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The Long-Run Fisher Relation in Canada


  • William J. Crowder


In this paper, the existing Fisher equation research is extended to time series on the Canadian nominal interest rate and inflation to test the validity of the Fisher hypothesis and related hypotheses. The evidence suggests a significant long-run equilibrium between nominal rates and inflation in Canada but that this relationship has not been completely stable over the last three decades.

Suggested Citation

  • William J. Crowder, 1997. "The Long-Run Fisher Relation in Canada," Canadian Journal of Economics, Canadian Economics Association, vol. 30(4), pages 1124-1142, November.
  • Handle: RePEc:cje:issued:v:30:y:1997:i:4:p:1124-42

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    References listed on IDEAS

    1. Plesko, George A., 1988. "The Accuracy of Government Forecasts and Budget Projections," National Tax Journal, National Tax Association, vol. 41(4), pages 483-501, December.
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    7. Campbell, Bryan & Ghysels, Eric, 1995. "Federal Budget Projections: A Nonparametric Assessment of Bias and Efficiency," The Review of Economics and Statistics, MIT Press, vol. 77(1), pages 17-31, February.
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    12. Dufour, J.M., 1979. "Rank Tests for Serial Dependence," Cahiers de recherche 7815, Universite de Montreal, Departement de sciences economiques.
    13. Davidson, Russell & MacKinnon, James G, 1998. "Graphical Methods for Investigating the Size and Power of Hypothesis Tests," The Manchester School of Economic & Social Studies, University of Manchester, vol. 66(1), pages 1-26, January.
    14. Gentry, William M., 1989. "Do State Revenue Forecasters Utilize Available Information," National Tax Journal, National Tax Association, vol. 42(4), pages 429-39, December.
    15. Mark S. Kamlet & David C. Mowery & Tsai-Tsu Su, 1987. "Whom do you trust? An analysis of executive and congressional economic forecasts," Journal of Policy Analysis and Management, John Wiley & Sons, Ltd., vol. 6(3), pages 365-384.
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    Cited by:

    1. Dario Cziráky & Max Gillman, 2006. "Money Demand in an EU Accession Country: A VECM Study of Croatia," Bulletin of Economic Research, Wiley Blackwell, vol. 58(2), pages 105-127, April.
    2. Antonio Ribba, 2011. "On some neglected implications of the Fisher effect," Empirical Economics, Springer, vol. 40(2), pages 451-470, April.
    3. Robert W. Dimand & Rebeca Gomez Betancourt, 2012. "Retrospectives: Irving Fisher's Appreciation and Interest (1896) and the Fisher Relation," Journal of Economic Perspectives, American Economic Association, vol. 26(4), pages 185-196, Fall.
    4. Rapach, David E. & Weber, Christian E., 2004. "Are real interest rates really nonstationary? New evidence from tests with good size and power," Journal of Macroeconomics, Elsevier, vol. 26(3), pages 409-430, September.
    5. Chu, Quentin C. & Pittman, Deborah N. & Yu, Linda Q., 2003. "Real rates, nominal rates, and the Fisherian link," International Review of Financial Analysis, Elsevier, vol. 12(2), pages 189-205.
    6. Atkins, Frank J. & Coe, Patrick J., 2002. "An ARDL bounds test of the long-run Fisher effect in the United States and Canada," Journal of Macroeconomics, Elsevier, vol. 24(2), pages 255-266, June.
    7. O Bajo-Rubio & C Diaz-Roldan & V Esteve, 2010. "Testing the Fisher effect in the presence of structural change: A case study of the UK, 1966-2007," Economic Issues Journal Articles, Economic Issues, vol. 15(2), pages 1-16, September.
    8. Paul Johnson, 2006. "Is it really the Fisher effect?," Applied Economics Letters, Taylor & Francis Journals, vol. 13(4), pages 201-203.
    9. Mahdi Barakchian, S., 2015. "Transmission of US monetary policy into the Canadian economy: A structural cointegration analysis," Economic Modelling, Elsevier, vol. 46(C), pages 11-26.
    10. Deniz Dilan Karaman Örsal, 2008. "Comparison of Panel Cointegration Tests," Economics Bulletin, AccessEcon, vol. 3(6), pages 1-20.
    11. Mohammed Saiful ISLAM & Mohammad Hasmat ALI, 2012. "Taylor Principle Supplements the Fisher Effect: Empirical Investigation under the US Context," Economia. Seria Management, Faculty of Management, Academy of Economic Studies, Bucharest, Romania, vol. 15(1), pages 189-203, June.
    12. Anari, Ali & Kolari, James, 2016. "Dynamics of interest and inflation rates," Journal of Empirical Finance, Elsevier, vol. 39(PA), pages 129-144.
    13. Ventosa-Santaulària, Daniel, 2008. "Spurious Regression," MPRA Paper 59008, University Library of Munich, Germany.
    14. Neaime, Simon, 2015. "Twin deficits and the sustainability of public debt and exchange rate policies in Lebanon," Research in International Business and Finance, Elsevier, vol. 33(C), pages 127-143.
    15. Shabbir Ahmad, 2010. "The long-run Fisher effect in developing economies," Studies in Economics and Finance, Emerald Group Publishing, vol. 27(4), pages 268-275, October.

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