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Issue Q4 2015  
Revisiting the Fisher parity consistency for the Swiss economy around the modification of the National Bank?s monetary policy strategy  
David Neto
This paper aims at testing a smooth time-varying long-run relationship between the Swiss interest rates and inflation around the modification of the monetary policy strategy. In order to test for time-invariant cointegration hypothesis, we use a general cointegration model, allowing the long-run parameters to vary smoothly and slowly over time. Our finding states that the time-invariant assumption is too restrictive for the Swiss Fisher puzzle. Additionally, it is found that the full Fisher effect (i.e. the superneutrality of the inflation) cannot be rejected over the considered period. Abstract

Chebyshev time-polynomials ; Fisher parity ; Mundell–Tobin effect ; Smooth time-varying cointegration ; FMLS estimator ; Fully modified Wald test ; DOLS ; Keywords
c12 ; c13 ; e31 ; e43 ; JEL classification
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