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Fisher hypothesis: East Asian evidence from panel unit root tests

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Author Info
Ling, Tai-Hu
Liew, Venus Khim-Sen
Syed Khalid Wafa, Syed Azizi Wafa

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Abstract

This study provides evidence supportive of Fisher hypothesis in East Asian economies using panel unit root tests, which allow for cross-country variations in the estimation. Among others, one important implication is that monetary policy will be more effective in influencing long-term interest rates and long-run macroeconomic stability in these East Asian economies under regional collaboration.

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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 5432.

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Date of creation: 25 Oct 2007
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Handle: RePEc:pra:mprapa:5432

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Related research
Keywords: Fisher hypothesis panel unit root univariate unit root East Asian

Find related papers by JEL classification:
G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates

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  1. Mark J. Holmes, 2005. "Integration or Independence? An Alternative Assessment of Real Interest Rate Linkages in the European Union," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 34(3), pages 407-427, November. [Downloadable!] (restricted)
  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. Wu, Jhy-Lin & Chen, Show-Lin, 2001. " Mean Reversion of Interest Rates in the Eurocurrency Market," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 63(4), pages 459-73, September. [Downloadable!] (restricted)
  4. Choi, In, 2001. "Unit root tests for panel data," Journal of International Money and Finance, Elsevier, vol. 20(2), pages 249-272, April. [Downloadable!] (restricted)
  5. Levin, Andrew & Lin, Chien-Fu & James Chu, Chia-Shang, 2002. "Unit root tests in panel data: asymptotic and finite-sample properties," Journal of Econometrics, Elsevier, vol. 108(1), pages 1-24, May. [Downloadable!] (restricted)
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  6. Maddala, G S & Wu, Shaowen, 1999. " A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(0), pages 631-52, Special I. [Downloadable!] (restricted)
  7. Holmes, Mark J., 2002. "Does long-run real interest parity hold among EU countries? Some new panel data evidence," The Quarterly Review of Economics and Finance, Elsevier, vol. 42(4), pages 733-746. [Downloadable!] (restricted)
  8. Im, Kyung So & Pesaran, M. Hashem & Shin, Yongcheol, 2003. "Testing for unit roots in heterogeneous panels," Journal of Econometrics, Elsevier, vol. 115(1), pages 53-74, July. [Downloadable!] (restricted)
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  9. Azali, M. & Habibullah, M. S. & Baharumshah, A. Z., 2001. "Does PPP hold between Asian and Japanese economies? Evidence using panel unit root and panel cointegration," Japan and the World Economy, Elsevier, vol. 13(1), pages 35-50, January. [Downloadable!] (restricted)
  10. Brigitte Granville & Sushanta Mallick, 2004. "Fisher hypothesis: UK evidence over a century," Applied Economics Letters, Taylor and Francis Journals, vol. 11(2), pages 87-90, February. [Downloadable!] (restricted)
  11. Baharumshah, Ahmad Zubaidi & Haw, Chan Tze & Fountas, Stilianos, 2005. "A panel study on real interest rate parity in East Asian countries: Pre- and post-liberalization era," Global Finance Journal, Elsevier, vol. 16(1), pages 69-85, August. [Downloadable!] (restricted)
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