English, Article, Journal or magazine article edition: A Resolution of the Fisher Effect Puzzle: A Comparison of Estimators Ekaterini Panopoulou

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Bookmark: http://trove.nla.gov.au/version/34781
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • A Resolution of the Fisher Effect Puzzle: A Comparison of Estimators
Author
  • Ekaterini Panopoulou
Physical Description
  • preprint
Notes
  • RePEc:mmf:mmfc05:18
  • This paper attempts a resolution of the Fisher effect puzzle in terms of estimator choice. Using both short-term and long-term interest rates for 14 OECD countries, we find ample evidence supporting the existence of a long-run Fisher effect in which interest rates move oneto- one with inflation. Our results suggest that the reason why the Fisher effect has not found support internationally lies on the estimation method. When the hypothesis of a unit coefficient relating interest rates to expected inflation is tested within the Autoregressive Distributed Lag (ADL) framework, which is invariant to the integration properties of the data, the Fisher effect easily survives the empirical evidence. Similar, but less robust, results are reached on the grounds of the Pre-Whitened Fully Modified Least Squares (PW-FMLS) or the Johansen’s (JOH) estimators.
  • Cointegration Estimators; Fisher Effect; ADL; DOLS; Small-sample properties
  • RePEc:iis:dispap:iiisdp067
Language
  • English
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