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An ARDL bounds test of the long-run Fisher effect in the United States and Canada

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  • Atkins, Frank J.
  • Coe, Patrick J.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Macroeconomics.

Volume (Year): 24 (2002)
Issue (Month): 2 (June)
Pages: 255-266

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Handle: RePEc:eee:jmacro:v:24:y:2002:i:2:p:255-266

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Web page: http://www.elsevier.com/locate/inca/622617

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References

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  1. Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-76, March.
  2. Robert W. Dimand, 1999. "Irving Fisher and the Fisher Relation: Setting the Record Straight," Canadian Journal of Economics, Canadian Economics Association, vol. 32(3), pages 744-750, May.
  3. Koustas, Z., 1996. "Canadian Evidence on Long-Run Neutrality Propositions," Working Papers 1996-04, Brock University, Department of Economics.
  4. Koustas, Z., Serletis, A., 1998. "On the Fisher Effect," Papers 98-09, Calgary - Department of Economics.
  5. Robert G. King & Mark W. Watson, 1992. "Testing long run neutrality," Working Paper Series, Macroeconomic Issues 92-18, Federal Reserve Bank of Chicago.
  6. William J. Crowder, 1997. "The Long-Run Fisher Relation in Canada," Canadian Journal of Economics, Canadian Economics Association, vol. 30(4), pages 1124-42, November.
  7. Donald W.K. Andrews, 1986. "Power in Econometric Applications," Cowles Foundation Discussion Papers 800, Cowles Foundation for Research in Economics, Yale University.
  8. James Bullard, 1999. "Testing long-run monetary neutrality propositions: lessons from the recent research," Review, Federal Reserve Bank of St. Louis, issue Nov, pages 57-77.
  9. Stock, James H., 1991. "Confidence intervals for the largest autoregressive root in U.S. macroeconomic time series," Journal of Monetary Economics, Elsevier, vol. 28(3), pages 435-459, December.
  10. Canova, Fabio, 1994. "Testing long-run neutrality: Empirical evidence for G7-countries with special emphasis on Germany A comment," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 41(1), pages 119-125, December.
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Cited by:
  1. Chien-Chung Nieh & Yu-Shan Wang, 2005. "ARDL Approach to the Exchange Rate Overshooting in Taiwan," Review of Quantitative Finance and Accounting, Springer, vol. 25(1), pages 55-71, August.
  2. Reginaldo Pinto Nogueira, 2009. "Is monetary policy really neutral in the long-run? Evidence for some emerging and developed economies," Economics Bulletin, AccessEcon, vol. 29(3), pages 2432-2437.
  3. Linda Chor Wing Yung & Sam Hak-Kan Tang, 2005. "Does Rapid Economic Growth Accelerate Democratization? Time-Series Evidence from High Performing Asian Economies," Economics Discussion / Working Papers 05-20, The University of Western Australia, Department of Economics.
  4. T.K. Jayaraman & Baljeet Singh, 2007. "Foreign Direct Investment and Employment Creation in Pacific Island Countries: An Empirical Study of Fiji," Working Papers 3507, Asia-Pacific Research and Training Network on Trade (ARTNeT), an initiative of UNESCAP and IDRC, Canada..
  5. Natalya Ketenci & Idil Uz, 2011. "Bilateral and regional trade elasticities of the EU," Empirical Economics, Springer, vol. 40(3), pages 839-854, May.
  6. Lai, Kon S., 2004. "On structural shifts and stationarity of the ex ante real interest rate," International Review of Economics & Finance, Elsevier, vol. 13(2), pages 217-228.
  7. Ling, Tai-Hu & Venus, Khim-Sen Liew & Syed Khalid Wafa, Syed Azizi Wafa, 2008. "Does Fisher hypothesis hold for the East Asian Economies? an application of panel unit root tests," MPRA Paper 21601, University Library of Munich, Germany, revised Jan 2010.
  8. Min B. SHRESTHA & Khorshed CHOWDHURY, 2007. "Impact of Financial Liberalization on Welfare: Evidence from Nepal," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 7(1).
  9. Nicolaas Groenewold & Sam Hak Kan Tang, 2005. "Killing the Goose that Lays the Golden Egg: a Time-Series Analysis of Institutional Change and Economic Growth in Hong Kong," Economics Discussion / Working Papers 05-06, The University of Western Australia, Department of Economics.
  10. Lai, Kon S., 2008. "The puzzling unit root in the real interest rate and its inconsistency with intertemporal consumption behavior," Journal of International Money and Finance, Elsevier, vol. 27(1), pages 140-155, February.
  11. Jayaraman, T.K. & Choong, Chee-Keong, 2009. "Growth and oil price: A study of causal relationships in small Pacific Island countries," Energy Policy, Elsevier, vol. 37(6), pages 2182-2189, June.
  12. Tang, Sam Hak Kan & Yung, Linda Chor Wing, 2008. "Does rapid economic growth enhance democratization? Time-series evidence from high performing Asian economies," Journal of Asian Economics, Elsevier, vol. 19(3), pages 244-253, June.
  13. Shabbir Ahmad, 2010. "The long-run Fisher effect in developing economies," Studies in Economics and Finance, Emerald Group Publishing, vol. 27(4), pages 268-275, October.

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