The Relationship between Inflation Pressure and Interest Rates: An Empirical Analysis of the Fisher Hypothesis in Kenya

Simple item page
dc.contributor.authorLaiboni, Gabriel M.
dc.contributor.authorJagongo, Ambrose
dc.date.accessioned2020-11-18T07:18:53Z
dc.date.available2020-11-18T07:18:53Z
dc.date.issued2015
dc.descriptionA research article published in European Journal of Business and Managementen_US
dc.description.abstractThe Fisher effects theory holds that there exists a relationship between nominal interest rates and inflation rates: an increase in the inflation rate should lead to a proportionate increase in the nominal interest rate holding the real interest rate constant. A market in which this theory is valid is therefore more effective at pricing debt securities correctly. This paper investigated the bivariate relationship between monthly inflation rates and monthly yields on 3-Month Treasury bills over the January 2009 to August 2015 period. Both time series were found to be integrated of order one. Cointegration testing concluded that there was no long run relationship between interest rates and inflation, and therefore the Fisher effects theory was not valid in Kenya over the study period. A VAR model was fitted on the data to investigate the lead-lag interactions between the variables and their lags. Finally, granger causality tests, which concluded bi-directional causality between interest rates and inflation, were carried out.en_US
dc.identifier.citationEuropean Journal of Business and Management. Vol.7, No.35, 2015en_US
dc.identifier.issn2222-1905 (Paper), 2222-2839 (Online)
dc.identifier.urihttps://www.iiste.org/Journals/index.php/EJBM/article/view/27508
dc.identifier.urihttp://ir-library.ku.ac.ke/handle/123456789/20928
dc.language.isoenen_US
dc.publisherInternational Knowledge Sharing Platformen_US
dc.subjectFisher Effectsen_US
dc.subjectInflationen_US
dc.subjectInterest Ratesen_US
dc.subjectCointegrationen_US
dc.subjectVector Autoregressionen_US
dc.titleThe Relationship between Inflation Pressure and Interest Rates: An Empirical Analysis of the Fisher Hypothesis in Kenyaen_US
dc.typeArticleen_US
Files
Original bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
The Relationship between Inflation Pressure and Interest Rates.pdf
Size:
104.01 KB
Format:
Adobe Portable Document Format
Description:
Full text article
Download
License bundle
Now showing 1 - 1 of 1
No Thumbnail Available
Name:
license.txt
Size:
1.71 KB
Format:
Item-specific license agreed upon to submission
Description:
Download
Collections
RP-Accounting and Finance Department