Testing the Fisher hypothesis: empirical evidence in Vietnam
Từ khóa:
nonlinear cointegration, Fisher hypothesis, smooth transition regression.
Tóm tắt
The goal of the study is to test the Fisher hypothesis in Vietnam in the period 2007-2023 using the nonlinear cointegration method. Empirical evidence shows that there exists a long-term nonlinear relationship between interest rates and inflation rates, but the correlation between them is not one-for-one as suggested by the Fisher hypothesis. From the research results, it is concluded that it is possible to use monetary policy tools to influence the long-term interest rates and forecast the inflation rate using the long-term nominal interest rate.
