This paper investigates evidence of a Fisher effect in Nigeria by employing quarterly CPI inflation and
Nominal interest rates data. For a more robust result we conducted integration and cointegration tests in
order to examine time-series properties of the variables. Using Co-integration and Kalman filter
methodologies, the study did not find evidence of a full Fisher effect from 1961:1-2009:4. This result
indicates that nominal interest rates do not respond one-for-one to changes in inflation rates in the long
run despite the presence of positive relationship among the variables. Our study recommends the
adoption of potent policies aimed at checking inflation so as to help reduce high interest rates in order to
stimulate growth in the economy.
Nwosu, C. (2019). A Kalman Filter Approach to Fisher Effect- Evidence from Nigeria. Afribary. Retrieved from https://track.afribary.com/works/a-kalman-filter-approach-to-fisher-effect-evidence-from-nigeria
Nwosu, Chukwunwike "A Kalman Filter Approach to Fisher Effect- Evidence from Nigeria" Afribary. Afribary, 02 Feb. 2019, https://track.afribary.com/works/a-kalman-filter-approach-to-fisher-effect-evidence-from-nigeria. Accessed 20 Nov. 2024.
Nwosu, Chukwunwike . "A Kalman Filter Approach to Fisher Effect- Evidence from Nigeria". Afribary, Afribary, 02 Feb. 2019. Web. 20 Nov. 2024. < https://track.afribary.com/works/a-kalman-filter-approach-to-fisher-effect-evidence-from-nigeria >.
Nwosu, Chukwunwike . "A Kalman Filter Approach to Fisher Effect- Evidence from Nigeria" Afribary (2019). Accessed November 20, 2024. https://track.afribary.com/works/a-kalman-filter-approach-to-fisher-effect-evidence-from-nigeria