On the Long-Run Fisher Effect: A Fractional Cointegration Approach
AbstractTests for fractional conintegration are employed to provide evidence on the validity of the long-run Fisher effect. We use post-war monthly data for the 3-, 6-, 12-month US Treadury bill rate. We conclude that the rejection of a "full" Fisher effect that results from the use of tests for integer conintegration is generally robust to the use of fractional alternatives. Similar conclusions emerge when tests for a "weak" Fisher effect are conducted. The results seem to be somewhat sensitive to the estimation method used for the fractional difference parameter.
Download InfoTo our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Bibliographic InfoPaper provided by Brock University, Department of Economics in its series Working Papers with number 1998-01.
Length: 13 pages
Date of creation: 1998
Date of revision:
Contact details of provider:
Postal: 500 Glenridge Avenue, St. Catharines, Ontario, L2S 3A1
Phone: (905) 688-5550 3325
Fax: (905) 988-9388
Web page: http://www.brocku.ca/economics/
More information through EDIRC
TIME SERIES ; MONEY ; MONETARY POLICY;
Find related papers by JEL classification:
- E40 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - General
- E50 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
You can help add them by filling out this form.
reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Jean-Francois Lamarche).
If references are entirely missing, you can add them using this form.