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Non-Linear Analysis of the Fisher Effect: In the Case of Japan
http://hdl.handle.net/20.500.12000/38712
http://hdl.handle.net/20.500.12000/3871259ff3c22-7af0-4d51-83b7-5e82180f7726
| 名前 / ファイル | ライセンス | アクション |
|---|---|---|
70010-259285-1-PB.pdf
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| Item type | デフォルトアイテムタイプ（フル）(1) | |||||||
|---|---|---|---|---|---|---|---|---|
| 公開日 | 2018-03-09 | |||||||
| タイトル | ||||||||
| タイトル | Non-Linear Analysis of the Fisher Effect: In the Case of Japan | |||||||
| 言語 | en | |||||||
| 作成者 |
Sugita, Katsuhiro
× Sugita, Katsuhiro
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| アクセス権 | ||||||||
| アクセス権 | open access | |||||||
| アクセス権URI | http://purl.org/coar/access_right/c_abf2 | |||||||
| 権利情報 | ||||||||
| 言語 | en | |||||||
| 権利情報 | Creative Commons Attribution 4.0 International License | |||||||
| 権利情報 | ||||||||
| 言語 | en | |||||||
| 権利情報Resource | http://creativecommons.org/licenses/by/4.0 | |||||||
| 権利情報 | http://creativecommons.org/licenses/by/4.0 | |||||||
| 内容記述 | ||||||||
| 内容記述タイプ | Other | |||||||
| 内容記述 | The Fisher effect has been commonly analyzed to investigate the long-run relationship between nominal interest rates and expected inflation rate, though it is rarely successful in finding the cointegration relationship as the Fisher effect states. In this paper, a Bayesian Markov switching vector error correction model is applied to analyze non-linearity in the Fisher effect in the case of Japan. We find that the Fisher effect holds in one regime although it does not hold in another regime when the nominal interest rate is stable and does not respond against disequilibrium by the monetary policy such as the zero interest rate policy. This model reveals non-linearity in the error correction mechanism of the Fisher effect in Japan. | |||||||
| 内容記述 | ||||||||
| 内容記述タイプ | Other | |||||||
| 内容記述 | 論文 | |||||||
| 出版者 | ||||||||
| 出版者 | Canadian Center of Science and Education | |||||||
| 言語 | en | |||||||
| 言語 | ||||||||
| 言語 | eng | |||||||
| 資源タイプ | ||||||||
| 資源タイプ識別子 | http://purl.org/coar/resource_type/c_6501 | |||||||
| 資源タイプ | journal article | |||||||
| 出版タイプ | ||||||||
| 出版タイプ | VoR | |||||||
| 出版タイプResource | http://purl.org/coar/version/c_970fb48d4fbd8a85 | |||||||
| 識別子 | ||||||||
| 識別子 | http://hdl.handle.net/20.500.12000/38712 | |||||||
| 識別子タイプ | HDL | |||||||
| 関連情報 | ||||||||
| 識別子タイプ | DOI | |||||||
| 関連識別子 | https://doi.org/10.5539/ijef.v9n11p1 | |||||||
| 関連情報 | ||||||||
| 識別子タイプ | DOI | |||||||
| 関連識別子 | info:doi/10.5539/ijef.v9n11p1 | |||||||
| 収録物識別子 | ||||||||
| 収録物識別子タイプ | ISSN | |||||||
| 収録物識別子 | 1916-971X | |||||||
| 収録物名 | ||||||||
| 収録物名 | International Journal of Economics and Finance | |||||||
| 言語 | en | |||||||
| 書誌情報 |
巻 9, 号 11, p. 1-9, 発行日 2017-09-25 |
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