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  1. 学術雑誌論文
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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/20.500.12000/38712
59ff3c22-7af0-4d51-83b7-5e82180f7726
名前 / ファイル ライセンス アクション
70010-259285-1-PB.pdf 70010-259285-1-PB.pdf
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

en Sugita, Katsuhiro

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
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.
内容記述タイプ Other
内容記述 論文
出版者
言語 en
出版者 Canadian Center of Science and Education
言語
言語 eng
資源タイプ
資源タイプ journal article
資源タイプ識別子 http://purl.org/coar/resource_type/c_6501
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
関連識別子
識別子タイプ DOI
関連識別子 https://doi.org/10.5539/ijef.v9n11p1
関連識別子
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
言語 en
収録物名 International Journal of Economics and Finance
書誌情報
巻 9, 号 11, p. 1-9
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