The Fisher Relationship in Nigeria
Authors
Borja Balparda
Guglielmo Maria Caporale
Luis A. Gil-Alaña
Type
Article
Publisher
Journal of Economics and Finance, Vol. 42, Issue 2
Pages
343-353
Country
Nigeria
Date
01-04-2017

This paper examines the Fisher relationship in the case of Nigeria by carrying out standard unit root tests and applying fractional integration techniques to 1-month, 3-month, 6-month and 12-month deposit rates and inflation. The evidence indicates that this relationship only holds for very short-term (1-month) interest rates, and therefore only these nominal rates are a useful predictor of the inflation rate. For other short-term rates the lack of a Fisher effect suggests that they could be used as a monetary policy tool.

Article.