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Panel cointegration analysis of the Fisher effect: Evidence from the US, the UK, and Japan

Author

Listed:
  • Yuki Toyoshima

    () (Kobe University)

  • Shigeyuki Hamori

    () (Kobe University)

Abstract

This paper analyzes the Fisher effect using a panel of monthly data from January 1990 to December 2010 for three major countries: the United States, the United Kingdom, and Japan. Our empirical results contribute to the existing empirical literature in two ways. First, the study conducts panel cointegration tests and estimation. Second, it examines the validity of the Fisher hypothesis using short-term and long-term nominal interest rates. The empirical results show that the full Fisher effect holds from January 1990 to December 2010.

Suggested Citation

  • 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.
  • Handle: RePEc:ebl:ecbull:eb-11-00330
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    References listed on IDEAS

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    Citations

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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. Navoda Edirisinghe & Selliah Sivarajasingham & John Nigel, 2015. "An Empirical Study of the Fisher Effect and the Dynamic Relationship between Inflation and Interest Rate in Sri Lanka," International Journal of Business and Social Research, MIR Center for Socio-Economic Research, vol. 5(1), pages 47-62, January.
    3. Bosupeng, Mpho, 2016. "On The Fisher Effect: A Review," MPRA Paper 77916, University Library of Munich, Germany, revised 2016.

    More about this item

    Keywords

    Fisher effect; panel cointegration test; dynamic ordinary least squares; fully modified ordinary least squares;

    JEL classification:

    • E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates
    • F4 - International Economics - - Macroeconomic Aspects of International Trade and Finance

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