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Panel cointegration analysis of the Fisher effect: Evidence from the US, the UK, and Japan

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  • Yuki Toyoshima

    ()
    (Kobe University)

  • Shigeyuki Hamori

    ()
    (Kobe University)

Abstract

This paper analyzes the Fisher effect using a panel of monthly data from January 1990 to December 2010 for three major countries: the United States, the United Kingdom, and Japan. Our empirical results contribute to the existing empirical literature in two ways. First, the study conducts panel cointegration tests and estimation. Second, it examines the validity of the Fisher hypothesis using short-term and long-term nominal interest rates. The empirical results show that the full Fisher effect holds from January 1990 to December 2010.

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File URL: http://www.accessecon.com/Pubs/EB/2011/Volume31/EB-11-V31-I3-P240.pdf
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Bibliographic Info

Article provided by AccessEcon in its journal Economics Bulletin.

Volume (Year): 31 (2011)
Issue (Month): 3 ()
Pages: 2674-2682

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Handle: RePEc:ebl:ecbull:eb-11-00330

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Related research

Keywords: Fisher effect; panel cointegration test; dynamic ordinary least squares; fully modified ordinary least squares;

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  12. Joakim Westerlund, 2008. "Panel cointegration tests of the Fisher effect," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(2), pages 193-233.
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  16. Ekrem Gul & Sezgin Acikalin, 2008. "An examination of the Fisher Hypothesis: the case of Turkey," Applied Economics, Taylor & Francis Journals, vol. 40(24), pages 3227-3231.
  17. Rosa Badillo & Carmelo Reverte & Elena Rubio, 2011. "The Fisher effect in the EU revisited: new evidence using panel cointegration estimation with global stochastic trends," Applied Economics Letters, Taylor & Francis Journals, vol. 18(13), pages 1247-1251.
  18. Maddala, G S & Wu, Shaowen, 1999. " A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(0), pages 631-52, Special I.
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