English, Article, Journal or magazine article edition: A re-evaluation of empirical tests of the Fisher hypothesis Basma Bekdache; Christopher F. Baum

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/74009
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • A re-evaluation of empirical tests of the Fisher hypothesis
Author
  • Basma Bekdache
  • Christopher F. Baum
Physical Description
  • preprint
Notes
  • RePEc:sce:scecf9:944
  • This paper shows that the recent literature that tests for a long-run Fisher relationship using cointegration analysis is seriously flawed. Cointegration analysis assumes that the variables in question are I(1) or I(d) with the same d. Using monthly post-war U.S. data from 1959-1997, we show that this is not the case for nominal interest rates and inflation. While we cannot reject the hypothesis that nominal interest rates have a unit root, we find that inflation is a long-memory process. A direct test for the equality of the fractional differencing parameter for both series decisively rejects the hypothesis that the series share the same order of integration.
  • Fisher hypothesis, cointegration, long memory
  • RePEc:boc:bocoec:472
Language
  • English
Contributed by
OAIster

Get this edition

Other links

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment