English, Article, Journal or magazine article edition: Structural Breaks, Cointegration and the Fisher Effect. Andreas Beyer; Alfred A. Haug; William G. Dewald

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Bookmark: http://trove.nla.gov.au/version/211534
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Structural Breaks, Cointegration and the Fisher Effect.
Author
  • Andreas Beyer
  • Alfred A. Haug
  • William G. Dewald
Physical Description
  • preprint
Notes
  • There is scant empirical support in the literature for the Fisher effect in the long run, though it is often assumed in theoretical models. We argue that a break in the cointegrating relation introduces a spurious unit root that leads to a rejection of cointegration. We applied new break tests and tested for nonlinearity in the cointegrating relation with post-war data for 15 countries. Our empirical results support cointegration, after accounting for breaks, and a linear Fisher relation in the long run. This is in contrast to several recent studies that found no support for linear cointegration. JEL Classification: E43, C32.
  • Fisher effect, linear and nonlinear cointegration, structural change.
  • RePEc:ecb:ecbwps:200901013
Language
  • English
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