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The Fisher hypothesis revisited: new evidence

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  • Yu Hsing

Abstract

The nominal interest rate is examined with the IS-LM model incorporating the Fisher hypothesis. Eight different interest rates are considered for different sample periods ending in 1993. When the Livingston survey data are used, the coefficients for the expected inflation rate, real quantity of money and government spending are significant in most cases. When the adaptive expectations model is applied, the coefficients for real quantity of money and government spending are insignificant in most cases. The Fisher hypothesis only holds for the federal funds rate or the AAA bond rate. The linear-form regression can be rejected at the 1% level in favour of the Box-Cox general functional form.

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  • Yu Hsing, 1997. "The Fisher hypothesis revisited: new evidence," Applied Economics, Taylor & Francis Journals, vol. 29(8), pages 1055-1059.
    • Handle: RePEc:taf:applec:v:29:y:1997:i:8:p:1055-1059
    DOI: 10.1080/000368497326444
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    References listed on IDEAS

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    Cited by:

    1. Robert Faff & Richard Heaney, 1999. "An examination of the relationship between Australian industry equity returns and expected inflation," Applied Economics, Taylor & Francis Journals, vol. 31(8), pages 915-933.
    2. Hakan Berument & Nildag Basak Ceylan & Hasan Olgun, 2007. "Inflation uncertainty and interest rates: is the Fisher relation universal?," Applied Economics, Taylor & Francis Journals, vol. 39(1), pages 53-68.
    3. Hsing, Y, 2009. "Functional Forms and PPP: The Case of Canada, the EU, Japan, and the U.K," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 9(1).
    4. Yu Hsing, 2009. "Functional forms and PPP: new evidence for eight Asian countries," Applied Economics Letters, Taylor & Francis Journals, vol. 16(1), pages 95-98.

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