Exchange rates and interest rates : An empirical investigation of international fisher effect theory , The case of Egypt 2003 - 2012 /
Rasha Mostafa Ahmed Hammam
Exchange rates and interest rates : An empirical investigation of international fisher effect theory , The case of Egypt 2003 - 2012 / أسعار الصرف و أسعار الفائدة : 2012-2003 دراسة نظرية تأثير فيشر الدولية: الحالة المصرية Rasha Mostafa Ahmed Hammam ; Supervised Abla ElKhawaga , Mona Esam - Cairo : Rasha Mostafa Ahmed Hammam , 2014 - 103 P. ; 25cm
Thesis (Ph.D.) - Cairo University - Faculty of Economics and Political Science - Department of Economics
This study examines the validity of the international fisher effect (IFE) theory for the Egyptian economy. Two case studies are investigated: Egypt vs. USA and Egypt vs. Germany during the period (2003 - 2012). The long run relationship between nominal changes in exchange rate and nominal interest rate differential for each of the two case studies, is examined using autoregressive distributed lag bounds test approach to co - integration and error correction model. The short run relationship is examined through impulse response function and variance decomposition. Besides, granger causality test is employed to identify the direction of the relationship. The empirical findings revealed partial significance of IFE in the case of Egyptian pound vs. US dollars, while no sign of IFE was detected in the case of Egyptian pound vs. Euro currency. The weak evidence of IFE could be attributed to Egypts limited financial integration with international financial markets, particularly with respect to financial instruments
International fisher effect Nominal exchange rate changes Nominal interest rate differential
Exchange rates and interest rates : An empirical investigation of international fisher effect theory , The case of Egypt 2003 - 2012 / أسعار الصرف و أسعار الفائدة : 2012-2003 دراسة نظرية تأثير فيشر الدولية: الحالة المصرية Rasha Mostafa Ahmed Hammam ; Supervised Abla ElKhawaga , Mona Esam - Cairo : Rasha Mostafa Ahmed Hammam , 2014 - 103 P. ; 25cm
Thesis (Ph.D.) - Cairo University - Faculty of Economics and Political Science - Department of Economics
This study examines the validity of the international fisher effect (IFE) theory for the Egyptian economy. Two case studies are investigated: Egypt vs. USA and Egypt vs. Germany during the period (2003 - 2012). The long run relationship between nominal changes in exchange rate and nominal interest rate differential for each of the two case studies, is examined using autoregressive distributed lag bounds test approach to co - integration and error correction model. The short run relationship is examined through impulse response function and variance decomposition. Besides, granger causality test is employed to identify the direction of the relationship. The empirical findings revealed partial significance of IFE in the case of Egyptian pound vs. US dollars, while no sign of IFE was detected in the case of Egyptian pound vs. Euro currency. The weak evidence of IFE could be attributed to Egypts limited financial integration with international financial markets, particularly with respect to financial instruments
International fisher effect Nominal exchange rate changes Nominal interest rate differential