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An analysis of the ex post Fisher hypothesis at short and long term

Author

Listed:
  • Charbel Bassil

    (Cergy Pontoise University)

Abstract

This paper tests the Fisher effect. The analysis is applied to the U.S.A. It contributes to the existing empirical literature in three ways. First, it considers a panel of short term and long term real interest rates between 1960 and 2008. Second, it explores both the presence of unit root and structural changes in real interest rates, by allowing for interaction between these two assumptions as suggested by the recent work of Lee and Strazicich. The third contribution consists in testing formally for the number of breaks using Bai and Perron (1998, 2003) test.

Suggested Citation

  • Charbel Bassil, 2010. "An analysis of the ex post Fisher hypothesis at short and long term," Economics Bulletin, AccessEcon, vol. 30(3), pages 2388-2397.
    • Handle: RePEc:ebl:ecbull:eb-10-00288
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    File URL: http://www.accessecon.com/Pubs/EB/2010/Volume30/EB-10-V30-I3-P218.pdf
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    References listed on IDEAS

    as
    1. Rapach, David E & Wohar, Mark E, 2005. "Regime Changes in International Real Interest Rates: Are They a Monetary Phenomenon?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 37(5), pages 887-906, October.
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    Cited by:

    1. Bosupeng, Mpho & Biza-Khupe, Simangaliso, 2015. "The Impact of Money Supply Volatility on the Fisher Effect –A Botswana Empirical Perspective," MPRA Paper 77920, University Library of Munich, Germany, revised 2015.
    2. Yuki Toyoshima & Shigeyuki Hamori, 2011. "Panel cointegration analysis of the Fisher effect: Evidence from the US, the UK, and Japan," Economics Bulletin, AccessEcon, vol. 31(3), pages 2674-2682.
    3. Bosupeng, Mpho, 2016. "On The Fisher Effect: A Review," MPRA Paper 77916, University Library of Munich, Germany, revised 2016.

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    Keywords

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    JEL classification:

    • C0 - Mathematical and Quantitative Methods - - General
    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables

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