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Does the Fisher hypothesis hold for the G7? Evidence from the panel cointegration test

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  • Burcu Ozcan
  • Ayse Ari

Abstract

The aim of this study is to investigate the validity of the Fisher hypothesis by assessing the relationship between the nominal interest rate and the inflation rate. To this end, we analyse the G7 countries over the period January 2000 to November 2012 by employing the panel unit root and panel cointegration tests. The analysis reveals that the adjustment in nominal interest rates to changes in inflation is significantly lower than unity, which implies the existence of a partial Fisher effect.

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  • Burcu Ozcan & Ayse Ari, 2015. "Does the Fisher hypothesis hold for the G7? Evidence from the panel cointegration test," Economic Research-Ekonomska Istraživanja, Taylor & Francis Journals, vol. 28(1), pages 271-283, January.
    • Handle: RePEc:taf:reroxx:v:28:y:2015:i:1:p:271-283
    DOI: 10.1080/1331677X.2015.1041777
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    Cited by:

    1. Ozcan, Burcu & Temiz, Mehmet & Gültekin Tarla, Esma, 2023. "The resource curse phenomenon in the case of precious metals: A panel evidence from top 19 exporting countries," Resources Policy, Elsevier, vol. 81(C).

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