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Vol. 13. Núm. 44.
Páginas 101-120 (Septiembre 2010)
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Vol. 13. Núm. 44.
Páginas 101-120 (Septiembre 2010)
DOI: 10.1016/S1138-5758(10)70021-9
Open Access
Contrastación empírica del Efecto Fisher en la Unión Europea mediante técnicas de cointegración con datos de panel
Empirical Testing of the Fisher Effect in the European Union Applying Panel Cointegration Techniques
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Rosa Badillo Amador**, Carmelo Reverte Maya***, Elena Rubio Vera****
** Universidad Politécnica de Cartagena, Facultad de Ciencias de la Empresa, Departamento de Economía, c/ Real, n°3, E-30201 Cartagena (Murcia)., tfno: + 34 968 325 601
*** Universidad Politécnica de Cartagena, Facultad de Ciencias de la Empresa, Departamento de Economía Financiera y Contabilidad, c/ Real, n°3, E-30201 Cartagena (Murcia)., tfno: + 34 968 325 925
**** Universidad Politécnica de Cartagena, Investigadora del grupo de I+D «Fundamentos de las decisiones sociales en economía»
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Resumen

Un gran número de estudios empíricos sugieren que el efecto Fisher, estudiado a partir de una relación de cointegración entre la tasa de inflación y el tipo de interés nominal, no se cumple. Westerlund (2008) obtiene que este hecho puede ser explicado, en parte, por la baja potencia de los tests de cointegración aplicados a cada país individualmente, y que el uso de datos de panel puede generar tests más potentes. Así, en el presente estudio utilizamos, entre otros, dos nuevos tests de cointegración para datos de panel propuestos por dicho autor que, a diferencia de los tests convencionales, no asumen la independencia entre las secciones transversales (países) y presentan mejores propiedades de potencia y tamaño. Estos tests se aplican a un panel de datos trimestrales que comprende quince países de la Unión Europea entre 1983:1 y 2009:1. Nuestros resultados revelan que, para el panel de países considerado, existe una relación de equilibrio a largo plazo entre la tasa de inflación y el tipo de interés nominal, siendo dicha relación del tipo uno a uno, tal y como postula la versión completa del efecto Fisher.

Palabras clave:
Cointegración con datos de panel y efecto Fisher
Abstract

Most empirical studies suggest that the Fisher effect, analysed through a cointegrating relationship between inflation and nominal interest rates, does not hold. Westerlund (2008) argues that this fact can be attributed in part to the low power of cointegration tests for individual countries, and that the use of panel data can generate more powerful tests. In the present study, we use, among others, two new panel cointegration tests proposed by that author that, unlike conventional panel cointegration tests, do not assume independence among crosssectional units (countries) and present better size and power properties. These tests are applied to a panel of quarterly data covering fifteen countries of the European Union between 1983:1 and 2009:1. Our results show that there is evidence for a cointegrating relationship between inflation and nominal interest rates for this panel, and that the two variables move one-to-one, as postulated by the full Fisher effect.

Key words:
Panel Cointegration and Fisher effect
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Este trabajo es resultado de los proyectos de investigación: 05838/PHCS/07 financiado por el «Programa de Generación de Conocimiento Científico de Excelencia de la Fundación Séneca, Agencia de Ciencia y Tecnología de la Región de Murcia» y ECO2008-06238-C02-01/ECON financiado por el Ministerio de Ciencia e Innovación. Agradecemos a J. L. Carrion-i-Silvestre y a J. Westerlund el facilitarnos las rutinas GAUSS de sus tests empleados en este trabajo, así como los comentarios recibidos por los dos evaluadores anónimos.

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