Advanced Search
MyIDEAS: Login to save this paper or follow this series

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

Contents:

Author Info

  • Carl Bonham

    ()
    (Department of Economics, University of Hawaii at Manoa)

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.

(This abstract was borrowed from another version of this item.)

Download Info

To 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 Info

Paper provided by University of Hawaii at Manoa, Department of Economics in its series Working Papers with number 199104.

as in new window
Length:
Date of creation: 1991
Date of revision:
Handle: RePEc:hai:wpaper:199104

Note: To request a hard copy of this paper, please email the department at econ@hawaii.edu.
Contact details of provider:
Postal: 2424 Maile Way, Honolulu, HI 96822
Phone: (808)956-8730
Fax: (808)956-4347
Email:
Web page: http://www.economics.hawaii.edu/
More information through EDIRC

Order Information:
Email:
Web: http://www.economics.hawaii.edu/research/working.html

Related research

Keywords:

Other versions of this item:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Joakim Westerlund, 2008. "Panel cointegration tests of the Fisher effect," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(2), pages 193-233.
  2. Johnson, Paul, 2004. "Is it Really the Fisher Effect?," Vassar College Department of Economics Working Paper Series 58, Vassar College Department of Economics.
  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.
  4. Yin-Wong Cheung & Javier Gardeazabal & Jesús Vázquez, 2004. "Exchange Rate Dynamics: Where is the Saddle Path?," CESifo Working Paper Series 1129, CESifo Group Munich.
  5. Claus, I., 1997. "A Measure of Underlying Inflation in the United States," Working Papers 97-20, Bank of Canada.
  6. 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).
  7. Francesca Di Iorio & Stefano Fachin, 2009. "A residual-based bootstrap test for panel cointegration," Economics Bulletin, AccessEcon, vol. 29(4), pages 3222-3232.
  8. Westerlund, Joakim, 2006. "Panel Cointegration Tests of the Fisher Effect," Research Memorandum 054, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  9. Månsson, Kristofer & Shukur, Ghazi & Sjölander, Pär, 2012. "Testing for Panel Cointegration in an Error Correction Framework - with an Application to the Fisher Hypothesis," HUI Working Papers 72, HUI Research.
  10. Westerlund, Joakim, 2005. "Panel Cointegration Tests of the Fisher Hypothesis," Working Papers 2005:10, Lund University, Department of Economics.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:hai:wpaper:199104. See general 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: (Web Technician).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.