A test of the Fisher Effect in Nigeria

Authors

M. K. Tule, Central Bank of Nigeria
U. M. Okpanachi, Central Bank of Nigeria
E. T. Adamgbe, Central Bank of Nigeria
S. E. Smith, Central Bank of Nigeria

Publisher

Central Bank of Nigeria

Keywords

Fisher Effect, State Space Model, Cointegration

Abstract

This paper uses the state space model to investigate the dynamic relationship between real interest rate and inflation in Nigeria. The paper reveals varying degrees of effect across interest rate and time horizons.

Author Bio

Tule, M. K., U. M. Okpanachi, S. E. Smith and E. T. Adamgbe are staff of the Monetary Policy and Research Departments, Central Bank of Nigeria.

Publication Title

CBN Economic and Financial Review

Issue

2

Volume

52

Recommended Citation

Tule, M. K., Okpanachi, U. M., Adamgbe, E. T. & Smith, S. E. (2014). A test of the Fisher Effect in Nigeria. CBN Economic and Financial Review, 52(2), 1-32.