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On the Fisher effect

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  • Koustas, Zisimos
  • Serletis, Apostolos

Abstract

We use post-war quarterly data from Belgium, Canada, France, Germany, Greece, Ireland, Japan, theNetherlands, the United Kingdom, and the United States to examine the Fisherian link between inflation and the short-term nominal interest rates.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Monetary Economics.

Volume (Year): 44 (1999)
Issue (Month): 1 (August)
Pages: 105-130

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Handle: RePEc:eee:moneco:v:44:y:1999:i:1:p:105-130

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Web page: http://www.elsevier.com/locate/inca/505566

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  1. James Tobin & Michael Haliassos, 1988. "The Macroeconomics of Government Finance," Cowles Foundation Discussion Papers 888, Cowles Foundation for Research in Economics, Yale University.
  2. Robert King & Mark W. Watson, 1992. "Testing Long Run Neutrality," NBER Working Papers 4156, National Bureau of Economic Research, Inc.
  3. Fisher, Mark E & Seater, John J, 1993. "Long-Run Neutrality and Superneutrality in an ARIMA Framework," American Economic Review, American Economic Association, vol. 83(3), pages 402-15, June.
  4. MacKinnon, James G, 1994. "Approximate Asymptotic Distribution Functions for Unit-Root and Cointegration Tests," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 12(2), pages 167-76, April.
  5. Mankiw, N. Gregory, 1987. "The optimal collection of seigniorage : Theory and evidence," Journal of Monetary Economics, Elsevier, Elsevier, vol. 20(2), pages 327-341, September.
  6. Lawrence J. Christiano & Martin Eichenbaum, 1992. "Liquidity effects, monetary policy, and the business cycle," Discussion Paper / Institute for Empirical Macroeconomics 70, Federal Reserve Bank of Minneapolis.
  7. Lucas, Robert Jr., 1990. "Liquidity and interest rates," Journal of Economic Theory, Elsevier, vol. 50(2), pages 237-264, April.
  8. Frederic S. Mishkin, 1982. "The Real Interest Rate: A Multi-Country Empirical Study," NBER Working Papers 1047, National Bureau of Economic Research, Inc.
  9. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, Econometric Society, vol. 49(4), pages 1057-72, June.
  10. Eric M. Leeper & Christopher A. Sims & Tao Zha, 1996. "What Does Monetary Policy Do?," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 27(2), pages 1-78.
  11. Serletis, A & Moustas, Z, 1997. "International Evidence on the Neutrality of Money," Papers, Calgary - Department of Economics 9704, Calgary - Department of Economics.
  12. Fuerst, Timothy S., 1992. "Liquidity, loanable funds, and real activity," Journal of Monetary Economics, Elsevier, Elsevier, vol. 29(1), pages 3-24, February.
  13. Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992. "Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 159-178.
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