Does the fisher effect apply in Greece? A cointegration analysis

Γιάννης Παλαιολόγος, Σπύρος Ε. Γεωργαντέλης


In this paper we tested the joint hypothesis of the Fisher effect and rationality of inflation expectations
in Greece during the period 1980:I - 1996:II applying cointegration technique.
The basic evidence of this paper is the invalidity of the Fisher relationship as a long-run equilibrium
phenomenon in the case of the Greek Economy. This means that the nominal interest rate does not follow
the interest rate changes over the long-run. Inflationary movements have not been totally absorbed by
nominal interest rates and as consequence the Fisher effect is not valid. This failure implies that external
factors play a direct role in the determination of the domestic interest rate, something which is reasonable
for an open economy, such as the Greek economy, where capital flows are not prohibited.


Economic survey; Economics

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η δικτυακή πύλη της ευρωπαϊκής ένωσης ψηφιακή ελλάδα ΕΣΠΑ 2007-2013