Una nota sobre la hipótesis de Fisher en España en el proceso de convergencia europeo

Abstract

THE OBJECTIVE OF THIS ESSAY IS TO ANALYZED THE FISHER HYPOTHESIS TROUGH THE PRESENCE OF UNIT ROOTS IN THE REAL INTEREST RATES IN THE INTERBANK MARKET IN SPAIN FOR THE PERIOD 1980-2001. DURING THIS PERIOD THE REAL INTEREST RATES HAVE TRAYECTORIES, WHICH MAKE VERY DIFFICULT TO DISTINGUISH BETWEEN A STATIONARY SERIES WITH STRUCTURAL CHANGES AND A NON STATIONARY SERIES. HOWEVER, THE UNIT ROOT TESTS INDICATE THAT THE SERIES ARE STATIONARY CONSIDERING THE PRESENCE OF STRUCTURAL CHANGES. THIS RESULT IS CONSISTENT WITH THE HYPOTHESIS THAT IN THE LONG RUN THE REAL INTEREST RATE CAN NOT GROWTH WITHOUT AN UPPER LIMIT AND THEREFORE THAT THERE IS MEAN REVERSAL PHENOMENA AND CONFIRMS THE RELEVANCE OF THE FISHER HYPOTHESIS FOR THE SPANISH ECONOMY.