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Bounds Tests of the Gibson Paradox and the Fisher Effect: Evidence from Low-Frequency International Data

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Author Info
Frank J. Atkins
Apostolos Serletis

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Abstract

We use long low-frequency data on prices and interest rates for Canada, Italy, Norway, Sweden, the UK and the USA to investigate empirical relationships previously taken to support the Gibson paradox and the Fisher effect. Using recent advances in applied econometrics, we reject the existence of a long-run relationship between the price level and the nominal interest rate and between the inflation rate and the nominal interest rate. Copyright Blackwell Publishing Ltd and The Victoria University of Manchester, 2003.

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Publisher Info
Article provided by University of Manchester in its journal The Manchester School.

Volume (Year): 71 (2003)
Issue (Month): 6 (December)
Pages: 673-679
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Handle: RePEc:bla:manchs:v:71:y:2003:i:6:p:673-679

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  1. Andreas Beyer & Alfred A. Haug & William G. Dewald, 2009. "Structural Breaks, Cointegration and the Fisher Effect," Working Paper Series 1013, European Central Bank. [Downloadable!]
  2. Westerlund, Joakim, 2006. "Panel Cointegration Tests of the Fisher Effect," Research Memoranda 054, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization. [Downloadable!]
  3. Halicioglu, Ferda, 2004. "The Gibson Paradox: An Empirical Investigation for Turkey," MPRA Paper 3556, University Library of Munich, Germany. [Downloadable!]
  4. Joakim Westerlund, 2008. "Panel cointegration tests of the Fisher effect," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(2), pages 193-233. [Downloadable!]
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This page was last updated on 2009-12-19.

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