Testing the neo-fisherian hypothesis in Brazil

Marques, André M.; Carvalho, André Roncaglia de

doi:10.1016/j.qref.2022.08.012

Cited by 3 publications

(1 citation statement)

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“…Finally, towards the COVID-19 and stretching to the Ukraine-Russia war, transitory effects re-emerge and this time both transitory and permanent NeoFisher effects are present whereas traditional Fisher causality is not observed. One plausible explanation for these dynamics, as argued in Marques and Carvalho [19], is that during periods when the Central Banks lowered interest rates close to zero this sends a signal to price setters that the Central Bank is not concerned with inflation hence resulting in low inflation expectations. Conversely, when Central Banks revert back to 'normalization' , this signals their concerns with inflation, hence causing economic agents to increase their expectations of future inflation.…”

Section: Wavelet Coherence Resultsmentioning

confidence: 99%

A multiresolution analysis of NeoFisher effects in industrialized economies: Have monetary policy dynamics being misconstrued in the west?

Phiri

2024

Futur Bus J

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Central Banks in major industrialized economies have struggled to keep inflation within their target ranges since the global financial crisis. The periods of missing inflation and deflation experienced in the post-crisis era have led to doubts about the traditional Fisher effect as a crucial component of the policy reaction function. We explore the NeoFisherian theory, which suggests an alternative causal relationship between the policy rate and inflation. We focus on the USA, UK, and EU and apply wavelet coherence analysis to examine the time–frequency lead–lag comovements on data spanning from January 2007 to March 2023. Our findings indicate increasing NeoFisherian dynamics, notably post-2013 taper tantrum, implying that Central Banks in industrialized economies have misunderstood monetary policy dynamics.

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Section: Wavelet Coherence Resultsmentioning

confidence: 99%