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

  • Yuki Toyoshima

    ()

    (Kobe University)

  • Shigeyuki Hamori

    ()

    (Kobe University)

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.

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File URL: http://www.accessecon.com/Pubs/EB/2011/Volume31/EB-11-V31-I3-P240.pdf
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Article provided by AccessEcon in its journal Economics Bulletin.

Volume (Year): 31 (2011)
Issue (Month): 3 ()
Pages: 2674-2682

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Handle: RePEc:ebl:ecbull:eb-11-00330
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  1. 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.
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  11. Francisco Carneiro & Jose Angelo & C. A. Divino & Carlos Rocha, 2002. "Revisiting the Fisher hypothesis for the cases of Argentina, Brazil and Mexico," Applied Economics Letters, Taylor & Francis Journals, vol. 9(2), pages 95-98.
  12. Takayasu Ito, 2009. "Fisher Hypothesis in Japan: Analysis of Long-term Interest Rates under Different Monetary Policy Regimes," The World Economy, Wiley Blackwell, vol. 32(7), pages 1019-1035, 07.
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  15. 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.
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  17. repec:ltr:wpaper:1992.02 is not listed on IDEAS
  18. 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.
  19. Jeung-Lak Lee & Carolyn Clark & Sung Ahn, 1998. "Long- and short-run Fisher effects: new tests and new results," Applied Economics, Taylor & Francis Journals, vol. 30(1), pages 113-124.
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  21. Param Silvapulle & Brett Inder, 1992. "Does the Fisher Effect Apply in Australia?," Working Papers 1991.02, School of Economics, La Trobe University.
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