Bahmani-Oskooee M, Jing-Ping Li and Chang T
In this paper we test the Fisher effect by using monthly data from each of the four BRICS countries (i.e., Brazil, Russia, India, China, and South Africa). The results by applying threshold cointegration method reveal that the Fisher effect is valid in all countries except South Africa, implying that nominal interest rates adjust to inflation in the long run.
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