The relationship among the nominal rates of interest, the real rates of interest and the inflation rates: an empirical study of the fisher effect on the Malaysian T Bill Market

The Fishenan hypothesIs assert's that, If the expected real rate if interest is constant and therefore independent of expected inflation, each percentage pOint rise in the expected inflation 'esults in a percentage point rise in the nominal rate of interest. This paper tests the validity o...

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Main Author:	Noor Azlan Ghazali
Format:	Article
Language:	English
Published:	Penerbit Universiti Kebangsaan Malaysia 1990
Online Access:	http://journalarticle.ukm.my/7929/ http://journalarticle.ukm.my/7929/ http://journalarticle.ukm.my/7929/1/750-1431-1-SM.pdf

id	ukm-7929
recordtype	eprints
spelling	ukm-79292016-12-14T06:45:40Z http://journalarticle.ukm.my/7929/ The relationship among the nominal rates of interest, the real rates of interest and the inflation rates: an empirical study of the fisher effect on the Malaysian T Bill Market Noor Azlan Ghazali, The Fishenan hypothesIs assert's that, If the expected real rate if interest is constant and therefore independent of expected inflation, each percentage pOint rise in the expected inflation 'esults in a percentage point rise in the nominal rate of interest. This paper tests the validity of the hypothesis on the Malaysian T Bill market. In conjunction to that, the interactions of the three variables, namely, nominal rate of interest, real rate of interest and the price -level were explored. This study found that the positive response of nominal rate toward the expected inflation increases gradually as maturity increases. In contradiction to the Fisher effect, the expected rate of lnflation was found to be a major determinant factor or the expected real rate, instead of the nominal rate. Thus, a nonvariant character of the real rate is rejected. In addition, past inflation rates do not possess any valuable information in forecastingfuture nominal or real rates. The sign of inefficiency in the market exists since the nominal rate is unable to summarize all information from previous price levels. Penerbit Universiti Kebangsaan Malaysia 1990 Article PeerReviewed application/pdf en http://journalarticle.ukm.my/7929/1/750-1431-1-SM.pdf Noor Azlan Ghazali, (1990) The relationship among the nominal rates of interest, the real rates of interest and the inflation rates: an empirical study of the fisher effect on the Malaysian T Bill Market. Jurnal Pengurusan, 9 . pp. 25-41. ISSN 0127-2713 http://ejournals.ukm.my/pengurusan/article/view/750/703
repository_type	Digital Repository
institution_category	Local University
institution	Universiti Kebangasaan Malaysia
building	UKM Institutional Repository
collection	Online Access
language	English
description	The Fishenan hypothesIs assert's that, If the expected real rate if interest is constant and therefore independent of expected inflation, each percentage pOint rise in the expected inflation 'esults in a percentage point rise in the nominal rate of interest. This paper tests the validity of the hypothesis on the Malaysian T Bill market. In conjunction to that, the interactions of the three variables, namely, nominal rate of interest, real rate of interest and the price -level were explored. This study found that the positive response of nominal rate toward the expected inflation increases gradually as maturity increases. In contradiction to the Fisher effect, the expected rate of lnflation was found to be a major determinant factor or the expected real rate, instead of the nominal rate. Thus, a nonvariant character of the real rate is rejected. In addition, past inflation rates do not possess any valuable information in forecastingfuture nominal or real rates. The sign of inefficiency in the market exists since the nominal rate is unable to summarize all information from previous price levels.
format	Article
author	Noor Azlan Ghazali,
spellingShingle	Noor Azlan Ghazali, The relationship among the nominal rates of interest, the real rates of interest and the inflation rates: an empirical study of the fisher effect on the Malaysian T Bill Market
author_facet	Noor Azlan Ghazali,
author_sort	Noor Azlan Ghazali,
title	The relationship among the nominal rates of interest, the real rates of interest and the inflation rates: an empirical study of the fisher effect on the Malaysian T Bill Market
title_short	The relationship among the nominal rates of interest, the real rates of interest and the inflation rates: an empirical study of the fisher effect on the Malaysian T Bill Market
title_full	The relationship among the nominal rates of interest, the real rates of interest and the inflation rates: an empirical study of the fisher effect on the Malaysian T Bill Market
title_fullStr	The relationship among the nominal rates of interest, the real rates of interest and the inflation rates: an empirical study of the fisher effect on the Malaysian T Bill Market
title_full_unstemmed	The relationship among the nominal rates of interest, the real rates of interest and the inflation rates: an empirical study of the fisher effect on the Malaysian T Bill Market
title_sort	relationship among the nominal rates of interest, the real rates of interest and the inflation rates: an empirical study of the fisher effect on the malaysian t bill market
publisher	Penerbit Universiti Kebangsaan Malaysia
publishDate	1990
url	http://journalarticle.ukm.my/7929/ http://journalarticle.ukm.my/7929/ http://journalarticle.ukm.my/7929/1/750-1431-1-SM.pdf
first_indexed	2023-09-18T19:51:02Z
last_indexed	2023-09-18T19:51:02Z
_version_	1777406220683968512

The relationship among the nominal rates of interest, the real rates of interest and the inflation rates: an empirical study of the fisher effect on the Malaysian T Bill Market

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