Evidence from lesser developed countries on the Fisher hypothesis: a cointegration analysis
AbstractThis paper examines the Fisher hypothesis for a sample of less developed countries. Recognizing the possibility of spurious regression results, tests of the Fisher hypothesis are undertaken utilizing the Johansen-Juselius cointegration procedure. Of the nine countries studied, only Malaysia, Pakistan, and Sri Lanka provide evidence to support the full Fisher effect in which a unit proportional relationship exists between nominal interest rates and inflation.
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Bibliographic InfoArticle provided by Taylor and Francis Journals in its journal Applied Economics Letters.
Volume (Year): 4 (1997)
Issue (Month): 11 ()
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Web page: http://www.tandf.co.uk/journals/routledge/13504851.html
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- Maghyereh, A. & Al-Zoubi, H., 2006. "Does Fisher Effect Apply in Developing Countries: Evidence From a Nonlinear Cotrending Test applied to Argentina, Brazil, Malysia, Mexico, Korea and Turkey," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 6(2).
- H.a. Mitchell-innes & M.j. Aziakpono & A.p. Faure, 2007. "Inflation Targeting And The Fisher Effect In South Africa: An Empirical Investigation," South African Journal of Economics, Economic Society of South Africa, vol. 75(4), pages 693-707, December.
- King Fuei Lee, 2009.
"An Empirical Study Of The Fisher Effect And The Dynamic Relation Between Nominal Interest Rate And Inflation In Singapore,"
The Singapore Economic Review (SER),
World Scientific Publishing Co. Pte. Ltd., vol. 54(01), pages 75-88.
- Lee, King Fuei, 2007. "An Empirical Study of the Fisher Effect and the Dynamic Relation Between Nominal Interest Rate and Inflation in Singapore," MPRA Paper 12383, University Library of Munich, Germany.
- 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.
- Yuki Toyoshima & Shigeyuki Hamori, 2011. "Panel cointegration analysis of the Fisher effect: Evidence from the US, the UK, and Japan," Economics Bulletin, AccessEcon, vol. 31(3), pages 2674-2682.
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