TESTING FOR FISHER EFFECT IN CEE EMERGING ECONOMIES
TESTING FOR FISHER EFFECT IN CEE EMERGING ECONOMIES

Summary/Abstract: The main objective of this paper is to investigate the Fisher effect, for a sample of emerging countries from the CEE region, namely the Czech Republic, Poland, Hungary and Romania. The results are mixed, according with the methodology, being found weak empirical support to the full Fisher effect. More evidence is found for Romania and Poland. In the Romanian case the ex-post real interest rate has a mean-reverting behavior, and the Engle-Granger methodology detect a cointegration relationship between interest rate and inflation. The Johansen cointegration methodology finds support for a cointegration equation for Poland. The Granger causality test indicates a short-run causality from inflation to interest rate for the Czech Republic, and bidirectional Granger causality for Romania.

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