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Correct Cointegration Tests of the Long Run Relationship Between Nominal Interest and Inflation

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Author Info
Carl Bonham () (Department of Economics, University of Hawaii at Manoa)

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Abstract

The Fisher (1930) hypothesis suggests that a long run equilibrium relationship exists between the nonstationary series: nominal interest and expected inflation. Testing such a cointegrating relationship is complicated by the presence of the unobserved ex ante real rate of interest in residuals from the cointegrating regression. Assumptions concerning the stochastic properties of the expected real rate of interest are examined and two proxies for the ex ante real rate are employed in multivariate cointegration tests of the Fisher hypothesis.

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File URL: http://www.economics.hawaii.edu/research/workingpapers/88-98/WP_90-26.pdf
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Paper provided by University of Hawaii at Manoa, Department of Economics in its series Working Papers with number 199026.

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Date of creation: 1990
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Handle: RePEc:hai:wpaper:199026

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  1. Claus, I., 1997. "A Measure of Underlying Inflation in the United States," Working Papers 97-20, Bank of Canada. [Downloadable!]
  2. Johnson, Paul, 2004. "Is it Really the Fisher Effect?," Vassar College Department of Economics Working Paper Series 58, Vassar College Department of Economics. [Downloadable!]
  3. Kate Phylaktis & David Blake, 1993. "The fisher hypothesis: Evidence from three high inflation economies," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 129(3), pages 591-599, September. [Downloadable!] (restricted)
  4. 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). [Downloadable!] (restricted)
  5. Westerlund, Joakim, 2005. "Panel Cointegration Tests of the Fisher Hypothesis," Working Papers 2005:10, Lund University, Department of Economics. [Downloadable!]
  6. Westerlund, Joakim, 2006. "Panel Cointegration Tests of the Fisher Effect," Research Memoranda 054, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization. [Downloadable!]
  7. Joakim Westerlund, 2008. "Panel cointegration tests of the Fisher effect," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(2), pages 193-233. [Downloadable!]
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