Topics in Middle Eastern and North African Economies

Document Type

Article

Publication Date

9-1-2013

Abstract

This study investigates the validity of both the conventional and tax-adjusted Fisher effects using time series methods such as the ARDL bounds test, and Gregory-Hansen (G-H) cointegration test. To compare the conventional and tax-adjusted Fisher effects, we use two different time series data for interest rates: 1) interest rates adjusted for taxes, and 2) interest rates not adjusted for taxes. Using monthly changes in quarterly and annual interest and inflation rates, both the G-H and ARDL bound tests support the conventional and tax-adjusted Fisher effects. However, the magnitude of the inflation coefficient in the long-run relationship tends to decline for the tax adjusted Fisher effect.

Identifier

2334-282X

Journal Title

Topics in Middle Eastern and North African Economies

ISSN

2334-282X

Publisher

Middle East Economic Association and Loyola University Chicago

Volume

15

Comments

Presentation of the articles in the Topics in Middle Eastern and North African Economies was made possible by a limited license granted to Loyola University Chicago and Middle East Economics Association from the authors who have retained all copyrights in the articles. http://www.luc.edu/orgs/meea/volume15/meea15.htm

Creative Commons License

Creative Commons License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 3.0 License.

Download

Included in

Economics Commons

Share

COinS