的联系,并做了分组检验。实证结果表明,对企业未来三年经营绩效有正协同效应的并购可以为上市公司带来更高的市值管理效用。分组检验结果进一步显示,投资者更为关注异地并购、同行业并购、民企并购以及股权分散型企业并购。这些并购类型的市值管理更为有效。