A test of International Fisher Effect : researching from Serbia and the European Union

Abstract

The aim of this paper is to explore the International Fisher Effect (IFE) between Serbia and European Union (EU) in period between 2004 and 2015. The authors in this paper explore the IFE by applying regression analysis. They were used historical annual data for exchange rates, real interest rate and inflation, in this research. Like a home country and foreign country the authors were used each of these areas (Serbia and EU) like interchangeably and track the trail of the effect. Explore was based on the time series of observed annual data in period between 2004 and 2015. The authors were used the data of authorized central banks from databases: the World Bank, the National Bank of Serbia and the European Central Bank. Regression analysis was performed using a software package SPSS 20. The contribution of this paper is reflected in the obtained results.The results show that a 1% increase in the nominal interest rate differential, on average, lead to approximately a 0.3% offsetting change in the exchange rate in both cases (Serbia- home EU-foreign and EU-home Serbia-foreign).The coefficients of determination R 2 are very low, also in both cases. Only 3.3% of the annual changes in the RSD/EUR exchange rate and 4.2% of the annual changes in the EUR/RSD exchange rate can be explained by the nominal interest differentials. Therefore, about 96% of the annual changes in the exchange rates depend on other factors.

Cilj ovog rada je istraživanje Međunarodnog Fišerovog efekta (IFE) između Srbije i Evropske unije u periodu 2004-2015 godine. Autori u ovom radu IFE istražuju regresionom analizom. Koristili su se istorijski podaci kursa RDS i EUR, realne kamatne stope i inflacije posmatranih zemalja. Svaka od pomenutih zemalja (Srbija i EU) su se naizmenično koristilie kao matična i strana zemlja. Istraživanje se zasnivalo na vremenskim serijama posmatranih podataka od 2004. do 2015. godine. Korišćeni su podaci ovlašćenih centralnih banaka iz baza: Svetske banke, Narodne banke Srbije i Evropske centralne Banke. Regresiona analiza izvršena je pomoću programskog paketa SPSS 20. Doprinos ovog rada se ogleda u dobijenim rezultatima. Rezultati pokazuju da rast nominalne kamatne stope od 1%, u proseku, dovodi do promene deviznog kursa za oko 0,3% u oba slučaja (Srbija - EU i EU - Srbija). Koeficijent determinacije R2 je veoma mali, takođe u oba slučaja. Samo 3.3% godišnje promene kursa RSD/EUR i 4.2% godišnje promene kursa EUR/RSD može biti objašnjeno promenom nominalne kamatne stope. Oko 96% godišnje promene kursa zavisi od drugih faktora.