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Testing Fisher hypothesis in long horizons for G7 and eight Asian countries.1

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  • Ka-Fu Wong
  • Hai-Jun Wu

Abstract

Using monthly data from G7 and eight Asian countries, support is found for the Fisher hypothesis, as well as a positive relation between long-horizon nominal stock returns and expected inflation but not between long-horizon nominal stock returns and contemporaneous inflation. These empirical results complement and strengthen those of Boudoukh and Richardson. 1 The MATLAB program and data to compute the results in this paper are available from http://kafuwong.econ.hku.hk/research/fisher/.

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  • Ka-Fu Wong & Hai-Jun Wu, 2003. "Testing Fisher hypothesis in long horizons for G7 and eight Asian countries.1," Applied Economics Letters, Taylor & Francis Journals, vol. 10(14), pages 917-923.
    • Handle: RePEc:taf:apeclt:v:10:y:2003:i:14:p:917-923
    DOI: 10.1080/1350485032000158645
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    1. Evans, Martin D D & Lewis, Karen K, 1995. "Do Expected Shifts in Inflation Affect Estimates of the Long-Run Fisher Relation?," Journal of Finance, American Finance Association, vol. 50(1), pages 225-253, March.
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    Cited by:

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    2. Rushdi, Mustabshira & Kim, Jae H. & Silvapulle, Param, 2012. "ARDL bounds tests and robust inference for the long run relationship between real stock returns and inflation in Australia," Economic Modelling, Elsevier, vol. 29(3), pages 535-543.
    3. Paul Alagidede, 2009. "Relationship between stock returns and inflation," Applied Economics Letters, Taylor & Francis Journals, vol. 16(14), pages 1403-1408.
    4. Andrew Phiri, 2023. "Fisher’s hypothesis in time–frequency space: a premier using South Africa as a case study," Quality & Quantity: International Journal of Methodology, Springer, vol. 57(5), pages 4255-4284, October.
    5. Hsiao-Fen Chang, 2013. "Are ‘stock returns’ a hedge against inflation in Japan? Determination using ADL bounds testing," Applied Economics Letters, Taylor & Francis Journals, vol. 20(14), pages 1305-1309, September.
    6. Takayasu Ito, 2009. "Fisher Hypothesis in Japan: Analysis of Long‐term Interest Rates under Different Monetary Policy Regimes," The World Economy, Wiley Blackwell, vol. 32(7), pages 1019-1035, July.
    7. Salah Nusair, 2008. "Testing for the Fisher hypothesis under regime shifts: an application to Asian countries," International Economic Journal, Taylor & Francis Journals, vol. 22(2), pages 273-284.
    8. İsmet Göçer & Serdar Ongan, 2020. "Asymmetric Impacts of Inflation on the US Bond Rates and FED’s Pre-Emptive Policy," Econometric Research in Finance, SGH Warsaw School of Economics, Collegium of Economic Analysis, vol. 5(2), pages 143-157, December.

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