Title:
THE INTERNATIONAL FISHER EFFECT AND JAPAN: AN EMPIRICAL ANALYSIS (2002-2017)

Authors:
Aashish Khubchandani, Krish Abrol

Volume - 2 Issue - 11, Pages - 5158-5166

Abstract:
In order to test the extent of the validity of The International Fisher Effect's relation between Nominal Interest Rate differentials and Exchange Rate changes, quarterly average exchange rate and short-term interest rate data from 2002 to 2017 were analyzed between Japan and The United States, The United Kingdom, Canada, Australia, South Korea and The Eurozone. Z-tests were employed to calculate p-values, and residual terms were tested using their Durbin-Watson Statistics. The analysis concludes, at a 5% significance-level, that the effect held in the case of Japan versus Canada and, partially, South Korea while conclusively not holding true for Japan versus The United States, The United Kingdom, Australia, and The Eurozone.

Cite this Article:

[Khubchandani, Aashish, and Krish Abrol. "THE INTERNATIONAL FISHER EFFECT AND JAPAN: AN EMPIRICAL ANALYSIS (2002-2017)." International Journal of Social Science and Economic Research, vol. 2, no. 11, 2017, pp. 5158-5166. November.]